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)