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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| Main Authors: | , , |
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| 其他作者: | |
| 格式: | Final Year Project |
| 語言: | English |
| 出版: |
2013
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| 主題: | |
| 在線閱讀: | http://hdl.handle.net/10356/51587 |
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| 機構: | Nanyang Technological University |
| 語言: | English |