2014
High-Frequency Activity on NASDAQ
Publication
Publication
Abstract
We document stylized facts of overall trading activity and algorithmic trading activity in the S&P 500 Exchange Traded Fund traded on NASDAQ over the period January 6, 2009 up to December 12, 2011. Overall trading activity is characterized by strong periodicity over the day, hour, minute, and second. Algorithmic activity at the top of the order book has no periodicity within the second and is mainly event-based, in particular around macroeconomic news announcements. About 60% of all orders are canceled within 1 second after entering the order book. The percentage of bid or ask improvements that disappears within 1 second is 80%. Especially in 2009 vanished bid or ask improvements leave a worse order book behind.
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| doi.org/10.1016/B978-0-12-802205-4.00001-4, hdl.handle.net/1765/77880 | |
| Econometric Institute Reprint Series | |
| Organisation | Erasmus School of Economics |
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Scholtus, M., & van Dijk, D. (2014). High-Frequency Activity on NASDAQ. In The Handbook of High Frequency Trading (pp. 3–23). doi:10.1016/B978-0-12-802205-4.00001-4 |
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