High frequency trading and market quality : an analysis on Dow Jones industrial average and its component stocks

This paper examines the market quality in the US securities market surrounding the “Flash Crash” on May 6, 2010 by focusing on the Dow Jones Industrial Average (DJIA) and its component stocks. The study defines market quality in three dimensions: stock price’s volatility, trading activity, and liqui...

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Bibliographic Details
Main Authors: Yap, Jia Wei, Du, Jing, Zhang, Shu Qi
Other Authors: Charlie Charoenwong
Format: Final Year Project
Language:English
Published: 2013
Subjects:
Online Access:http://hdl.handle.net/10356/51587
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Institution: Nanyang Technological University
Language: English

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