Report looking at the link between high frequency trading and end of day manipulation.
Ref: BIS/12/1055 PDF, 525KB, 51 pages
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This report studies the link between high frequency trading (HFT) and end of day price manipulation. It examines the impact of HFT on the frequency and severity of suspected end of day manipulation cases in 22 stock exchanges around the world over the period January 2003 to June 2011.
This review was commissioned as part of the Foresight project on the future of computer trading.