Skip to main content

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.

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
Topics:
Research news

You might also like

Can we predict when football managers are no longer effective?

7 August 2019
As the new football season commences, the media is speculating on who will be the first manager to be sacked. Whilst economists have used their models to predict football events, academics from the ICMA Centre have developed a model to see if they could predict when a football manager is no longer being effective.
Business News

ICMA Centre announces accreditation programme by the Professional Risk Managers' International Association for MSc Financial Risk Management

19 May 2008
The ICMA Centre's MSc in Financial Risk Management has been accredited by the Professional Risk Managers' International Association (PRMIA).

Peer to Peer (P2P) Lending – ‘Bank on Dave’ and many others

4 March 2013
If you live in the UK, you may have seen the Channel 4 television programme on 28th February this year (2013) entitled ‘Bank on Dave’. Burnley Savings and Loans to give it its other name, is a company (not a bank) which offers 5% ‘deposit’ rates to lenders and offers loans to those who cannot obtain funding from the high street banks. So how does Dave do this when the high street banks offer no interest at all or perhaps only ½ or 1%? In fact ‘Dave’ is one of a new breed of ‘brokers’ who simply introduce lenders and borrowers to each other. The key difference from banks is that banks have a balance sheet with a depositor contract on one side and a separate contract with its borrowers on the other whereas a peer to peer company has no such contracts and indeed is not even involved at all in borrowing or lending! This is because in P2P, lending contracts are directly between borrower and lenders and the P2P company does not take ‘deposits’ on to its own balance sheet or keep the loans its customers make on its balance sheet.