This work is accessible only to Trinity faculty, staff, and students. Off-Campus Trinity users should click the "Off-Campus Download" button below, then enter your Trinity username and password when prompted.
Date of Award
Spring 2015
Degree Name
Bachelor of Science
Major
Economics
First Advisor
Professor Hoag
Second Advisor
Professor Butos
Abstract
This paper considers the effect of high-frequency trading activity on the proportion of overall trade volume occurring in dark pools. We measure the degree of high-frequency trading (HFT) within the market for a particular security by using cancel to trade ratio as a proxy. Data on percent of trade volume in dark pools, cancel to trade, and variables to control for market quality are collected for 744 securities weekly from the time period of August 25, 2014 to November 14, 2014. Using a fixed effects panel regression, this study does not find significant evidence to support the conjecture that HFT pushes trade volume off of the public exchanges.
Recommended Citation
Zimmermann, Lauren V., "High-Frequency Trading and Dark Pool Activity". Senior Theses, Trinity College, Hartford, CT 2015.
Trinity College Digital Repository, https://digitalrepository.trincoll.edu/theses/485
Comments
Senior thesis completed at Trinity College for the degree of Bachelor of Science in Economics. Full text access is limited to the Trinity campus.