Strategic Behavior of High Frequency Traders During the Market Pre-Opening Period

Project Start:11/2014
Status:Completed
Researchers:Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya Yuferova
Category: Financial Markets, Systemic Risk Lab
Funded by:Europlace

The project is funded by Institut Bachelier/Eurofidai

 

The market opening is an important function of stock markets. The information accumulated overnight and the concentration of orders affects the price formation in anticipation of, and at, the market opening. A key question we ask in this research is whether high frequency quote revisions that occur during the pre-opening period amplify noise or lead to an improvement in the price formation. We are planning to perform this analysis on the US market (Nasdaq), the European Markets thanks to Eurofidai data and Japan.

After visiting Eurofidai to present our project and to discuss the access to their data, it was decided that data from Paris, London and Frankfurt exchanges are useful for the purposes of the project. In order to proceed, contracts to access the data have been completed. The team has just started to request the data to Eurofidai. In December 2015, a paper on the European data will be presented to Eurofidai.

We are also working on US data, already provided to us by Nasdaq and on Japanese data. We are planning to write several papers. The first we have just completed this July.

 

Related Working Papers

No.Author/sTitleYearProgram AreaKeywords
182Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya YuferovaComing Early to the Party2017 Financial Markets, Systemic Risk Lab High-Frequency Traders (HFTs), Proprietary Trading, Opening Auction, Liquidity Provision, Price Discovery
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