Roland Gillet holds a PhD in Economics from Catholic University of Louvain (UCL) conducted under the supervision of Alexis Jacquemin (Francqui Prize, 1983) and Franco Modigliani (Nobel Prize in Economics, 1985). He was major (ranked first) of the French national competitive examination for university higher education professors in Management sciences (1999). He is currently Professor of finance at University Paris 1 Panthéon-Sorbonne where he is Director of the Master’s degree “Financial Management and Taxation”. He is also Professor of financial economics at Solvay Brussels School of Economics and Management of Free University of Brussels (ULB).
He is/was visiting professor and/or research fellow in several universities worldwide: notably at University of Sherbrooke (Canada), Fudan University (China, Shangai), Harvard University and M.I.T. (USA).
In 2007, the European Markets in Financial Instruments Directive ended the national concentration rule. As a result, market fragmentation has accelerated across multiple trading venues. Spatial fragmentation might create opportunities and incentives for High Frequency arbitrageurs to fill the void left by the lack of Reg NMS type order routing requirements in Europe, without neglecting market integrity. This paper examines intra-day volatility and price efficiency through the metric of the normalized volatility ratio for the years 2006, 2012 and 2013 for Euronext Paris, BATS and Chi-X Europe. Our findings show that price determination remains inefficient at market opening due to the complexity of price discovery activity following a period of non-trading and heavy information releases. However, we demonstrate that an active participation of high-frequency traders significantly improves market efficiency at opening session.