high-frequency trading (christian borch)
TRANSCRIPT
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High-Frequency Trading
CBS Competitiveness Day 10 Sep 2015
Christian Borch, Professor mso, dr.scient.soc.Department of Management, Politics and Philosophy
Copenhagen Business Schoolhttp://info.cbs.dk/borch
http://info.cbs.dk/crowds
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Agenda09:30–09:45: General introduction to algorithmic trading and high-frequency trading (CB)
09:45–10:00: Opening the black-box of high-frequency trading (ACL)
10:00–10:30: Q&A
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Introduction 1. A brief overview of the development of
financial markets from pit trading to algorithmic trading and high-frequency trading
2. Implications of this development• New types of market participants• New forms of market manipulation• New types of financial crises
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What is then HFT? Two defintionsThe US Securities and Exchange Commssion definition: ‘professional traders acting in a proprietary capacity that engages in strategies that generate a large number of trades on a daily basis’ (SEC Concept Release on Equity Market Structure, 14 January 2010).
The US Commodity Futures Trading Commission has launched the following working definition (May 2012):
High frequency trading is a form of automated trading that employs: a) algorithms for decision making, order initiation, generation, routing, or execution, for each individual transaction without human direction; b) low-latency technology that is designed to minimize response times, including proximity and co-location services; c) high speed connections to markets for order entry; and d) high message rates (orders, quotes or cancellations).
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Implications of the development towards HFT – I1. New types of market participants
2. New forms of market manipulation
3. New types of financial crises
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Implications of the development towards HFT – II
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Implications of the development towards HFT – III3. New types of financial crises
The Flash Crash on 6 May 2010
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• https://www.youtube.com/watch?v=E1xqSZy9_4I
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Further information
• http://info.cbs.dk/crowds
•The 2015 Copenhagen Business School Symposium on High-Frequency Trading, Monday 5 October 2015