High frequency trading and ghost liquidity
| Autor: | Degryse, Hans, De Winne, Rudy, Gresse, Carole, Payne, Richard |
|---|---|
| Přispěvatelé: | K.U. LEUVEN, Catholic University of Leuven - Katholieke Universiteit Leuven (KU Leuven), Louvain School of Management, Université Catholique de Louvain = Catholic University of Louvain (UCL), Dauphine Recherches en Management (DRM), Université Paris Dauphine-PSL, Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Centre National de la Recherche Scientifique (CNRS), Cass Business School - City University London, City University London |
| Jazyk: | angličtina |
| Rok vydání: | 2018 |
| Předmět: |
JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G14 - Information and Market Efficiency • Event Studies • Insider Trading
Ghost Liquidity Algorithmic Trading (AT) Fragmentation JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G15 - International Financial Markets [SHS.GESTION]Humanities and Social Sciences/Business administration JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G18 - Government Policy and Regulation High Frequency Trading (HFT) |
| Zdroj: | 35th Annual Conference of the French Finance Association (AFFI) 35th Annual Conference of the French Finance Association (AFFI), May 2018, Paris, France |
| Popis: | International audience; We measure the extent to which consolidated liquidity in modern fragmented equity markets overstates true liquidity due to a phenomenon that we call Ghost Liquidity (GL). GL exists when traders place duplicate limit orders on competing venues, intending for only one of the orders to execute, and when one does execute, duplicates are cancelled. We employ data from 2013, covering 91 stocks trading on their primary exchanges and three alternative platforms and where order submitters are identified consistently across venues, to measure the incidence of GL and to investigate its determinants. On average, for every 100 shares pending on an order book, slightlymore than 8 shares are immediately cancelled by the same liquidity supplier on a different venue.This percentage is significantly greater for HFTs than for non-HFTs and for those trading as principal. Overall, GL represents a significant fraction of total liquidity, implying that simply measured consolidated liquidity greatly exceeds true consolidated liquidity. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|