Martin Scholtus (1984) holds a MSc in economics (2007) and in econometrics (2009) from the EUR. He started his PhD thesis in 2009. Martin published an article with Dick van Dijk and Bart Frijns in the January 2014 edition of the Journal of Banking and Finance on ‘Speed, algorithmic trading, and market quality around macroeconomic news announcements’ that was in part based on his PhD thesis.
About ‘The Impact of High-Frequency Trading on Financial Markets’‘Over the past decade the rise of automated trading has transformed financial markets. Nowadays, a large part of trading volume can be attributed to high-frequency traders that receive a considerable amount of attention from regulators such as the SEC and media. Part of this attention stems from the continuously growing list of incidents involving high-frequency trading. The most famous incident is, without doubt, the Flash Crash of May 6, 2010. The research presented in this thesis contributes to the knowledge about high-frequency trading by (1) providing a detailed overview of stylized facts of the new trading environment, (2) investigating the importance of trading speed for the profitability of technical and news-based trading strategies, (3) analyzing the effect of high-frequency trading on market quality measures, such as volatility and liquidity, and (4) examining the effect of high-frequency trading on IPO underpricing and market quality on the first trading day of a stock. The results show that trading speed has a significant statistical and economic impact on profitability, especially during macroeconomic news announcements. Furthermore, the effect of an increase in high-frequency trading activity on market quality is mixed, with both positive and negative relations, depending on the market quality and algorithmic trading proxy under consideration.’