Friederich, Sylvain; Payne, Richard - In: Journal of Banking & Finance 50 (2015) C, pp. 214-223
We study the impact on market liquidity of the introduction of a penalty for high order-to-trade ratios (OTRs), implemented by the Italian Stock Exchange to curtail high-frequency quote submission. We find that the fee is associated with a collapse in the quoted depth of the stocks that make up...