Thesis
High-frequency trading and layering manipulation practices: An empirical investigation of Australian market quality
Southern Cross university, School of Business and Tourism
Doctor of Philosophy (PhD), Southern Cross University
2018
DOI:
https://doi.org/10.25918/thesis.103
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Abstract
Recent advances in information and communication technology have impacted on market trading. Market participants, using complex algorithms processed by powerful computers can analyse market and execute order almost instantly. This thesis examines (1) the capacity of the Australian market to absorb information into prices; and (2) the existence of market manipulation in the Australian market, specifically layering manipulation. The research findings suggest that the ASX is informationally efficient enough to accommodate the rapidly growing presence of HFT. Findings concerning the impact of HFT on market integrity are less positive - layering is both observable and profitable in the Australian data analysed.
Note: Chapters 4, 5 & 6 are Commercial in Confidence and redacted from the thesis .pdf
Details
- Title
- High-frequency trading and layering manipulation practices: An empirical investigation of Australian market quality
- Creators
- Panha Heng
- Contributors
- Scott James Niblock (Supervisor) - Southern Cross UniversityJennifer L Harrison (Supervisor) - Southern Cross UniversityElisabeth Sinnewe (Supervisor) - Southern Cross University
- Awarding Institution
- Southern Cross University; Doctor of Philosophy (PhD)
- Theses
- Doctor of Philosophy (PhD), Southern Cross University
- Publisher
- Southern Cross university, School of Business and Tourism
- Number of pages
- xi, 191
- Identifiers
- 991012910000302368
- Copyright
- © Panha Heng 2018
- Academic Unit
- Faculty of Business, Law and Arts
- Resource Type
- Thesis