IIROC publishes further academic paper on impact of HFT

Results to shed light on impact of dark rules on market quality and integrity

TORONTO, March 6, 2015 /CNW/ - The Investment Industry Regulatory Organization of Canada (IIROC) today published the first of two academic papers from the fourth academic team chosen to assess the impact of high frequency trading (HFT) and related activity on Canadian equity markets, as part of the final phase of IIROC's comprehensive HFT Study.

The fourth paper, "The Impact of the Dark Trading Rules", co-authored by Andreas Park, Katya Malinova and Carole Comerton-Forde, examines the effects of the introduction in October 2012 of new requirements regarding the execution of dark orders on Canadian securities markets.

This academic paper has been published as received and without editorial comment.IIROC will review and discuss all of the papers internally, and with other regulators and key stakeholders, before determining what, if any, regulatory response may be required in light of the findings.    

The remaining paper from this team is expected to be published by the summer of 2015. In December, IIROC published academic papers prepared by three of the four academic teams.

The impact analysis is the third phase of IIROC's HFT Study. It follows the publication of the first two phases of the study in December 2012, which objectively identified a study group of traders and offered a detailed, statistical analysis of their activity. IIROC's HFT Study will complement other initiatives already adopted by IIROC to govern high frequency and algorithmic trading. In particular, in 2013 IIROC issued guidance on manipulative and deceptive trading. Surveillance alerts have been implemented and IIROC is actively monitoring to detect these rule violations.

For more background information on IIROC's three-part HFT Study, click here.

IIROC is the national self-regulatory organization which oversees all investment dealers and trading activity on debt and equity marketplaces in Canada.  Created in 2008 through the consolidation of the Investment Dealers Association of Canada and Market Regulation Services Inc., IIROC sets high quality regulatory and investment industry standards, protects investors and strengthens market integrity while maintaining efficient and competitive capital markets. 

IIROC carries out its regulatory responsibilities by creating and enforcing rules regarding the proficiency, business and financial conduct of dealer firms and their registered employees and through the creation and enforcement of market integrity rules regarding trading activity on Canadian marketplaces.

SOURCE Investment Industry Regulatory Organization of Canada (IIROC) - General News

For further information: Karen Archer, Senior Media and Public Affairs Specialist, 416-865-3046, karcher@iiroc.ca; Lucy Becker, Vice President, Public Affairs, 416-943-5870, lbecker@iiroc.ca


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