|
|
The European Securities and Markets Authority (ESMA) published an economic report looking into the extent of high-frequency trading (HFT) activity in the European Union’s equity markets.
This is the first study into HFT across major venues in the EU. ESMA’s approach provides a lower bound of HFT activity (based on the primary business of firms – 24% of equity value traded) and an upper bound of HFT activity (based on the lifetime of orders – 43% of equity value traded).
ESMA’s report also shows that the level of HFT activity varies widely between the estimation Theresults also show that the level of HFT activity varies widely between trading venues.ESMA also observes that HFT activity is linked to market capitalisation with HFT activity increasing with the market capitalisation of stocks. This report describes the results of the first part of the ESMA research on HFT. Further research is needed regarding: