High Frequency Trading (HFT) from a market
surveillance perspective
Arnaud Oseredczuk
Managing Director
Asset Management and Markets Division
Autorité des marchés financiers (AMF), France
12 July 2011
15 leading share markets on the order book and evolution: rapid changes (CAC40)
Market member
Q1 2009
Q2 2009
Q3 2009
Q4 2009
Q1 2010
Q2 2010
Total*
A
28%
37%
54%
42%
19%
13%
29,1%
B
21%
15%
4%
5%
11%
25%
15,1%
C
9%
7%
6%
7%
10%
10%
8,5%
D
0%
0%
0%
0%
5%
16%
6,1%
E
4%
3%
4%
4%
7%
7%
5,2%
F
5%
4%
4%
8%
10%
3%
5,2%
G
5%
4%
4%
4%
6%
3%
4,2%
H
2%
6%
4%
5%
6%
2%
4,0%
I
2%
4%
4%
3%
6%
4%
4,0%
J
1%
0%
2%
4%
4%
3%
2,6%
K
1%
1%
1%
3%
3%
1%
1,5%
L
2%
3%
2%
2%
1%
1%
1,5%
M
3%
3%
2%
1%
1%
0%
1,4%
N
1%
1%
1%
1%
2%
1%
1,2%
O
-
-
-
-
1%
3%
1,2%
* For the period 15 February 2009 – 30 June 2010
2
V. A borderline scheme: an example of alleged
quote-stuffing
Sell orders
3
Detecting market abuse across order books :
finding a needle in a haystack
Extract from 5 seconds of the life in an order book - Bouygues, 26/02/10
Pric
e
Time
4