Essays in High Frequency Trading and Market Structure

PhD Thesis

Harrison, M. 2023. Essays in High Frequency Trading and Market Structure. PhD Thesis University of East London School of Business and Law
AuthorsHarrison, M.
TypePhD Thesis

High Frequency Trading (HFT) is the use of algorithmic trading technology to gain a speed advantage when operating in financial markets. The increasing gap between the fastest and the slowest players in financial markets raises questions around the efficiency of markets, the strategies players must use to trade effectively and the overall fairness of markets which regulators must maintain. This research explores markets affected by HFT activity from three perspectives. Firstly an updated microstructure model is proposed to allow for empirical exploration of current levels of noise in financial markets, this illustrates current noise levels are not disruptive to dominant trading strategies. Second, a ARCH type model is used to de-compose market data into a series of traders working price levels to demonstrate that in cases of suspected market abuse, regulators can assess the impact individual traders make on price even in fast markets. Finally, a review of various HFT control measures are examined in terms of effectiveness and in light of an ordoliberal benchmark of fairness. The work illustrates the extents to which HFT activity is not yet disruptive, but also shows where HFT can be a conduit for market abuse and provides a series of recommendations around use of circuit breakers, algorithmic governance standards and additional considerations where assets are dual listed in different countries.

PublisherUniversity of East London
Digital Object Identifier (DOI)
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Publication dates
Online27 May 2023
Publication process dates
Completed10 Feb 2023
Deposited27 May 2023
Copyright holder© 2023, The Author
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An evolution of global and regional banking networks: A focus on Japanese banks’ international expansion
Harrison, M., Nakajima, J. and Shabani, M. 2023. An evolution of global and regional banking networks: A focus on Japanese banks’ international expansion. Journal of International Financial Markets, Institutions and Money. 83, p. 101717.