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.

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

ICMA Centre Research Wins Behavioural Finance Award

3 July 2017
Professor Chris Brooks and Mr Ivan Sangiorgi’s work on the link between age and the financial risk tolerance of retail investors in the UK has won the Behavioural Finance Working Group (BFWG)'s Best Quantitative Paper Award.

New study: sustainability ratings are a reliable indicator of countries' solvency

31 October 2013
Munich, 16 October 2013 – There is currently a high level of uncertainty on the international financial markets, due to the budget dispute in the USA surrounding the proposed raising of the borrowing limit. The markets are waiting with bated breath to see whether the Democrats and the Republicans will be able to agree on raising the debt ceiling, which currently stands at just under 17 trillion US dollars. The key question for investors is whether the USA and other countries will be able to pay back the debts they have taken on or whether, as in the case of the debt cut in Greece, they can expect to see losses on their investments. A recent study based on sustainability rating agency oekom research’s country ratings shows that sustainability ratings are a reliable indicator of countries’ solvency and that taking sustainability ratings into account allows investors to make a better assessment of the overall risks.
Business News Press releases

First-year Finance Student Liberty Godfrey wins Ewan Page Prize

29 February 2016
Liberty Godfrey, first-year BSc Finance & Investment Banking student at the ICMA Centre, has been awarded with the University of Reading’s prestigious Ewan Page Prize.