There were recently two notable developments with respect to studies documenting high frequency trading in Canadian capital markets. We have summarized these developments in this piece.
First, the results of a study on the impact of high frequency trading (HFT) on securities trading on the TSX Venture Exchange (TSXV) was recently published by the British Columbia Securities Commission (BCSC) and the Alberta Securities Commission (ASC).
The study tested two hypotheses: (i) that HFT was increasing the volatility in the share prices of issuers listed on the TSXV that were frequently targeted by HFT in comparison to securities that were not frequently targeted by HFT; and (ii) high frequency traders more frequently sell short, or try to sell short, on a downtick following news than other market participants.
Matei Olaru –Â Canadian Securities Law –Â OCTOBER 26, 2015.
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