Intraday Rallies and Crashes: Spillovers of Trading Halts

Intraday Trading Patterns: The Role of Timing

In a dynamic model of financial market trading multiple heterogeneously informed traders choose when to place orders. Better informed traders trade immediately, worse informed delay — even though they expect the public expectation to move against them. This behavior causes distinct intra-day patterns with decreasing (L-shaped) spreads and increasing (reverse L-shaped) volume and probability of ...

High Frequency Trading and Mini Flash Crashes

We analyse all Mini Flash Crashes (or Flash Equity Failures) in the US equity markets in the four most volatile months during 2006-2011. In contrast to previous studies, we find that Mini Flash Crashes are the result of regulation framework and market fragmentation, in particular due to the aggressive use of Intermarket Sweep Orders and Regulation NMS protecting only Top of the Book. We find st...

Short-term market reaction after trading halts in Chinese stock market

In this paper, we study the dynamics of absolute return, trading volume and bid–ask spread after the trading halts using high-frequency data from the Shanghai Stock Exchange. We dealwith all three types of trading halts, namely intraday halts, one-day halts and inter-day halts, of 203 stocks in Shanghai Stock Exchange fromAugust 2009 to 2011.We find that absolute return, trading volume, and in ...

Modelling Intraday Trading Activity Using Box-Cox- ACD Models

In this paper, I model the intraday trading activity based on volume durations, i.e. the waiting time until a predetermined volume is absorbed by the market. Since this concept measures the trading volume per time it is strongly related to market liquidity. I focus on volumes measured independently of the side of the market as well as on buy volumes, sell volumes and volumes measured on both ma...

Crashes and high frequency trading: an evaluation of risks posed by high-speed algorithmic trading