The rise of fast trading: Curse or blessing for liquidity?
(2020)
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- et. al.
- Abstract
- (en) We identify fast trading by directly measuring message traffic and the lifetime of orders for all market members on Euronext using their identification codes. We show that the fast-traded stocks exhibit the weakest decrease in both the relative spread and the cost of round trip trade. All the robustness checks suggest that these stocks could have maintained their liquidity edge observed before the rise of fast trading, had they been more immune to it.
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Citations
Desagre, C., D’Hondt, C., Petitjean, M., & et al. (2020). The rise of fast trading: Curse or blessing for liquidity? https://hdl.handle.net/2078.5/171421