Do High Frequency Traders Need to be Regulated? | Hanlon Financial Systems Center

Do High Frequency Traders Need to be Regulated?

Do High Frequency Traders Need to be Regulated?

seminar date: 
Thursday, February 18, 2016 - 5:45pm
seminar location: 
BC122
Tarun Chordia, Emory University
Abstract: 

Stock index exchange traded funds and futures prices respond to macroeconomic announcement surprises within a tenth of a second, with trading intensity increasing ten-fold in the quarter second following the news release. Profits from trading quickly on announcement surprises are relatively small, however, and decline in recent years. Trading profits also decrease with relative quote intensity. The speed of information incorporation increases in recent years and order flow becomes less informative, consistent with prices responding to news directly rather than indirectly through trading. Our evidence is consistent with increasing competition among high frequency traders, which mitigates concerns about their speed advantage. 

 

Bio: 

Professor Tarun Chordia received his PhD in finance from the Anderson School, UCLA, in 1993. He was an Assistant Professor of Finance at the Owen Graduate School of Management, Vanderbilt University from 1993. He joined the Goizueta Business School at Emory University in 2000.  Prior to his doctoral studies, he worked for Citibank as a relationship and credit manager in the Financial Institutions Group.

Professor Chordia’s research is grounded in both theory and empirical methods, and spans a diverse area of financial economics. He has received numerous awards for his research on empirical asset pricing and market microstructure. Professor Chordia has published extensively in the top finance journals, such as Journal of Business, Journal of Finance, Journal of Financial Economics, Journal of Financial Markets, Journal of Financial and Quantitative Analysis and the Review of Financial Studies. He is currently the managing editor of the Journal of Financial Markets and a past associate editor of Review of Financial Studies. He has been on the program committee for the American Finance Association, European Finance Association, NBER Market Microstructure group, Stern Microstructure Conference, the Utah Winter Finance Conference and the Western Finance Association meetings, and is a referee for numerous journals.
The Financial Engineering Seminar Series is a centerpiece of the graduate Financial Engineering program.  Its mandate is to arrange talks on current research and industry trends in financial engineering and quantitative finance that will be of interest to those who work in both industry and academia. This event is sponsored by the School of Systems & Enterprises, Financial Engineering Division.

- See more at: http://www.stevens.edu/news/content/financial-engineering-seminar-tarun-...