Raising Issues About Impact of High Frequency Trading on Market Liquidity

Naumenko Vladimir

Book chapter

Raising Issues About Impact of High Frequency Trading on Market Liquidity

P. 215-223.

Naumenko V.

The aim of this paper is to consider some problems with evaluation of the impact of high frequency trading on market liquidity. The first part is devoted to difficulties of disentangling the impact of high frequency on market liquidity from other relevant factors. The remainder of the paper is intended to discuss some issues affecting the evaluation of the influence of high frequency trading on particular aspects of market liquidity.

Language: English

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Keywords: high frequency trading market liquidity tightness depth resiliency

In book

Financial Econometrics and Empirical Market Microstructure

Edited by: S. Ivliev, A. K. Bera, F. Lillo. NY: Springer, 2015.

Mathematical Models of Price Impact and Optimal Portfolio Management in Illiquid Markets

Andreev N. A. In bk.: Financial Econometrics and Empirical Market Microstructure. NY: Springer, 2015.

The problem of optimal portfolio liquidation under transaction costs has been widely researched recently, thus producing several approaches to problem formulation and solving. Obtained results can be used for decision making during portfolio selection or automatic trading at high-frequency electronic markets. This work gives a review of modern studies in this field, comparing models and tracking their evolution. The paper also presents results of applying the most recent findings in this field to real MICEX shares high-frequency data and gives an interpretation of the results.

Added: Oct 21, 2013

On Linearity of Transaction Costs in Order Driven Market

Andreev N. A. Economics/EC. WP BRP. Высшая школа экономики, 2014. No. WP BRP 38/FE/2014.

We research the properties of implicit transaction costs function for general-shaped limit order book. Equivalent conditions for linearity of the function are presented in terms of market liquidity. We also present a suitable functional form of implicit costs for MICEX order-driven market based on high-frequency trading data. The proposed form meets the denition of costs and implied properties while corresponding to the real form of order distribution.

Added: Oct 21, 2014

Estimation of Market Resiliency from High-Frequency Micex Shares Trading Data

Andreev N. A. In bk.: Market Risk and Financial Markets Modeling. Berlin: Springer, 2012. P. 15-24.

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Added: Sep 28, 2012

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Ивлиев С. В., Арбузов В. О., Фролова М. С. и др. Financial One. 2014. № 6 (69). С. 72-77.

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Cultural text created in a specific chronotope. Each culture is a unique combination of time and place of production culture. The author presents specific feature chronotopes in Russian culture - tightness. It connects the actions of the subject to certain limitations that should be reflected in its cultural products. However, the cultural text encompasses the need to overcome the resistance of power and tightness.

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I develop the idea that there exists a special dimension of depth, or of scale. The depth dimension is physically real and extends from the bottom micro-level to the ultimate macro-level of the Universe. The depth dimension, or the scales axis, complements the standard three spatial dimensions. I discuss the tentative qualities of the depth dimension and the universal arrangement of matter along this dimension. I suggest that all matter in the Universe, at least in the present cosmological epoch, is in joint downward motion along the depth dimension. The joint downward motion manifests itself in the universal contraction of matter. The opposite direction of motion, upward the dimension, would cause the expansion of matter. The contraction of matter is a primary factor, whereas the shrinking of space in the vicinity of matter is a derivative phenomenon. The observed expansion of the Universe is explained by the fact that celestial bodies become smaller due to matter contraction, while the overall space remains predominantly intact. Thus, relative to the contracting material bodies, the total span of cosmic space appears to be becoming vaster. I attempt to explain how the contraction of matter engenders the effect of universal gravity. I use over thirty animated and graphical color visualizations in the text to make the explanation of the proposed ideas more lucid.

Added: Nov 19, 2012

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Added: Jan 22, 2015