Fast trading and price discovery in the financial crisis: Evidence from the Taiwan futures market

William T. Lin, Zi Huang Huang, Shih Chuan Tsai*

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

This paper used millisecond-level intraday data from the Taiwan futures market during the financial crisis to propose an effective data processing method using the program and a non-SQL database. Fast traders were classified based on the investors’ trading volume and position size. First, the state space model was used to decompose the prices. It was discovered that fast trading (FT) can cause permanent price increments, which are independent of temporary prices. FT during the financial crisis helped improve price efficiency and liquidity. Second, the activity of FT is based on public information, which makes price discovery during a high-Volatility Index (VIX) period possible and causes an increase in the adverse selection cost of non-fast traders (non-FT).

Original languageEnglish
Title of host publicationWeb Information Systems and Applications - 17th International Conference, WISA 2020, Proceedings
EditorsGuojun Wang, Xuemin Lin, James Hendler, Wei Song, Zhuoming Xu, Genggeng Liu
PublisherSpringer Science and Business Media Deutschland GmbH
Pages525-536
Number of pages12
ISBN (Print)9783030600280
DOIs
Publication statusPublished - 2020
Event17th International Conference on Web Information Systems and Applications, WISA 2020 - Guangzhou, China
Duration: 2020 Sep 232020 Sep 25

Publication series

NameLecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Volume12432 LNCS
ISSN (Print)0302-9743
ISSN (Electronic)1611-3349

Conference

Conference17th International Conference on Web Information Systems and Applications, WISA 2020
Country/TerritoryChina
CityGuangzhou
Period2020/09/232020/09/25

Keywords

  • Data mining
  • Fast trading
  • Financial crisis
  • Futures market
  • Price discovery

ASJC Scopus subject areas

  • Theoretical Computer Science
  • Computer Science(all)

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