Suchergebnisse

AbstractHigh‐frequency trading (HFT) and algorithmic trading (AT) have attracted considerable attention from the academic and regulatory communities, often highlighted for their contributions to enhancing market liquidity. However, the distinctive market framework in China may alter the operational dynamics of intraday trading, indicating that traditional HFT/AT paradigms might not fully apply. This study investigates the evolution of market quality in China from an HFT/AT perspective, using publicly available high‐frequency data for six futures products traded on the Shanghai Futures Exchange and the Dalian Commodity Exchange. Our findings reveals improvements in contract continuity and liquidity diversification from a daily perspective. Furthermore, the intraday analysis—especially following the increased availability of more granular data to market participants—suggests the emergence of more sophisticated algorithmic traders who enhance liquidity provision and contribute to reduced slippage costs for investors and hedgers.

The air pollution in China is among the highest in the world. However, legislation to reduce pollutant emissions have been successful and concentrations of SO 2 (since 2007), aerosols (since 2011) and NO 2 (since 2012) have decreased substantially as deduced from satellite and ground-based observations. The strong reduction of the emissions by the end of January 2020, first caused by the Spring Festival holidays and enhanced and extended by the COVID-19 lockdown, offered an opportunity to study the effects on air quality across the country. In particular the reduction of NO 2 concentrations observed using the TROPOspheric Monitoring Instrument (TROPOMI) on board the Copernicus Sentinel-5 Precursor satellite was used to quantitatively estimate the lockdown effect. To determine a baseline for the expected concentrations in 2020, we used Ozone Monitoring Instrument (OMI) NO 2 TVCD time series from 2011 to 2019 and determined trends for different regions, noticing a possible halt of the decrease in recent years, but for different periods in the south than in the north of east China. Neglecting this leveling leads to overestimation of the lockdown effect on the concentrations in the south, neglecting the trends may lead to underestimation in the north. We also looked at the temporal resolution used in studies on the reduction of the concentrations and noticed the gradual decrease ahead of the Spring Festival, which actually continued during 3 weeks into the lockdown. Using satellite observations of other species and ground-based monitoring data, it was noticed that the expected improvement of air quality due to the reduction of NO 2 concentrations was offset by the increase of the concentrations of aerosols and O 3 ascribed to meteorological influences and complex chemistry. In the current study we use TROPOMI tropospheric NO 2 vertical column densities (TVCDs) together with ground-based monitoring data for NO 2 , SO 2 , CO, O 3 , PM 2.5 and PM 10 in 11 regions around large cities to evaluate the evolution of their concentrations during 19 weeks after the Spring Festival and their effect on air quality. For comparison, and in an attempt to average out short term (e.g., meteorological) influences, ground based monitoring data were used for the same period in 2015–2019. The results confirm that the strong reduction of NO 2 does not always imply good air quality because concentrations of other pollutants may increase. The study shows the different behavior in city clusters in the north and south of China, and inland in the Sichuan and Guanzhong basins. Effect of other holidays and events are small, except in Beijing where the air quality in 2020 was notably better than in previous years. This study was undertaken for east China, but the methodology can also be used for other areas and part of the conclusions are generally applicable.