TECHNOLOGY AND MARKET QUALITY: THE CASE OF HIGH FREQUENCY TRADING

Technological innovations such as high frequency trading systems (HFT) and algorithmic trading systems have changed financial markets. We discuss technological and economic aspects of HFT and find that HFT have a major impact on all aspects of the internal market structure of exchanges. We use market quality measures on a unique dataset provided by NASDAQ in order to analyze the contribution of HFT to market quality. The empirical results are discussed in the context of external and internal factors of market quality. Our results indicate considerable differences in trading strategies: HFT engage in market making strategies and provide liquidity when it is expensive and demand liquidity when it is cheap. Their trades are more informed than non-HFT trades for stocks with a high market capitalization and therefore make prices more informative, but less informed across the entire sample

The Impact of Computerized Agents on Immediate Emotions, Overall Arousal and Bidding Behavior in Electronic Auctions

The presence of computerized agents has become pervasive in everyday live. In this paper, we examine the impact of agency on human bidders’ affective processes and bidding behavior in an electronic auction environment. In particular, we use skin conductance response and heart rate measurements as proxies for the immediate emotions and overall arousal of human bidders in a lab experiment with human and computerized counterparts. Our results show that computerized agents mitigated 1) the intensity of bidders’ immediate emotions in response to discrete auction events, such as submitting a bid and winning or losing an auction, and 2) the bidders’ overall arousal levels during the auction. Moreover, agency affected bidding behavior and its relation to overall arousal: whereas overall arousal and bids were negatively correlated when competing against human bidders, we did not observe this relationship for computerized agents. In other words, lower levels of agency yield less emotional behavior. The results of our study have implications for the design of electronic auction platforms and markets that include both human and computerized actors

The Economics of Algorithmic Trading

Financial markets have undergone a dramatic technological transformation. Electronic and centralized limit order books dominate the organized securities exchange landscape. Banks and fund companies have invested in trading technology to improve their trade generation and monitoring processes. The automation of these processes is typically called Algorithmic Trading. This work presents one of the first studies of algorithmic trading and its impact on information and liquidity in equity markets

Participation, Feedback & Incentives in a Competitive Forecasting Community

Macro-economic forecasts are used extensively in industry and government even though the historical accuracy and reliability is questionable. Over the last couple of years prediction markets as a community forecasting method have gained interest. An arising question is how to design incentive schemes and feedback mechanisms to motivate participants to contribute to such an information exchange. We design a prediction market for economic derivatives that aggregates macro-economic information. We show that the level of participation is mainly driven by a weekly newsletter which acts as a reminder. In public goods projects participation feedback has been found to increase participants\u27 contributions. We find that the induced competitiveness of market environments seem to superpose classical feedback mechanisms. We show that forecast errors fall over the prediction horizon. The market generated forecasts compare well to the Bloomberg-survey forecasts, the industry standard. Additionally we can predict community forecast error by using an implicit market measure

Algorithmic Trading and Information

We examine algorithmic trades (AT) and their role in the price discovery process in the 30 DAX stocks on the Deutsche Boerse. AT liquidity demand represents 52% of volume and AT supplies liquidity on 50% of volume. AT act strategically by monitoring the market for liquidity and deviations of price from fundamental value. AT consume liquidity when it is cheap and supply liquidity when it is expensive. AT contribute more to the efficient price by placing more efficient quotes and AT demanding liquidity to move the prices towards the efficient price

A systematic review of methods to assess intake of fruits and vegetables among healthy European adults and children: a DEDIPAC (DEterminants of DIet and Physical Activity) study

Evidence suggests that health benefits are associated with consuming recommended amounts of fruits and vegetables (F&V), yet standardised assessment methods to measure F&V intake are lacking. The current review aims to identify methods to assess F&V intake among children and adults in pan-European studies and inform the development of the DEDIPAC (DEterminants of DIet and Physical Activity) toolbox of methods suitable for use in future European studies. A literature search was conducted using three electronic databases and by hand-searching reference lists. English-language studies of any design which assessed F&V intake were included in the review. Studies involving two or more European countries were included in the review. Healthy, free-living children or adults. The review identified fifty-one pan-European studies which assessed F&V intake. The FFQ was the most commonly used (n 42), followed by 24 h recall (n 11) and diet records/diet history (n 7). Differences existed between the identified methods; for example, the number of F&V items on the FFQ and whether potatoes/legumes were classified as vegetables. In total, eight validated instruments were identified which assessed F&V intake among adults, adolescents or children. The current review indicates that an agreed classification of F&V is needed in order to standardise intake data more effectively between European countries. Validated methods used in pan-European populations encompassing a range of European regions were identified. These methods should be considered for use by future studies focused on evaluating intake of F&V

Representations of sport in the revolutionary socialist press in Britain, 1988–2012

This paper considers how sport presents a dualism to those on the far left of the political spectrum. A long-standing, passionate debate has existed on the contradictory role played by sport, polarised between those who reject it as a bourgeois capitalist plague and those who argue for its reclamation and reformation. A case study is offered of a political party that has consistently used revolutionary Marxism as the basis for its activity and how this party, the largest in Britain, addresses sport in its publications. The study draws on empirical data to illustrate this debate by reporting findings from three socialist publications. When sport did feature it was often in relation to high profile sporting events with a critical tone adopted and typically focused on issues of commodification, exploitation and alienation of athletes and supporters. However, readers’ letters, printed in the same publications, revealed how this interpretation was not universally accepted, thus illustrating the contradictory nature of sport for those on the far left