Algorithmic Trading, High-frequency Trading: Implications for MiFID II and Market Abuse Regulation (MAR) in the EU

Sadaf, Rabeea; McCullagh, Orla; Sheehan, Barry; Grey, Colette; King, E.L.; Cunneen, Martin

doi:10.2139/ssrn.3846814

Cited by 4 publications

(6 citation statements)

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“…Thus, it justifies the effectiveness of the system in combating road fatalities thus the hypothesis was accepted. This idea is parallel to scholars' views as promoted by Jannusch et al (2021), Sadaf et al (2021), andNemitz (2018) who justified that artificial intelligence that mobilized through an automated system in controlling traffic benefited the authority in reducing road fatalities. Thus, the finding justifies the importance of implementing an automated system for the related stakeholders such as RTD, PLUS, and the drivers.…”

Section: Discussionmentioning

confidence: 86%

"The Antecedents for Effectiveness of Automated Enforcement System (Aes) in Malaysia"

Mohd Ramlan,

Mohd Nazir,

Mohd Azrul Asraf

2022

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This study aims to investigate the antecedents of the effectiveness of the Automated Enforcement System (AES) in Malaysia. Apart from that, the main objective is to identify the relationship between reducing road accidents, human errors, external conditions, government revenue, and the effectiveness of AES implementation in Malaysia. A total of 200 respondents in this study were the drivers who used highways (PLUS) equipped with an AES system. Purposive and convenience sampling techniques were used with a questionnaire as the instrument. Descriptive and inferential statistics conducted are Pearson correlation and multiple regression analyses. The findings show that there is a significant relationship between reducing road accidents, human errors, external conditions, government revenue, and the effectiveness of the AES system. However, regression analysis shows that reducing road accidents was found to be the main antecedent that affected the effectiveness of AES. Hence, various parties such as authorities, non-governmental bodies, and drivers have benefited from the study.

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Section: Discussionmentioning

confidence: 86%

"The Antecedents for Effectiveness of Automated Enforcement System (Aes) in Malaysia"

Mohd Ramlan,

Mohd Nazir,

Mohd Azrul Asraf

2022

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“…The technical resources and expertise required to comply with RTS 6 could act as a barrier to entry that inadvertently benefits larger firms ( Cuk and Van Waeyenberge, 2018). Furthermore, it is argued by some that the regime's complexity frustrates consistent application (Sadaf et al, 2021). European legislators may have underestimated the impact of certain provisions in MiFID II's AT package on firms deploying simpler order execution algorithms (Conac, 2017).…”

Section: Literature Reviewmentioning

confidence: 99%

“…Constrained by technical and knowledge limitations, investment professionals are compelled to operationalise the rules in ways that undermine their effectiveness (Sadaf et al, 2021). For example, algorithms are categorised subjectively for the purposes of determining the rules that apply to them (Lenglet, 2011).…”

Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

“…However, given that regulators are even more remote from firms' algorithmic processes granting some latitude regarding how to apply the requirements enshrined in RTS 6 was a necessary compromise (Seyfert, 2021). This was the key driver for MiFID II's designers opting for a more principles-based approach to its construction, as opposed to the rules based approach taken in its sister initiative, the Market Abuse Regulation ("MAR") (Sadaf et al, 2021). A case in point is MAR's prescriptive approach to defining what constitutes market manipulation in the context of high frequency trading ("HFT") 7 , whereas MiFID II holds that anyone involved in the deployment of trading algorithms could, in principle, be held responsible for such behaviour (Čuk and Van Waeyenberge, 2018).…”

Section: Literature Reviewmentioning

confidence: 99%

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Insights into UK investment firms’ efforts to comply with MiFID II RTS 6 that governs the conduct of algorithmic trading

Culley

2023

JFRC

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Purpose The purpose of this paper is to examine the effectiveness of UK investment firms’ implementation of the requirements in Commission Delegated Regulation 2017/589 (more commonly known as “Regulatory Technical Standard 6” or “RTS 6”) that govern the conduct of algorithmic trading activities. Design/methodology/approach A qualitative examination of 19 semi-structured interviews with practitioners working for, or with, UK investment firms engaged in algorithmic trading activities. Findings The paper finds that practitioners generally have a good understanding of the requirements in RTS 6. Some lack knowledge of algorithms, coding and algorithmic strategies but have used best efforts to implement RTS 6. However, regulatory fatigue, complacency, cost pressures, governance in international groups, overreliance on external knowledge and generous risk parameter calibration threaten to undermine these efforts. Research limitations/implications The study’s findings are limited to the participants’ insights. Some areas of the RTS 6 regime attracted little comment from participants. Practical implications The paper proposes the introduction of mandatory algorithmic trading qualification requirements for key staff; the lessening of the requirements in RTS 6 for automated executors; and the introduction of a recognised software vendor regime to reduce duplication and improve coordination between market participants that deploy algorithmic trading systems. Originality/value To the best of the author’s knowledge, the study represents the first qualitative examination of firms’ implementation of the algorithmic trading regime in the second Markets in Financial Instruments Directive 2014/65/EU.

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Challenge of Criminal Imputation for Negligence Crime Involving AI to the Traditional Criminal Imputation Theory

Zhao

2024

Artificial Intelligence and the Rule of Law

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Algorithmic Trading, High-frequency Trading: Implications for MiFID II and Market Abuse Regulation (MAR) in the EU

Cited by 4 publications

References 0 publications

"The Antecedents for Effectiveness of Automated Enforcement System (Aes) in Malaysia"

"The Antecedents for Effectiveness of Automated Enforcement System (Aes) in Malaysia"

Insights into UK investment firms’ efforts to comply with MiFID II RTS 6 that governs the conduct of algorithmic trading

Challenge of Criminal Imputation for Negligence Crime Involving AI to the Traditional Criminal Imputation Theory

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