{"id":157761,"date":"2024-05-03T16:37:22","date_gmt":"2024-05-03T14:37:22","guid":{"rendered":"https:\/\/www.ieseg.fr\/?post_type=events&#038;p=157761"},"modified":"2024-05-03T16:37:46","modified_gmt":"2024-05-03T14:37:46","slug":"research-seminar-does-high-frequency-market-manipulation-harm-market-quality","status":"publish","type":"events","link":"https:\/\/www.ieseg.fr\/en\/events\/research-seminar-does-high-frequency-market-manipulation-harm-market-quality\/","title":{"rendered":"[Research Seminar] &#8216;Does High Frequency Market Manipulation Harm Market Quality?&#8217;"},"content":{"rendered":"<div class=\"wp-block-image\">\n<figure class=\"aligncenter\"><img loading=\"lazy\" width=\"880\" height=\"250\" src=\"https:\/\/www.ieseg.fr\/wp-content\/uploads\/2022\/09\/Bandeaux-events-seminaire-recherche.jpg\" alt=\"\" class=\"wp-image-133330\" srcset=\"https:\/\/www.ieseg.fr\/wp-content\/uploads\/2022\/09\/Bandeaux-events-seminaire-recherche.jpg 880w, https:\/\/www.ieseg.fr\/wp-content\/uploads\/2022\/09\/Bandeaux-events-seminaire-recherche-300x85.jpg 300w, https:\/\/www.ieseg.fr\/wp-content\/uploads\/2022\/09\/Bandeaux-events-seminaire-recherche-768x218.jpg 768w, https:\/\/www.ieseg.fr\/wp-content\/uploads\/2022\/09\/Bandeaux-events-seminaire-recherche-150x43.jpg 150w, https:\/\/www.ieseg.fr\/wp-content\/uploads\/2022\/09\/Bandeaux-events-seminaire-recherche-400x114.jpg 400w\" sizes=\"(max-width: 880px) 100vw, 880px\" \/><\/figure><\/div>\n\n\n<p class=\"has-text-align-center\"><strong>Speaker: Dan LI<\/strong><br><em>CHINESE UNIVERSITY OF HONG KONG<\/em><\/p>\n\n\n\n<p class=\"has-text-align-center\"><strong>May 16th, 2024 from 2pm to 3:30pm<br>in Paris campus (L712) &amp; on Zoom<\/strong><\/p>\n\n\n\n<p class=\"has-text-align-center\">&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8211;<\/p>\n\n\n\n<h2>ABSTRACT<\/h2>\n\n\n<div class=\"wp-block-image\">\n<figure class=\"alignleft size-full\"><img loading=\"lazy\" width=\"400\" height=\"400\" src=\"https:\/\/www.ieseg.fr\/wp-content\/uploads\/2022\/09\/Finance-research-seminar.jpg\" alt=\"\" class=\"wp-image-133336\" srcset=\"https:\/\/www.ieseg.fr\/wp-content\/uploads\/2022\/09\/Finance-research-seminar.jpg 400w, https:\/\/www.ieseg.fr\/wp-content\/uploads\/2022\/09\/Finance-research-seminar-300x300.jpg 300w, https:\/\/www.ieseg.fr\/wp-content\/uploads\/2022\/09\/Finance-research-seminar-150x150.jpg 150w\" sizes=\"(max-width: 400px) 100vw, 400px\" \/><\/figure><\/div>\n\n\n<p>Manipulation of financial markets has long been a concern. With the automation of financial markets, the potential for high frequency market manipulation has arisen. Yet, such behavior is hidden within vast sums of order book data, making it difficult to define and to detect. We develop a tangible definition of one type of manipulation, spoofing. Using proprietary user-level identified order book data, we show the determinants of spoofing. Exploiting lagged spoofing profitability and SEC Litigation Releases as instruments, we show causal evidence that spoofing increases return volatility, increases trading costs, and decreases price efficiency. The findings indicate that spoofing harms liquidity and price discovery.<\/p>\n\n\n\n<p class=\"has-text-align-center\"><a href=\"https:\/\/acrobat.adobe.com\/link\/review?uri=urn:aaid:scds:US:c36171c0-9107-3ad4-8e9f-6e0e4127072c\" target=\"_blank\" rel=\"noreferrer noopener\"><strong>More<\/strong> Info<\/a><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Speaker: Dan LICHINESE UNIVERSITY OF HONG KONG May 16th, 2024 from 2pm to 3:30pmin Paris campus (L712) &amp; on Zoom &#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8212;&#8211; ABSTRACT Manipulation of financial markets has long been a [&hellip;]<\/p>\n","protected":false},"featured_media":0,"template":"","events-category":[247,200,66,166],"acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v19.2 - https:\/\/yoast.com\/wordpress\/plugins\/seo\/ -->\n<title>[Research Seminar] &#039;Does High Frequency Market Manipulation Harm Market Quality?&#039; - I\u00c9SEG<\/title>\n<meta name=\"description\" content=\"Speaker: Dan LICHINESE UNIVERSITY OF HONG KONG May 16th, 2024 from 2pm to 3:30pmin Paris campus (L712) &amp; on Zoom\" \/>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.ieseg.fr\/en\/events\/research-seminar-does-high-frequency-market-manipulation-harm-market-quality\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"[Research Seminar] &#039;Does High Frequency Market Manipulation Harm Market Quality?&#039; - I\u00c9SEG\" \/>\n<meta property=\"og:description\" content=\"Speaker: Dan LICHINESE UNIVERSITY OF HONG KONG May 16th, 2024 from 2pm to 3:30pmin Paris campus (L712) &amp; on Zoom\" \/>\n<meta property=\"og:url\" content=\"https:\/\/www.ieseg.fr\/en\/events\/research-seminar-does-high-frequency-market-manipulation-harm-market-quality\/\" \/>\n<meta property=\"og:site_name\" content=\"I\u00c9SEG\" \/>\n<meta property=\"article:publisher\" content=\"https:\/\/www.facebook.com\/pages\/IESEG-School-of-Management\/358733860458?fref=ts\" \/>\n<meta property=\"article:modified_time\" content=\"2024-05-03T14:37:46+00:00\" \/>\n<meta property=\"og:image\" content=\"https:\/\/www.ieseg.fr\/wp-content\/uploads\/2022\/09\/Bandeaux-events-seminaire-recherche.jpg\" \/>\n<meta name=\"author\" content=\"Anna BARRALIS\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:site\" content=\"@IESEG\" \/>\n<meta name=\"twitter:label1\" content=\"Est. reading time\" \/>\n\t<meta name=\"twitter:data1\" content=\"2 minutes\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\/\/schema.org\",\"@graph\":[{\"@type\":\"Organization\",\"@id\":\"https:\/\/www.ieseg.fr\/#organization\",\"name\":\"Ieseg\",\"url\":\"https:\/\/www.ieseg.fr\/\",\"sameAs\":[\"https:\/\/www.linkedin.com\/edu\/school?id=12453\",\"https:\/\/www.youtube.com\/user\/IESEGChannel\",\"https:\/\/www.facebook.com\/pages\/IESEG-School-of-Management\/358733860458?fref=ts\",\"https:\/\/twitter.com\/IESEG\"],\"logo\":{\"@type\":\"ImageObject\",\"inLanguage\":\"en-US\",\"@id\":\"https:\/\/www.ieseg.fr\/#\/schema\/logo\/image\/\",\"url\":\"https:\/\/www.ieseg.fr\/wp-content\/uploads\/IESEG-Logo-2012-rgb.jpg\",\"contentUrl\":\"https:\/\/www.ieseg.fr\/wp-content\/uploads\/IESEG-Logo-2012-rgb.jpg\",\"width\":\"1000\",\"height\":\"311\",\"caption\":\"Ieseg\"},\"image\":{\"@id\":\"https:\/\/www.ieseg.fr\/#\/schema\/logo\/image\/\"}},{\"@type\":\"WebSite\",\"@id\":\"https:\/\/www.ieseg.fr\/#website\",\"url\":\"https:\/\/www.ieseg.fr\/\",\"name\":\"I\u00c9SEG\",\"description\":\"School of Management\",\"publisher\":{\"@id\":\"https:\/\/www.ieseg.fr\/#organization\"},\"potentialAction\":[{\"@type\":\"SearchAction\",\"target\":{\"@type\":\"EntryPoint\",\"urlTemplate\":\"https:\/\/www.ieseg.fr\/?s={search_term_string}\"},\"query-input\":\"required name=search_term_string\"}],\"inLanguage\":\"en-US\"},{\"@type\":\"ImageObject\",\"inLanguage\":\"en-US\",\"@id\":\"https:\/\/www.ieseg.fr\/en\/events\/research-seminar-does-high-frequency-market-manipulation-harm-market-quality\/#primaryimage\",\"url\":\"https:\/\/www.ieseg.fr\/wp-content\/uploads\/2022\/09\/Bandeaux-events-seminaire-recherche.jpg\",\"contentUrl\":\"https:\/\/www.ieseg.fr\/wp-content\/uploads\/2022\/09\/Bandeaux-events-seminaire-recherche.jpg\",\"width\":880,\"height\":250},{\"@type\":\"WebPage\",\"@id\":\"https:\/\/www.ieseg.fr\/en\/events\/research-seminar-does-high-frequency-market-manipulation-harm-market-quality\/#webpage\",\"url\":\"https:\/\/www.ieseg.fr\/en\/events\/research-seminar-does-high-frequency-market-manipulation-harm-market-quality\/\",\"name\":\"[Research Seminar] 'Does High Frequency Market Manipulation Harm Market Quality?' - I\u00c9SEG\",\"isPartOf\":{\"@id\":\"https:\/\/www.ieseg.fr\/#website\"},\"primaryImageOfPage\":{\"@id\":\"https:\/\/www.ieseg.fr\/en\/events\/research-seminar-does-high-frequency-market-manipulation-harm-market-quality\/#primaryimage\"},\"datePublished\":\"2024-05-03T14:37:22+00:00\",\"dateModified\":\"2024-05-03T14:37:46+00:00\",\"description\":\"Speaker: Dan LICHINESE UNIVERSITY OF HONG KONG May 16th, 2024 from 2pm to 3:30pmin Paris campus (L712) &amp; 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