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.

 

http://platopartnership.com/2nd-cepr-imperial-plato-market-innovator-mi3-conference-2018-multimarket-high-frequency-trading-commonality-liquidity/