dynamics. Our main goal is to investigate whether high-frequency trading exacerbates market volatility and generates flash … that the presence of high-frequency trading increases market volatility and plays a fundamental role in the generation of …

Liquidity suppliers lean against the wind. We analyze whether high-frequency traders (HFTs) lean against large …

financial markets. Exogenous negative shocks to Robinhood participation are associated with increased market liquidity and lower … return volatility among stocks favored by Robinhood investors, as proxied by Reddit WallStreetBets mentions. HFTs with …, particularly for stocks with highly autocorrelated order flow, suggesting that zero-commission investors create liquidity …

affect the aggressiveness of 'dark' liquidity supply and thus the 'hidden spread'. Our evidence suggests that traders balance … hidden order placements to (i) compete for the provision of (hidden) liquidity and (ii) protect themselves against adverse … show that hidden liquidity locations are predictable given the observable state of the market. -- Limit Order Market …

of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the … Tokyo Stock Exchange. After controlling for endogeneity, we find algorithmic trading increases stock liquidity by narrowing … spreads and increasing market depth. Furthermore, algorithmic trading increases commonality in liquidity at both high and low …

of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the … Tokyo Stock Exchange. After controlling for endogeneity, we find algorithmic trading increases stock liquidity by narrowing … spreads and increasing market depth. Furthermore, algorithmic trading increases commonality in liquidity at both high and low …

We examine the role of algorithmic traders (AT) in liquidity supply and demand in the 30 DAX stocks on the Deutsche … monitor market liquidity than human traders. AT consume liquidity when it is cheap, i.e., when the bid-ask quotes are narrow …, and supply liquidity when it is expensive. When spreads are narrow AT are less likely to submit new orders, less likely to …

trading and its role in the price formation process. First, we find that algorithmic trading provides liquidity when the …