Analysis of Events Pertaining to Algorithmic and High Frequency Trading in India

Authors

  • Sonal Joglekar

DOI:

https://doi.org/10.33516/rb.v42i1.36-44p

Keywords:

Algorithmic Trading, High Frequency Trading, India.

Abstract

A tracing of events from October 2013 up to January 2016 makes interesting reading. While several research papers focus on various aspects of AT/HFT from the perspective of trading opportunities, exchange perspective or the regulatory perspective, this paper attempts a holistic approach, incorporating the events involving various stakeholders including the stock exchanges, regulators, traders, investors and technology providers, under one umbrella, indicating broad trends of events.

The trend in volumes is a rising one, with AT/HFT, settling at around 40% in June 2015, as reported by RBI in its Financial Stability Report.As regards breach of market integrity, there has been 1 instance of annulment and 4 incidents of trading errors, in after the initial introduction of AT/HFT in the Indian markets in 2008. The establishment of clear-cut rules for annulment is a good sign for empowering the exchanges to take timely action for improvement of market integrity. As regards fairness, SEBI is closely monitoring the handing out of colocation facilities. Rapid technological advancement makes regulation complex when facing trading-rule related dilemmas.

A community of practitioners and opinion-leaders specific to AT/HFT in India has emerged, whose representations need to be sought for greater transparency in future policy formulation.

Downloads

Download data is not yet available.

Downloads

Published

2016-04-01

How to Cite

Joglekar, S. (2016). Analysis of Events Pertaining to Algorithmic and High Frequency Trading in India. Research Bulletin, 42(1), 36–44. https://doi.org/10.33516/rb.v42i1.36-44p

Issue

Volume 42, Issue 1, April 2016

Section

Articles
Crossref
Scopus
Google Scholar
Europe PMC

References

Securities and Exchange Board of India (2014). Background Paper: First International Research Conference-2014 on HFT, Algo Trading and Co-Location, Mumbai, 27th and 28th January 2014.

Aggarwal, N., & Thomas, S. (2014). The Causal Impact of Algorithmic Trading on Market Quality (No. 2014-023). Indira Gandhi Institute of Development Research, Mumbai, India.

Aggarwal, N., Chakravarty, S., Panchapagesan, V., & Thomas, S. (2014).Do Regulatory Hurdles on Algorithmic Trading Work? Working Draft presented at NSE-NYU Indian Financial Markets Conference held on the 4th and 5th August 2014.

Agarwalla, S., Jacob, J., & Varma, J.(2014). High Frequency Manipulation at Futures Expiry: The Case of Cash Settled Indian Single Stock Futures.Paper presented at SEBI International Research Conference on 27th and 28th January 2014.

Reserve Bank of India (2015). Financial Stability Report, June 2015.

Banerjee, Ashok & Samarpan; Nawn (2015), Some Algorithm and Blues: Is High Frequency Trading a Necessary Evil? SEBI Should be Careful in Regulation of the Markets. Economic Times, Mumbai, October 26, 2015.