High-frequency trading

– impacts of the introduction of the INET platform on NASDAQ OMX Stockholm

Degree Thesis in Business Administration – Finance

The thesis is available in Stockholm University School of Business thesis archive (direct link).

Extended appendix

The tables are available in CSV-format and the diagrams in JPEG-format.

In filenames and CSV-files the shortening ST is used for NASDAQ OMX Stockholm and BD for Burgundy multilateral trading facility.

Main variables

Turnover volume

Realized volatility

Support variables

Number of messages

Number of trades

Trading volume kSEK

Relations between support variables

Number of messages per number of trades

Number of messages per trading volume kSEK

Other data

Trading days

Shares outstanding

Market capitalization

Volatility signature

Tomas Ericsson & Pär Fridholm terter.se

Updated: January 14, 2013