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PhD Student Satchit Sagade published in Bank of England Working Paper

ICMA Centre PhD student Satchit Sagade recently published a working paper for the Bank of England together with Research Economist for the Bank of England, Evangelos Benos. The paper entitled “High-frequency trading behaviour and its impact on market quality: evidence from the UK equity market”, studies the behaviour of high-frequency traders in the UK equity market and analyses its impact on market quality.

The paper notes how high-frequency trading activity has steadily increased in recent years and has garnered the attention of regulators following events such as the Flash Crash in May 2010 and the Knight’s Capital trading glitch in August 2012. To analyse the intraday behaviour of high-frequency traders and the impact on aspects of market quality, such as liquidity, price discovery and excess volatility, Satchit and Evangelos use a unique transactions data set for four UK stocks, over the period of a randomly selected week.

Satchit, who is currently working on his PhD thesis, stated “I started work on this paper during the summer of 2011 as part of an internship at the Payments & Infrastructure Division within the Financial Stability area of the Bank of England. It was a great experience working at the Bank of England and I would like to thank them for providing me with an opportunity to work on the highly topical issue of high-frequency trading."

The paper has gathered recognition from the Financial Times’ Alphaville blog and is available in full on the Bank of England’s website, working paper no 469.

Satchit is currently pursuing his PhD under the supervision of Dr Alfonso Dufour in the area of algorithmic trading. He previously obtained an Msc in International Securities, Investment and Banking with Distinction at the ICMA Centre in 2008. For more information on Satchit Sagade please visit his profile.

Published 17 December 2012
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Research news

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