DOES SPEED MATTER? THE ROLE OF HIGH‐FREQUENCY TRADING FOR ORDER BOOK RESILIENCY
We analyze limit order book resiliency following liquidity shocks initiated by large market orders. Based on a unique data set, we investigate whether high-frequency traders are involved in replenishing the order book. Therefore, we relate the net liquidity provision of high-frequency traders, algorithmic traders, and human traders around these market impact events to order book resiliency. Although all groups of traders react, our results show that only high-frequency traders reduce the spread within the first seconds after the market impact event. Order book depth replenishment, however, takes significantly longer and is mainly accomplished by human traders’ liquidity provision.
Year of publication: |
2020
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Authors: | Clapham, Benjamin ; Haferkorn, Martin ; Zimmermann, Kai |
Published in: |
Journal of Financial Research. - Hoboken, NJ : Wiley, ISSN 1475-6803. - Vol. 43.2020, 4, p. 933-964
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Publisher: |
Hoboken, NJ : Wiley |
Saved in:
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