Impact of High Frequency Trading on Volatilities of Securities on German Market
Impact of High Frequency Trading on Volatilities of Securities on German Market

Author(s): Juraj Hruška
Subject(s): Evaluation research, Financial Markets
Published by: Masarykova univerzita nakladatelství
Keywords: high frequency trading; volatility; linear regression; algorithmic trading; trading volume;
Summary/Abstract: Abstract: Algorithmic trading has become the crucial part of trading on world equity markets. Almost every big stock exchange undertook process of hybridization and allowed automated order submission. This led to many manipulative strategies which could have impact on market volatility. This paper is focused on these strategies and their impact on volatility. Furthermore, the reduction of the volatility is tested as a result of implemented regulations. Econometrical methods are used to determine relationship between high-frequency trading activity and volatility of chosen securities.

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