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Effect of High-Frequency Trading on Financial Market Parameters on the Moscow Stock Exchange

Student: Zaytsev Yury

Supervisor: Vincent Fardeau

Faculty: International College of Economics and Finance

Educational Programme: Double degree programme in Economics of the NRU HSE and the University of London (Bachelor)

Year of Graduation: 2019

In this paper, I analyzed Big Data of the MOEX stock market in order to identify the effect of HFTs on the market quality parameters and speed of price adjustment after ER. The effect was measured by comparing period, when the presence of HFTs was low, 2010 year, and the period when the presence of HFTs was high, 2013 year. The results show that overall market quality improved. That was indicated by analysis of four liquidity measures and two volatility measures. Liquidity of the market enhanced and volatility of the market reduced after the wide appearance of HFTs. However, quality parameters enhanced only for the most traded stocks, as they are the market for HFTs. The speed of price adjustment after ER decreased by 50% for positive surprises of ER. For negative surprises the results are ambiguous. Thus, HFTs have an overall positive effect on the quality parameters of the financial market and time of the price adjustment after earnings announcements.

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