PhD defence of Martin Scholtus on Thursday 27 February 2014
On Thursday 27 February 2014 Martin Scholtus will defend his PhD thesis entitled 'The Impact of High-Frequency Trading on Financial Markets'. Supervisor is Professor Dick van Dijk (Erasmus School of Economics). Other members of the Doctoral Committee are Professor Patrick Verwijmeren (Erasmus School of Economics), Professor Mathijs van Dijk (Rotterdam School of Management) and Professor Albert Menkveld (VU University Amsterdam).
Time and location
The PhD defence will take place in the Senate Hall of Erasmus University Rotterdam and will start at 15.30 hrs.
About Martin Scholtus
Martin Scholtus was born on February 27, 1984 in Amersfoort, The Netherlands. After graduating from high school, Martin obtained Master degrees in Economics (2007) and Econometrics (2009) from the Erasmus University Rotterdam. In 2009 he started his PhD in Economics at the Tinbergen Institute. Part of his work is published in the Journal of Banking and Finance.
About 'The Impact of High-Frequency Trading on Financial Markets'
Over the past decade the rise of automated trading has transformed financial markets. Nowadays, a large part of trading volume can be attributed to high-frequency traders that receive a considerable amount of attention from regulators such as the SEC and media. Part of this attention stems from the continuously growing list of incidents involving high-frequency trading. The most famous incident is, without doubt, the Flash Crash of May 6, 2010. The research presented in this thesis contributes to the knowledge about high-frequency trading by (1) providing a detailed overview of stylized facts of the new trading environment, (2) investigating the importance of trading speed for the profitability of technical and news-based trading strategies, (3) analyzing the effect of high-frequency trading on market quality measures, such as volatility and liquidity, and (4) examining the effect of high-frequency trading on IPO underpricing and market quality on the first trading day of a stock. The results show that trading speed has a significant statistical and economic impact on profitability, especially during macroeconomic news announcements. Furthermore, the effect of an increase in high-frequency trading activity on market quality is mixed, with both positive and negative relations, depending on the market quality and algorithmic trading proxy under consideration.