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Coming early to the party

Author

Listed:
  • Mario Bellia

    (Department of Economics, Ca' Foscari University of Venice; SAFE, Goethe University)

  • Loriana Pelizzon

    (Department of Economics, Ca' Foscari University of Venice; SAFE, Goethe University)

  • Marti G. Subrahmanyam

    (Leonard N. Stern School of Business, New York University)

  • Jun Uno

    (Waseda University; Ca' Foscari University of Venice)

  • Darya Yuferova

    (Norwegian School of Economics (NHH))

Abstract

We examine the strategic behavior of High Frequency Traders (HFTs) during the pre-opening phase and the opening auction of the NYSE-Euronext Paris exchange. HFTs actively participate, and profitably extract information from the order flow. They also post "flash crash" orders, to gain time priority. They make profits on their last-second orders; however, so do others, suggesting that there is no speed advantage. HFTs lead price discovery, and neither harm nor improve liquidity. They "come early to the party", and enjoy it (make profits); however, they also help others enjoy the party (improve market quality) and do not have privileges (their speed advantage is not crucial).

Suggested Citation

  • Mario Bellia & Loriana Pelizzon & Marti G. Subrahmanyam & Jun Uno & Darya Yuferova, 2020. "Coming early to the party," Working Papers 2020:11, Department of Economics, University of Venice "Ca' Foscari".
    • Handle: RePEc:ven:wpaper:2020:11
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    References listed on IDEAS

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    3. Theissen, Erik & Westheide, Christian, 2020. "Call of duty: Designated market maker participation in call auctions," Journal of Financial Markets, Elsevier, vol. 49(C).
    4. Panagiotis Anagnostidis & Patrice Fontaine & Christos Varsakelis, 2020. "Are high–frequency traders informed?," Post-Print hal-03062831, HAL.

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    More about this item

    Keywords

    High-Frequency Traders (HFTs); Proprietary Trading; Opening Auction; Liquidity Provision; Price Discovery;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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