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The provision of liquidity by high-frequency participants
Jarnecic, Elvis; Snape, Mark - In: The financial review : the official publication of the … 49 (2014) 2, pp. 371-394
Persistent link: https://www.econbiz.de/10010363575
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Price impact of aggressive liquidity provision
Gençay, Ramazan; Mahmoodzadeh, Soheil; Rojček, Jakub; … - 2016
This paper analyzes brief episodes of high-intensity quotes turnover and revision-"bursts" in quotes-in the U.S. equity market. Such events occur very frequently, several hundred times a day for actively traded stocks. We find significant price impact associated with these market makers...
Persistent link: https://www.econbiz.de/10011516027
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The Role of Algorithmic Trading in Stock Liquidity and Commonality in Electronic Limit Order Markets
Moriyasu, Hiroshi - 2018
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 …
Persistent link: https://www.econbiz.de/10012938466
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The Role of Algorithmic Trading in Stock Liquidity and Commonality in Electronic Limit Order Markets
Moriyasu, Hiroshi - 2018
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 …
Persistent link: https://www.econbiz.de/10012922108
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High-frequency trading and stock liquidity : an intraday analysis
Ben Ammar, Imen; Hellara, Slaheddine; Ghadhab, Imen - In: Research in international business and finance 53 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012549814
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Algorithmic trading and liquidity : long term evidence from Austria
Mestel, Roland; Murg, Michael; Theissen, Erik - In: Finance research letters 26 (2018), pp. 198-203
Persistent link: https://www.econbiz.de/10012005670
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Multiple markets, algorithmic trading, and market liquidity
Upson, James; Van Ness, Robert A. - In: Journal of financial markets 32 (2017), pp. 49-68
Persistent link: https://www.econbiz.de/10011814965
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Price impact and bursts in liquidity provision
Gençay, Ramazan; Mahmoodzadeh, S.; Rojček, Jakub; … - In: Quantitative finance 18 (2018) 7, pp. 1129-1148
Persistent link: https://www.econbiz.de/10011911529
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High-frequency trading during flash crashes : walk of fame or hall of shame?
Bellia, Mario; Christensen, Kim; Kolokolov, Aleksey; … - 2020
consume liquidity when it is most needed, even when they are rewarded by the exchange to provide immediacy. The behavior of … traders provide liquidity instead of HFTs, taking advantage of the discounted price. We thus uncover a trade-o. between the … greater liquidity and efficiency provided by HFTs in normal times, and the disruptive consequences of their trading activity …
Persistent link: https://www.econbiz.de/10012181452
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The role of algorithmic trading in stock liquidity and commonality in electronic limit order markets
Moriyasu, Hiroshi; Wee, Marvin; Yu, Jing - In: Pacific-Basin finance journal 49 (2018), pp. 103-128
Persistent link: https://www.econbiz.de/10012117677