Real-Time Risk by Irene Aldridge & Steven Krawciw

Author:Irene Aldridge & Steven Krawciw
Language: eng
Format: epub
ISBN: 9781119319047
Publisher: Wiley
Published: 2017-03-13T00:00:00+00:00

Figure 5.8 Aggressive HFT buyers and sellers in American Express (NYSE:AXP) on October 2, 2015

Are aggressive HFTs to blame for the sharp sell‐off following the news? The data indicate that most likely not, since aggressive HFT activity was quite balanced after the news announcement period, with the proportion of aggressive HFT sellers exceeding that of aggressive HFT buyers by a mere 3.5 percent (38.5 percent and 35 percent, respectively). However, aggressive HFT trading on fully embargoed information at the top of the hour prior to the news announcement when the aggressive HFT sellers exceeded aggressive HFT buyers by 19 percent (34 percent versus 15 percent) cannot be completely ruled out.

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