Antigonish, Nova Scotia, Canada

Remarkable achievement: Schwartz School of Business student paper accepted for prestigious finance conference

August 1st, 2018
Matt Hadfield

Once again, the quality of StFX student undergradatue research has been singled out. 

Matthew Hadfield, a StFX Gerald Schwartz School of Business honours student, now graduated, has learned the paper that resulted from his StFX honours thesis has been accepted for presentation at the Financial Management Association (FMA) Annual Meeting, a prestigious finance conference taking place this fall in California. 

To have an undergraduate student’s paper accepted at a conference such as this is very unusual. 

“This is a remarkable achievement,” says StFX Schwartz School faculty Dr. Bhavik Parikh, who supervised Mr. Hadfield and is a co-author on the paper, Algorithmic Trading. Market Liquidity and Flash Crash: Evidence from the Indian Market, with Mr. Hadfield and StFX professor Dr. Yen Nguyen and Ajay Kumar Mishra, Indian Institute of Technology, Kharagpur.

The study examines the impact of algorithmic trading (AT) and non-algorithmic trading (non-AT) on market liquidity around the flash crash on October 5th, 2012 that occurred on the National Stock exchange (NSE) India. 

“Over the past four years, I have worked with several students on their undergraduate honours thesis. A lot of them have shown promises to excel in their area of research, but Matthew stands out as he continued working on this project after his graduation also,” Dr. Parikh says. “His perseverance and dedication and to work on a complex project like this is commendable. He immersed himself in this project by spending a lot of time learning about Indian Stock Markets and doing large data analysis. The skills he has acquired through this experience will be useful in both academic and professional endeavours,” he says. 

FMA executive director Michelle Liu had similar praise. 

“While we showcase some undergraduate research from the Journal of Undergraduate Research in Finance (JURF) in a special session at the conference, it is uncommon for undergraduate students to have research papers accepted for presentation at the conference through the regular submission process. The selection of your undergraduate student co-authored paper was even more notable this year, as we had a near-record number of submissions for the conference and therefore, the selection was very competitive,” she says.

“I was very surprised and excited when I heard that the paper had been accepted. I am humbled that my thesis is being recognized by a conference of this caliber. I am thankful for all the work of my supervisors, the paper would never have made it this far without them,” says Mr. Hadfield of North Vancouver, BC, who graduated from StFX in May 2017 with a first class honours degree in finance and minor in economics.

Mr. Hadfield moved to New Zealand at the beginning of this year to study and begin his working career. He is currently studying for a masters of finance at Victoria University of Wellington and was recently hired by FMZ, a fintech company. He is working part-time while he completes his degree. 

“My thesis is always a topic during job interviews,” he says. “I enjoy discussing the paper and the implications it has on today’s markets. Many employers highly value honours degrees, recognition of the thesis from the FMA’s international conference definitely increases the creditability and impact of the research.”

He says his time at StFX, particularly the friends he made, his involvement with the StFX rowing team and his close relationships with professors have influenced who he is today. 

The FMA annual meeting takes place in San Diego in October, where Dr. Parikh, co-author, will present the paper.  

With over 6,300 members, FMA is one of the largest international finance associations in the world. The annual meeting is the primary conference of the association and brings together over 1,500 academics and practitioners to present new research, discuss current issues in finance and financial education, and network. 

Dr. Parikh says their work compared AT and non-AT order submission behavior around the flash crash event day and normal days. “We observe the dominance of AT orders over non-AT orders across the study period. Our overall results show that AT Intensity and market liquidity decline during the flash crash. For AT, both quoted spread and depth have deteriorated while non-AT witnesses a decline in quoted spread together with an increase in depth,” he says. “These results highlight that AT traders take advantage of order submission speed, trading expertise and adjust their orders faster than non-AT traders. Our findings are consistent after controlling for the firm-specific effects, firm size, and firm beta.”



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