FRIC/Finance Seminar with Andreas Park, University of Toronto

Upcoming FRIC/Finance Seminar with Andreas Park, University of Toronto

Monday, January 27, 2014 - 11:00 to 12:15

FRIC Center for Financial Frictions and the Department of Finance areÌýproud to announce the upcoming seminar withÌýAndreas Park, University of Toronto.

Andreas Park will present:

Ìý

Authors:

Andreas Park, University of Toronto
Katya Malinova, University of Toronto
Ryan Riordan, University of Ontario Institute of Technology

Abstract:

Using a change in regulatory fees in Canada in April 2012 that affected highfrequencyÌýquote submissions and cancellations, we analyze the causal impact ofÌýalgorithmic trading activities on the trading costs and intraday returns of retailÌýand institutional traders. Following the change, the number of trades, quotes, andÌýcancellations dropped by 30% and market-wide bid-ask spreads rose by 9%. TradingÌýcosts for market orders, measured by bid-ask spreads, increased for institutions, butÌýremained unaffected for retail traders. Both groups incur higher adverse selectionÌýcosts on their limit orders. Retail traders’ intraday returns, especially from limitÌýorders, declined, while institutions’ returns from market orders increased.

The page was last edited by: Center for Financial Frictions // 07/20/2018