Darya Yuferova
Associate Professor of Finance
Norwegian School of Economics (NHH)
Darya Yuferova
Associate Professor of Finance
Norwegian School of Economics (NHH)
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Associate Professor of Finance
Norwegian School of Economics (NHH)
Bellia, M., Pelizzon, L., Subrahmanyam, M., Uno, J., and Yuferova, D. (2026)
Pre-Opening Period, High-Frequency Trading, and Market Liquidity
We use order-level data from the Tokyo Stock Exchange with anonymous trader identifiers to document that 20% of high-frequency traders (HFTs) participate in the pre-opening period (Active HFTs). Their participation in the pre-opening period is associated with improved market liquidity. Active HFTs are largely market-makers, contributing to price discovery through quotes rather than trades, supplying liquidity for two-thirds of their trading volume, and are at the top of the book 1.6 times as often as Non-Active HFTs. We find no support for the information channel behind the participation decision; rather, it reflects the benefit of securing a superior queue position.
We use order-level data from the Tokyo Stock Exchange with anonymous trader identifiers to document that 20% of high-frequency traders (HFTs) participate in the pre-opening period (Active HFTs). Their participation in the pre-opening period is associated with improved market liquidity. Active HFTs are largely market-makers, contributing to price discovery through quotes rather than trades, supplying liquidity for two-thirds of their trading volume, and are at the top of the book 1.6 times as often as Non-Active HFTs. We find no support for the information channel behind the participation decision; rather, it reflects the benefit of securing a superior queue position.
Deuskar, P., Upadhyay, S., and Yuferova, D. (2024)
We investigate the behavior of retail traders during repeated bubble episodes using detailed data from the Bombay Stock Exchange. We show that, after controlling for attrition, retail traders are more likely to participate in bubble stocks if they have prior bubble experience. Retail traders making extreme profits in the previous bubble episodes are less prone to engaging in future bubble riding. Moving from extreme profits to extreme losses in the previous bubble episodes monotonically increases the likelihood of future bubble participation. This pattern is consistent with the break-even effect observed in the context of prospect theory preferences.
We investigate the behavior of retail traders during repeated bubble episodes using detailed data from the Bombay Stock Exchange. We show that, after controlling for attrition, retail traders are more likely to participate in bubble stocks if they have prior bubble experience. Retail traders making extreme profits in the previous bubble episodes are less prone to engaging in future bubble riding. Moving from extreme profits to extreme losses in the previous bubble episodes monotonically increases the likelihood of future bubble participation. This pattern is consistent with the break-even effect observed in the context of prospect theory preferences.
Bellia, M., Pelizzon, L., Subrahmanyam, M., Uno, J., and Yuferova, D. (2020)
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).
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).
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