Civilekonomuppsats, 30hp
H12
Löpnummer0106
SpråkEngelska
UppsatsförfattareTomas Ericsson
Pär Fridholm
HandledareJarkko Peltomäki
TitelHigh-frequency trading
Undertitelimpacts of the introduction of the INET platform on NASDAQ OMX Stockholm
SammanfattningThe use of high-frequency trading (HFT) has increased dramatically during the last decade. This paper examines the impact on turnover volume and volatility for the high volume shares within OMXS30 at NASDAQ OMX Stockholm (NOMX-St) and Burgundy multilateral trading facility (BURG) at the time of the introduction of the INET trading platform on February 8, 2010, on the NOMX-St stock ex- change. Data containing trades and quotes from the Thomson Reuters Tick History database for NOMX-St and BURG has been analyzed for 330 trading days, between June 12, 2009 and September 30, 2010. The findings indicate that the launch of the INET platform has not increased turnover volume or volatility on NOMX-St, in fact, for the companies on the Large Cap included in this study, there has been a decrease in both of these measures.

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High_Frequency_Trading_CIVUPP_F_HT12.pdf

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