TY  - JOUR
A1  - Clapham, Benjamin
A1  - Haferkorn, Martin
A1  - Zimmermann, Kai
T1  - The role of high-frequency trading for order book resiliency
T2  - EFL quarterly : an E-Finance Lab publication
N2  - THE SPEED OF TRADING, AND IN PARTICULAR HIGH-FREQUENCY TRADING, IS ONE OF THE MOSTLY DEBATED ISSUES AMONG REGULATORS AND MARKET PARTICIPANTS. NEVERTHELESS, SEVERAL ACADEMIC STUDIES HAVE SHOWN THAT HIGH-FREQUENCY TRADERS USING LOW-LATENCY INFRASTRUCTURE PROVIDE ADDITIONAL LIQUIDITY THEREBY REDUCING TRANSACTION COSTS IN ORDINARY TIMES OF TRADING. WE STUDY WHETHER HIGH-FREQUENCY TRADERS ALSO CONTRIBUTE TO THE RECONSTRUCTION OF THE ORDER BOOK AFTER LIQUIDITY SHOCKS CAUSED BY LARGE ORDERS.
Y1  - 2015
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/57984
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-579847
SN  - 1866-1238
VL  - 2015
IS  - 4
SP  - 4
EP  - 5
PB  - E-Finance Lab e.V.
CY  - Frankfurt am Main
ER  -