Abstract

https://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

January 1, 2017


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 at the OSE would pay a fee on an OTR exceeding 70:1. Traders reacted to the regulation, measured OTRs fell. Market quality, measured with depth, spreads, and realized volatility, remained largely unchanged. This differs sharply from the experience at other market places, such as Italy and Canada, where similar regulatory changes were accompanied by a worsening of liquidity. The unchanged market quality at the OSE is likely due to the different design of the regulation, which is designed to encourage liquidity supply.

Number of Pages in PDF File: 27

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

JEL Classification: G10, G20


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Date posted: February 22, 2014 ; Last revised: January 31, 2017

Suggested Citation

Jorgensen, Kjell and Skjeltorp, Johannes Atle and Ødegaard, Bernt Arne, Throttling Hyperactive Robots - Order to Trade Ratios at the Oslo Stock Exchange (January 1, 2017). Available at SSRN: https://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
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