Research and analysis

Computer trading: end of day manipulation

Report looking at the link between high frequency trading and end of day manipulation.

• From: Government Office for Science
• Published: 23 October 2012

Documents

High frequency trading and end of day manipulation (DR22)

Ref: BIS/12/1055

PDF, 525 KB, 51 pages

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Details

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.

Published 23 October 2012