000
| 01862cam 2200325za 4500 |
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001 | 9.851560 |
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003 | CaOODSP |
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005 | 20221107154415 |
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007 | cr ||||||||||| |
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008 | 180212s2018 oncd ob f000 0 eng d |
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040 | |aCaOODSP|beng |
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041 | |aeng|bfre |
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043 | |an-cn--- |
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086 | 1 |aFB3-5/2018-8E-PDF |
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100 | 1 |aChen, Marie. |
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245 | 10|aHigh-frequency trading and institutional trading costs |h[electronic resource] / |cby Marie Chen and Corey Garriott. |
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260 | |a[Ottawa] : |bBank of Canada, |c2018. |
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300 | |aii, 44 p. : |bcharts (some col.) |
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490 | 1 |aBank of Canada staff working paper, |x1701-9397 ; |v2018-8 |
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500 | |a"February 2018." |
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504 | |aIncludes bibliographical references (p. 26-27). |
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520 | 3 |a“Using bond futures data, we test whether high-frequency trading (HFT) is engaging in back running, a trading strategy that can create costs for financial institutions. We reject the hypothesis of back running and find instead that HFT mildly improves trading costs for institutions. After a rapid increase in the number of HFTs, trading costs as measured by implementation shortfall decrease by 27 basis points for smaller-sized positions ($2–$10 million notional). For larger-sized positions there is no significant effect. We explain the improvement as being the consequence of HFT reducing effective spreads and per-trade price impacts"--Abstract, p. ii. |
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546 | |aIncludes abstract in French. |
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692 | 07|2gccst|aStock markets |
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692 | 07|2gccst|aFinancial institutions |
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693 | 4|aElectronic trading of securities |
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700 | 1 |aGarriott, Corey. |
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710 | 2 |aBank of Canada. |
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830 | #0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2018-8|w(CaOODSP)9.806221 |
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856 | 40|qPDF|s1.91 MB|uhttps://publications.gc.ca/collections/collection_2018/banque-bank-canada/FB3-5-2018-8-eng.pdf |
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