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IIROC announces final academic team to study HFT impact

First Published 20th October 2014

Experts to study HFT impact on market quality and integrity.

Wendy Rudd, SVP, Market Regulation, IIROC

Wendy Rudd, SVP, Market Regulation, IIROC

"This research, combined with IIROC's ongoing work, will help to inform any further policy making or regulatory interventions."

Toronto, Ontario - The Investment Industry Regulatory Organization of Canada (IIROC) has announced the selection of the fourth and final project team to assess the impact of high frequency trading (HFT) and related activity on Canadian equity markets as part of the last phase of its HFT Study.

Earlier this year, IIROC announced the selection of three project teams, whose work it expects to publish by the end of 2014. The work of the fourth team will be published by June 2015.

The fourth team is comprised of two professors at the University of Toronto, Canada and a professor at the University of Melbourne, Australia, who have extensive experience studying, teaching and publishing reports about HFT, algorithmic trading and other market structure issues internationally.

This team will undertake two studies. The first will examine the impact of the dark liquidity rules introduced in Canada in October 2012 on high frequency traders and the market as a whole, with a focus on the impact on price efficiency, price discovery and price volatility. The second will examine liquidity provision and market making by high frequency traders, focusing on how these traders avoid being adversely selected.

All the teams will, as part of their research, have access to secure and "masked" data for the period of January 1, 2012 to June 30, 2013.

"We are using empirical data and objective study to better understand the impact of HFT on market integrity and quality, as well as overall investor confidence," said Wendy Rudd, IIROC Senior Vice President, Market Regulation. "This research, combined with IIROC's ongoing work, will help to inform any further policy making or regulatory interventions."

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