Formation of a detailed high-frequency trading (HFT) management plan based on the analyses of HFT impacts on market mechanisms, market participants and social welfare

Objectives

  • Determine the effects of HFT on liquidity, volatility, efficiency, price discovery and social welfare

  • Develop and propose an HFT management plan


Phases

  • Process 5-year ITCH data to select HFT orders based on proxies

  • Reconstruct limit order books (LOBs)

  • Analyze the behavior of HFT orders and trades for different market conditions (e.g. when extreme price movements occur)

  • Analyze fast and ultra-fast cancellations and determine their effects on market liquidity (ghost liquidity)

  • Define measures that would prevent the negative externalities caused by HFT (if any) without removing its advantages for the market


Team

  • Oğuz Ersan (Coordinator) - Kadir Has University

  • Cumhur Ekinci (Researcher) - Istanbul Technical University

  • Nihan Dalgıç (PhD Scholarship Student) - Yeditepe University

  • Yunus Şahin (Part-time MSc Scholarship Student) - Kadir Has University

  • Mehmet Bodur (Part-time MSc Scholarship Student) - Kadir Has University

  • Zeynep Özmen (Part-time Undergraduate Scholarship Student) - Boğaziçi University

  • Hakan Buğra Erentuğ (Part-time Undergraduate Scholarship Student) - Sabancı University


Dates

Nov 2019-June 2022


Financial Support

TUBITAK ARDEB 3501 (Project No 218K566)


Budget

TRY 279,470 (nearly USD 48,000)