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SUMMARY:Ultra-Fast Activity and Market Quality - Penalva\, J (Universidad 
 Carlos III de Madrid)
DTSTART:20131120T160000Z
DTEND:20131120T165000Z
UID:TALK48918@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:This paper analyses the relationship between ultra-fast activi
 ty taking place in the stock market\, and different dimensions of market q
 uality. For us "ultra-fast activity" includes the actions of both high-fre
 quency proprietary trading as well as automated buy- and sell-side algos. 
 In order to measure this ultra-fast activity empirically we define a new m
 easure\, which uses information on messages sent to the exchange\, We then
 \, use this measure as proxy for ultra-fast activity\, and analyze its rel
 ationship with standard measures of market quality\, during the month of m
 arch for every year between 2005 and 2011 (inclusive). Our analysis finds 
 evidence that higher ultra-fast activity is associated with lower market q
 uality: less depth in limit order book\, higher effective spreads\, and hi
 gher quoted spreads. 
LOCATION:Seminar Room 2\, Newton Institute Gatehouse
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