Коровина Елизавета Игоревна
Влияние высокочастотной торговли на агрегирование информации российским рынком акций
Факультет экономики (Пермь)
INFLUENCE OF HIGH FREQUENCY TRADING ON PRICE DISCOVERY ON THE RUSSIAN STOCK MARKET Korovina E. I. In this study is focused on estimating the implicit influence of rapidly growing high frequency trading on the price discovery process through estimation the information asymmetry component of spread. This paper applies the continuous sequential model of Easley, Kiefer, O’Hara and Paperman (1996), to estimate the probability of informed trading using trade data for Sberbank stocks. The estimation period is divided into two parts: January, 2000 and January, 2012. It was evaluated that the PIN is higher for the second period of estimation as well as the rate of informed trade arrival. In addition, it was found that probability of informed trading depends on the proportion of buys and sells within each “minute” in the whole number of operations.