Canceled – Seminar Rosario Mantegna – March 24, 2020

Mar 24 2020

 

Sospeso per indicazioni ministeriali

Rosario Mantegna (Palermo University)

Trading networks in a stock exchange: the case of LSE and of the Nordic Stock Exchange with a focus on high-frequency trading

 

Canceled

 

 Abstract

We study the heterogeneity of financial actors trading in a fully electronic stock market. The investigated stock markets are the Nordic Stock exchange and the London Stock Exchange. By using network concepts and network filtering methods we detect specialization of market members. Specifically, we detect over-expressed and under-expressed trading interactions of some market members that are statistically robust and that are stable over long period of times. These networked structures are specific to each market, time period, and specific financial asset. By analyzing trading networks both for buyers-sellers and aggressors-counterparties we interpret some network structures as related to the diffusion and implementation of high-frequency trading.