The role of high-frequency trading for order book resiliency
- 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.
Author: | Benjamin ClaphamORCiDGND, Martin HaferkornGND, Kai Zimmermann |
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URN: | urn:nbn:de:hebis:30:3-579847 |
ISSN: | 1866-1238 |
Parent Title (English): | EFL quarterly : an E-Finance Lab publication |
Publisher: | E-Finance Lab e.V. |
Place of publication: | Frankfurt am Main |
Document Type: | Article |
Language: | English |
Year of Completion: | 2015 |
Year of first Publication: | 2015 |
Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
Release Date: | 2021/01/28 |
Volume: | 2015 |
Issue: | 4 |
Page Number: | 2 |
First Page: | 4 |
Last Page: | 5 |
HeBIS-PPN: | 477485952 |
Institutes: | Angeschlossene und kooperierende Institutionen / E-Finance Lab e.V. |
Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
Sammlungen: | Universitätspublikationen |
Licence (German): | Deutsches Urheberrecht |