Does speed matter? The role of high‐frequency trading for order book resiliency
- We analyze limit order book resiliency following liquidity shocks initiated by large market orders. Based on a unique data set, we investigate whether high‐frequency traders are involved in replenishing the order book. Therefore, we relate the net liquidity provision of high‐frequency traders, algorithmic traders, and human traders around these market impact events to order book resiliency. Although all groups of traders react, our results show that only high‐frequency traders reduce the spread within the first seconds after the market impact event. Order book depth replenishment, however, takes significantly longer and is mainly accomplished by human traders’ liquidity provision.
| Author: | Benjamin ClaphamORCiDGND, Martin HaferkornGND, Kai Zimmermann |
|---|---|
| URN: | urn:nbn:de:hebis:30:3-589608 |
| DOI: | https://doi.org/10.1111/jfir.12229 |
| ISSN: | 1475-6803 |
| ISSN: | 0270-2592 |
| Parent Title (English): | The journal of financial research |
| Publisher: | Wiley-Blackwell |
| Place of publication: | Oxford |
| Document Type: | Article |
| Language: | English |
| Date of Publication (online): | 2020/10/31 |
| Date of first Publication: | 2020/10/31 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2021/03/02 |
| Volume: | 43 |
| Issue: | 4 |
| Page Number: | 32 |
| First Page: | 933 |
| Last Page: | 964 |
| HeBIS-PPN: | 477001475 |
| Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Licence (German): |  Creative Commons - Namensnennung 4.0 |
