The Federation of European Securities Exchanges (FESE) is delighted to announce that this year’s winners of the De la Vega Prize 2015 are Dion Bongaerts and Mark Van Achter fromthe Rotterdam School of Management, Erasmus University, for their paper “High Frequency Trading and Market Stability”.
The paper analyses how, in recent years, technological innovations and changes in financial regulation induced a new set of liquidity providers to arise on financial markets: high-frequency traders (HFTs). HFTs differ most notably from traditional market participants in the fact that they combine speed and information processing.
In summary, the paper provides a theoretical analysis of the impact of high frequency traders on liquidity. The study compares a setting with HFTs to settings with traders that only have speed technology or only information processing technology available. Speed technology by itself will only be adopted when socially efficient.
The authors also discuss how regulation can prevent sudden drops of liquidity and how the market may recover after a freeze.
The prize was awarded by FESE President Deirdre Somers, CEO of the Irish Stock Exchange, and Michel Maquil, Chairman of the De la Vega Steering Committee, on 17thJune 2015 at the Gala Dinner of the FESE Convention in Oslo.
De la Vega Advisory Jury 2015
Helena Beltrán-López, Research Fellow, Financial and Statistical Modeling Institut de Recherches Economiques et Sociales, UCL, Belgium
Söhnke M. Bartram, Professor of Finance, Warwick University
Alain Durré, PhD, Associate Professor at IESEG-School of Management and Executive Director at Goldman Sachs.
Peter Hoffmann, Economist, Financial Research Division, European Central Bank
Arman Khachaturyan, (PhD) Deputy CEO, Armenian National Postal Operator
Laurence Lescourret, Associate Professor — Finance department, ESSEC Business School
Sophie Moinas, Professor of finance, IAE Toulouse School of Management, Toulouse 1 Capitole University
Ulf Nielsson, Assistant Professor (PhD) in Finance, Copenhagen Business School, Denmark
Ángel Pardo Tornero, Full Professor, Department of Financial Economics, University of Valencia, Spain
Roberto Pascual, Associate Professor of Finance, with tenure, University of the Balearic Islands, Spain
Ryan Ryordan, Professor, Faculty of Economics and Business Engineering, Karlsruhe Institute of Technology (KIT)
Kai Zimmermann, Research Associate, Goethe University Frankfurt am Main, E-Finance Lab
Josseph de la Vega Prize
Every year the Federation of European Securities Exchanges (FESE) invites researchers, academics, and practitioners to submit papers to the Josseph de la Vega Prize for an outstanding research paper related to the securities markets in Europe. Papers about current developments in European securities markets which promote public markets are particularly welcome.
Further information and details about this prestigious prize can be found on the De la Vega Prize website http://www.fese.eu/de-la-vega-prize
