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1. 1. Toxicity Levels of Stock Markets : Observing Information Asymmetry in a Multi-Market Setting

   University essay from KTH/Matematisk statistik

   Author : Lukas Molander; Shih Jung Yape; [2017]
   Keywords : High frequency trading HFT ; Market microstructure; Order ow toxicity; Contagion; Adverse selection; Predatory HFT-strategies; Toxicity levels;

   Abstract : The presence of toxic order ow and predatory HFT strategies in a multi-market setting are scarcely researched in the academic world. This thesis studies the toxicity levels of a set of markets by examining unconsolidated quote data and firm specific trade data. READ MORE