HFT activity increases periodic auctions costs

Eightfold jump in market impact as more trades head to once-benign execution format

Upwards trading

The cost of trading stocks via periodic auctions has risen since the start of 2022, with some blaming a rush of high frequency trading (HFT) activity for an eightfold jump in price moves generated by the increasingly popular execution type.

Periodic auctions, which match batches of orders at frequent intervals throughout the day, are intended to minimise market impact when trading on lit venues.

A new study by analytics firm big xyt, however, shows the so-called reversion offset for these

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options


Want to know what’s included in our free membership? Click here

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here