Conference videos

2nd CEPR-Imperial-Plato Market Innovator (MI3) Conference 2018 – Olga Klein


Olga’s paper “Multimarket high-frequency trading and commonality in liquidity” examines the effects of multimarket high-frequency trading activity on systematic liquidity co-movements across different markets.


Multimarket trading by HFTs connects individual markets in a single network, inducing stronger network-wide liquidity co-movements. They used a staggered introduction of an alternative trading platform, Chi-X, in European equity markets as the instrument for an exogenous increase in multimarket HFT activity.


Consistent with predictions, Olga found that liquidity co-movements with an aggregate European market significantly increase after Chi-X introduction and even dominate liquidity co-movements with the home market.


Read the full paper write-up through this link.