TY  - JOUR
A1  - Clapham, Benjamin
A1  - Haferkorn, Martin
A1  - Zimmermann, Kai
T1  - Does speed matter? The role of high‐frequency trading for order book resiliency
T2  - The journal of financial research
N2  - 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.
Y1  - 2020
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/58960
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-589608
SN  - 1475-6803
SN  - 0270-2592
VL  - 43
IS  - 4
SP  - 933
EP  - 964
PB  - Wiley-Blackwell
CY  - Oxford
ER  -