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

2

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              

3

V. A borderline scheme: an example of alleged quote-stuffing

Sell orders

4

Extract from 5 seconds of the life in an order book - Bouygues, 26/02/10

Detecting market abuse across order books : finding a needle in a haystack

Time

Price