Abstract

http://ssrn.com/abstract=2399225
 


 



Throttling Hyperactive Robots - Order to Trade Ratios at the Oslo Stock Exchange


Kjell Jorgensen


BI Norwegian Business School - Department of Financial Economics

Johannes Atle Skjeltorp


Central Bank of Norway

Bernt Arne Ødegaard


University of Stavanger; Norwegian School of Economics (NHH)

March 18, 2016


Abstract:     
We investigate the effects on market quality from the introduction of a fee on excessive order to trade ratios (OTR) at the Oslo Stock Exchange (OSE). Traders reacted to the regulation, increasing the size of the average order, reducing order to trade ratios. Market quality, measured with such common measures as depth, spreads, and realized volatility, remained largely unchanged. This differs sharply from the experience in other market places, such as Italy and Canada, where similar regulatory changes were accompanied by worsening liquidity. The unchanged market quality at the OSE is likely due to a better design of the regulation, which is designed to encourage liquidity supply.

Number of Pages in PDF File: 32

Keywords: High Frequency Trading, Regulation, Order to Trade Ratio

JEL Classification: G10, G20


Open PDF in Browser Download This Paper

Date posted: February 22, 2014 ; Last revised: March 20, 2016

Suggested Citation

Jorgensen, Kjell and Skjeltorp, Johannes Atle and Ødegaard, Bernt Arne, Throttling Hyperactive Robots - Order to Trade Ratios at the Oslo Stock Exchange (March 18, 2016). Available at SSRN: http://ssrn.com/abstract=2399225 or http://dx.doi.org/10.2139/ssrn.2399225

Contact Information

Kjell Jorgensen
BI Norwegian Business School - Department of Financial Economics ( email )
Nydalsveien 37
Oslo, 0442
Norway
HOME PAGE: http://www.bi.no
Johannes Atle Skjeltorp
Central Bank of Norway ( email )
P.O. Box 1179
Oslo, N-0107
Norway
HOME PAGE: http://www.norges-bank.no/research/skjeltorp/

Bernt Arne Ødegaard (Contact Author)
University of Stavanger ( email )
UiS Business School
Stavanger, NO-4036
Norway
HOME PAGE: http://www1.uis.no/ansatt/odegaard
Norwegian School of Economics (NHH) ( email )
Department of Finance
Helleveien 30
Bergen, 5045
Norway
Feedback to SSRN


Paper statistics
Abstract Views: 621
Downloads: 111
Download Rank: 183,250

© 2016 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollobot1 in 0.235 seconds