Lise Arena

A Reexamination of High Frequency Trading Regulation Effectiveness in an Artificial Market Framework

In this paper we analyze the impact of the French cancel order tax on market quality measured by market liquidity and volatility. Additionally, this paper raises the question whether this tax leads to reduction of high-frequency trading (HFT) activities and a declining in trading volume. Moreover, we test market rules that have not been yet introduced using artificial market framework.

Time to Slow Down for High-Frequency Trading? Lessons from Artificial Markets

Summary In this paper, we focus on the French cancel order tax implemented on 1 August 2012. We question the effectiveness of the modified tax with no exemptions and we analyze its impact on market quality, measured by liquidity, volatility and efficiency. Additionally, this paper raises the question whether this tax leads to a reduction of high-frequency trading (HFT) activities and a decline in trading volume. Based on our findings we report that introduction of cancel order tax only slightly reduces HFT activities, but it significantly affects market liquidity, increases market volatility and leads to deteriorating market efficiency. We conclude that it is difficult to dissuade investors from entering into unproductive trades and eliminate negative outputs of HFT (such as price manipulations) through tax, without altering the benefits of HFT like liquidity provision and efficient price discovery.

The virtues of dialogue between academics and businessmen

Abstract This article aims to understand the process of production of knowledge in the field of business organisation and in problems of administration. It argues that the acquisition of this type of knowledge is greatly assisted by the developments of dialogue between academics and industrialists. It looks at a method which has been applied in England during the period late 1940s to early 1970s in three academic seminars: the Seminar in Problems of Administration at the LSE (1947–1972); the Industrial Seminar at Birmingham University (late 1950s‒1972); and the BPhil Seminar in Economics of Industry at the University of Oxford (1957–1974). By the mid-1970s, these three seminars had ceased to exist and left room for the rapid development of management studies, on the one hand, and the formalisation of industrial economics (game theory), on the other.