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dc.creatorBellia, Mario
dc.creatorPelizzon, Loriana
dc.creatorSubrahmanyam, Marti G.
dc.creatorUno, Jun
dc.creatorYuferova, Darya
dc.date.accessioned2021-09-28T09:27:56Z
dc.date.available2021-09-28T09:27:56Z
dc.date.issued2015-03-01
dc.identifier.urihttps://fif.hebis.de/xmlui/handle/123456789/2245
dc.description.abstractWe study whether the presence of low-latency traders (including high-frequency traders (HFTs)) in the pre-opening period contributes to market quality, defined by price discovery and liquidity provision, in the opening auction. We use a unique dataset from the Tokyo Stock Exchange (TSE) based on server-IDs and find that HFTs dynamically alter their presence in different stocks and on different days. In spite of the lack of immediate execution, about one quarter of HFTs participate in the pre-opening period, and contribute significantly to market quality in the pre-opening period, the opening auction that ensues and the continuous trading period. Their contribution is largely different from that of the other HFTs during the continuous period.
dc.rightsAttribution-ShareAlike 4.0 International
dc.rights.urihttp://creativecommons.org/licenses/by-sa/4.0/
dc.subjectFinancial Markets
dc.titleLow-Latency Trading and Price Discovery: Evidence from the Tokyo Stock Exchange in the Pre-Opening and Opening Periods
dc.typeWorking Paper
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1513?TSE
dc.source.filename144_SSRN-id2841242
dc.identifier.safeno144
dc.subject.keywordshigh-frequency traders (hfts)
dc.subject.keywordspre-opening
dc.subject.keywordsopening call auction
dc.subject.keywordspricediscovery
dc.subject.keywordsliquidity provision
dc.subject.jelG12
dc.subject.jelG14
dc.subject.topic1foscari
dc.subject.topic1steadily
dc.subject.topic1proportion
dc.subject.topic2idiov
dc.subject.topic2preOpening
dc.subject.topic2cluster
dc.subject.topic3call
dc.subject.topic3market
dc.subject.topic3buy
dc.subject.topic1nameCorporate Finance
dc.subject.topic2nameSaving and Borrowing
dc.subject.topic3nameTrading and Pricing
dc.identifier.doi10.2139/ssrn.2841242


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