“High-Frequency Trading: What is it Good for?”. Charla de Austin Gerig

Wednesday, 12 September, 2012 | CALENDAR, EVENTS

Thursday, 27 de September, 2012

(spanish version only)

Dr. Austin Gerig, se desempeña como Senior Research Fellow en el CABDyN Complexity Centre en la Universidad de Oxford. Recibió su doctorado en Física y máster en Ciencias en la Universidad de Illinois en Urbana-Champaign. Antes de llegar a Oxford, trabajó como Postdoctoral Research Fellow en el Instituto de Santa Fe y luego como Research Fellow en la escuela de Finanzas y Economía de la Universidad Tecnológica de Sydney.

CHARLA “High-Frequency Trading: What is it Good for?”

Cuándo: Jueves 27 de septiembre 13:00 hrs.

Dónde: Sala Penal, UDD Campus Ernesto Silva Bafalluy, Av. La Plaza 680, Las Condes

Idioma: Inglés


Abstract: In recent years, financial markets have experienced a dramatic increase in high-frequency trading (HFT), i.e., extremely fast, autonomous computerized trade. There is growing evidence that high-frequency trading makes markets more efficient — increasing the accuracy of prices and lowering transaction costs — but it is unclear how HFT activity provides these benefits. Using a special dataset from the NASDAQ stock exchange, I show that HFT synchronizes market prices so that the values of related securities change contemporaneously.
With a simple model, I demonstrate how synchronization increases market efficiency: prices are more accurate and transaction costs are reduced. This research highlights an important role that HFT plays in markets, explains how HFT can increase market efficiency yet also be profitable, and should be useful for policy makers who are currently deciding how to regulate HFT.

Link: http://www.cabdyn.ox.ac.uk/people_pages/complexity_people_gerig.asp