The behaviour of high-frequency traders under different market stress scenarios


This empirical study on European stocks gives evidence about the practices of high-frequency traders (HFTs) under market stress. In the absence of significant news, whatever the market conditions, they are the main... [ view full abstract ]


  1. Pamela Saliba (Ecole Polytechnique-CMAP and AMF (Autorite Des Marches Financiers))
  2. Nicolas Megarbane (AMF (Autorite des Marches Financiers))
  3. Mathieu Rosenbaum (Ecole Polytechnique-CMAP)
  4. Charles-Albert Lehalle (CFM (Capital Fund Management))

Topic Areas

Econometrics , High-Frequency Trading , Liquidity


TH-P-DA » Markets Stylized Facts and Econometrics (14:30 - Thursday, 19th July, Davis)

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