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Global Algorithmic Capital Markets - High Frequency Trading, Dark Pools, and Regulatory Challenges | Oxford Scholarship Online
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Global Algorithmic Capital Markets: High Frequency Trading, Dark Pools, and Regulatory Challenges

Walter Mattli

Abstract

This book illustrates and assesses the dramatic recent transformations in capital markets worldwide and the impact of those transformations. ‘Market making’ by humans in centralized markets has been replaced by supercomputers and algorithmic high frequency trading operating in often highly fragmented markets. How do recent market changes impact on core public policy objectives such as investor protection, reduction of systemic risk, fairness, efficiency, and transparency in markets? The operation and health of capital markets affect all of us and have profound implications for equality and jus ... More

Keywords: high frequency trading, high-speed trading, algorithmic trading, algorithmic trade, market structure, financial regulation, dark pool, market governance, market regulation

Bibliographic Information

Print publication date: 2018 Print ISBN-13: 9780198829461
Published to Oxford Scholarship Online: January 2019 DOI:10.1093/oso/9780198829461.001.0001

Authors

Affiliations are at time of print publication.

Walter Mattli, editor
Professor of International Political Economy, St John's College, University of Oxford, UK

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Contents

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Part 1 High Frequency Trading: Key Topics

2 Is Trading Fast Dangerous?

Thierry Foucault and Sophie Moinas

4 The FX Race to Zero

Dan Marcus and Miles Kellerman

Part 2 Market Quality and Best Order Execution

5 A Comparison of Execution Quality across US Stock Exchanges

Elaine Wah, Stan Feldman, Francis Chung, Allison Bishop, and Daniel Aisen

7 Better ‘Best Execution’

Christopher Nagy and Tyler Gellasch

Part 3 Analytical and Regulatory Frameworks

8 Naked Open-Market Manipulation and Its Effects

Merritt B. Fox, Lawrence R. Glosten, and Gabriel V. Rauterberg

Part 4 Regulatory Agencies and Market Structure Regulation

13 A Framework for Responsive Market Regulation

Timothy Baikie, Tracey Stern, Susan Greenglass, and Maureen Jensen

End Matter