Sökning: "Dirk Van Den Hoorn"

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  1. 1. The Relationship between High Frequency Trading and Stock Market Volatility

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Mattias Nilsson; Dirk van den Hoorn; [2012]
    Nyckelord :Algorithmic Trading; High Frequency Trading; Stock Market Volatility; Nordic Stock Markets; EGARCH; Granger-Causality; Business and Economics;

    Sammanfattning : This paper investigates the relationship between high frequency trading (HFT) activity and stock market volatility on the Nordic stock markets. The study utilizes a unique dataset that provides a proxy of the fraction of the total market turnover in which HFT firms were involved in the time period from March 2010 to March 2012. LÄS MER