ESMA Report Looks Into Extent Of HFT Activity In EU Equity Markets

The European Securities and Markets Authority (ESMA) has published today an economic report looking into the extent of high-frequency trading (HFT) activity in the European Union’s equity markets. This is the first study into HFT across major venues in the EU. Based on a sample of 100 stocks from nine EU countries in May 2013, the report finds that HFT activity ranges from 24% to 43% of equity value traded, using alternative methodologies.

 ESMA’s approach provides a lower bound of HFT activity (based on the primary business of firms – 24% of equity value traded) and an upper bound of HFT activity (based on the lifetime of orders – 43% of equity value traded). ESMA’s report also shows that the level of HFT activity varies widely between the estimation approach, trading venues and stocks.

ESMA’s full HFT report is available on its website