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High-frequency Trading, Market Volatility, and Regulation: The Role of High-frequency Quoting and Dark Pools

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  • Lafarguette Romain

Abstract

In November 2016, the European Commission published its proposals on the reform of EU banking rules to further strengthen the resilience of EU banks, complete the post-crisis reform agenda and address outstanding challenges to financial stability. In March and November 2017, the ECB published opinions on various aspects of the proposed package. This article outlines the key messages in those opinions that are of particular importance from a macroprudential perspective. JEL Classification:

Suggested Citation

  • Lafarguette Romain, 2016. "High-frequency Trading, Market Volatility, and Regulation: The Role of High-frequency Quoting and Dark Pools," Macroprudential Bulletin, European Central Bank, vol. 2.
    • Handle: RePEc:ecb:ecbmbu:2016:0002:3
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    File URL: https://www.ecb.europa.eu/pub/pdf/mpbu/ecbmpbu201610.en.pdf?57b46eac54fffde1c8a45b39639a151d
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    References listed on IDEAS

    as
    1. Biais, Bruno & Foucault, Thierry & Moinas, Sophie, 2015. "Equilibrium fast trading," Journal of Financial Economics, Elsevier, vol. 116(2), pages 292-313.
    2. Thierry Foucault & Johan Hombert & Ioanid Roşu, 2016. "News Trading and Speed," Journal of Finance, American Finance Association, vol. 71(1), pages 335-382, February.
    3. Jonathan Brogaard & Björn Hagströmer & Lars Nordén & Ryan Riordan, 2015. "Trading Fast and Slow: Colocation and Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 28(12), pages 3407-3443.
    4. Monica Petrescu & Michael Wedow & Natalia Lari, 2017. "Do dark pools amplify volatility in times of stress?," Applied Economics Letters, Taylor & Francis Journals, vol. 24(1), pages 25-29, January.
    5. Buti, Sabrina & Rindi, Barbara & Werner, Ingrid M., 2010. "Diving into Dark Pools," Working Paper Series 2010-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
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    Cited by:

    1. Sánchez Serrano Antonio, 2020. "High-Frequency Trading and Systemic Risk: A Structured Review of Findings and Policies," Review of Economics, De Gruyter, vol. 71(3), pages 169-195, December.

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