Cross-Venue Liquidity Provision: High Frequency Trading and Ghost Liquidity
Author
Abstract
(This abstract was borrowed from another version of this item.)
Suggested Citation
Download full text from publisher
Other versions of this item:
- Hans Degryse & Rudy de Winne & Carole Gresse & Richard Payne, 2018. "Cross-Venue Liquidity Provision: High Frequency Trading and Ghost Liquidity," Post-Print hal-01947824, HAL.
References listed on IDEAS
- Hasbrouck, Joel & Saar, Gideon, 2009. "Technology and liquidity provision: The blurring of traditional definitions," Journal of Financial Markets, Elsevier, vol. 12(2), pages 143-172, May.
- Carole Gresse, 2017. "Effects of Lit and Dark Market Fragmentation on Liquidity," Post-Print hal-01631771, HAL.
- Carrion, Allen, 2013. "Very fast money: High-frequency trading on the NASDAQ," Journal of Financial Markets, Elsevier, vol. 16(4), pages 680-711.
- Hans Degryse & Frank de Jong & Vincent van Kervel, 2015.
"The Impact of Dark Trading and Visible Fragmentation on Market Quality,"
Review of Finance, European Finance Association, vol. 19(4), pages 1587-1622.
- de Jong, Frank & Degryse, Hans & van Kervel, Vincent, 2011. "The impact of dark trading and visible fragmentation on market quality," CEPR Discussion Papers 8630, C.E.P.R. Discussion Papers.
- Degryse, H.A. & de Jong, F.C.J.M. & van Kervel, V.L., 2014. "The impact of dark trading and visible fragmentation on market quality," Other publications TiSEM a51b5d9e-2687-4972-930f-4, Tilburg University, School of Economics and Management.
- Thierry Foucault & Albert J. Menkveld, 2008.
"Competition for Order Flow and Smart Order Routing Systems,"
Journal of Finance, American Finance Association, vol. 63(1), pages 119-158, February.
- Foucault, Thierry & Menkveld, Albert J., 2006. "Competition for Order Flow and Smart Order Routing Systems," CEPR Discussion Papers 5523, C.E.P.R. Discussion Papers.
- Thierry Foucault, 2010. "Competition for Order Flow and Smart Order Routing Systems," Post-Print hal-00554030, HAL.
- Thierry Foucault & Albert J. Menkveld, 2008. "Competition for Order Flow and Smart Order Routing Systems," Post-Print hal-00459801, HAL.
- Foucault, Thierry & Menkveld, Albert, 2006. "Competition for order flow and smart order routing systems," HEC Research Papers Series 831, HEC Paris.
- Menkveld, Albert J., 2013.
"High frequency trading and the new market makers,"
Journal of Financial Markets, Elsevier, vol. 16(4), pages 712-740.
- Albert J. Menkveld, 2011. "High Frequency Trading and the New-Market Makers," Tinbergen Institute Discussion Papers 11-076/2/DSF21, Tinbergen Institute, revised 15 Aug 2011.
- Terrence Hendershott & Charles M. Jones & Albert J. Menkveld, 2011.
"Does Algorithmic Trading Improve Liquidity?,"
Journal of Finance, American Finance Association, vol. 66(1), pages 1-33, February.
- Hendershott, Terrence & Jones, Charles M. & Menkveld, Albert J., 2008. "Does algorithmic trading improve liquidity?," CFS Working Paper Series 2008/41, Center for Financial Studies (CFS).
- Jonathan Brogaard & Terrence Hendershott & Ryan Riordan, 2014.
"High-Frequency Trading and Price Discovery,"
Review of Financial Studies, Society for Financial Studies, vol. 27(8), pages 2267-2306.
- Brogaard, Jonathan & Hendershott, Terrence & Riordan, Ryan, 2013. "High frequency trading and price discovery," Working Paper Series 1602, European Central Bank.
- O'Hara, Maureen & Ye, Mao, 2011. "Is market fragmentation harming market quality?," Journal of Financial Economics, Elsevier, vol. 100(3), pages 459-474, June.
- Albert J. Menkveld, 2016. "The Economics of High-Frequency Trading: Taking Stock," Annual Review of Financial Economics, Annual Reviews, vol. 8(1), pages 1-24, October.
- Andrei Kirilenko & Albert S. Kyle & Mehrdad Samadi & Tugkan Tuzun, 2017. "The Flash Crash: High-Frequency Trading in an Electronic Market," Journal of Finance, American Finance Association, vol. 72(3), pages 967-998, June.
- Gresse, Carole, 2017. "Effects of lit and dark market fragmentation on liquidity," Journal of Financial Markets, Elsevier, vol. 35(C), pages 1-20.
- Vincent van Kervel, 2015. "Competition for Order Flow with Fast and Slow Traders," Review of Financial Studies, Society for Financial Studies, vol. 28(7), pages 2094-2127.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Griffith, Todd G. & Roseman, Brian S., 2019. "Making cents of tick sizes: The effect of the 2016 U.S. SEC tick size pilot on limit order book liquidity," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 104-121.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Hans Degryse & Rudy de Winne & Carole Gresse & Richard Payne, 2018. "High frequency trading and ghost liquidity," Post-Print hal-01894838, HAL.
- Oliver Linton & Soheil Mahmoodzadeh, 2018.
"Implications of High-Frequency Trading for Security Markets,"
Annual Review of Economics, Annual Reviews, vol. 10(1), pages 237-259, August.
- Oliver Linton & Soheil Mahmoodzadeh, 2018. "Implications of high-frequency trading for security markets," CeMMAP working papers CWP06/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Linton, O. & Mahmoodzadeh, S., 2018. "Implications of High-Frequency Trading for Security Markets," Cambridge Working Papers in Economics 1802, Faculty of Economics, University of Cambridge.
- Ibikunle, Gbenga, 2018. "Trading places: Price leadership and the competition for order flow," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 178-200.
- Francis Breedon & Louisa Chen & Angelo Ranaldo & Nicholas Vause, 2018.
"Judgement Day: Algorithmic Trading Around the Swiss Franc Cap Removal,"
Working Papers on Finance
1808, University of St. Gallen, School of Finance.
- Francis Breedon & Louisa Chen & Angelo Ranaldo & Nicholas Vause, 2019. "Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal," Working Papers on Finance 1912, University of St. Gallen, School of Finance.
- Breedon, Francis & Chen, Louisa & Ranaldo, Angelo & Vause, Nicholas, 2018. "Judgement Day: algorithmic trading around the Swiss franc cap removal," Bank of England working papers 711, Bank of England.
- Zhou, Hao & Kalev, Petko S., 2019. "Algorithmic and high frequency trading in Asia-Pacific, now and the future," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 186-207.
- Clapham, Benjamin & Gomber, Peter & Lausen, Jens & Panz, Sven, 2021. "Liquidity provider incentives in fragmented securities markets," Journal of Empirical Finance, Elsevier, vol. 60(C), pages 16-38.
- Carole Gresse, 2017. "Effects of Lit and Dark Market Fragmentation on Liquidity," Post-Print hal-01631771, HAL.
- Syamala, Sudhakara Reddy & Wadhwa, Kavita, 2020. "Trading performance and market efficiency: Evidence from algorithmic trading," Research in International Business and Finance, Elsevier, vol. 54(C).
- Chen, Marie & Garriott, Corey, 2020.
"High-frequency trading and institutional trading costs,"
Journal of Empirical Finance, Elsevier, vol. 56(C), pages 74-93.
- Marie Chen & Corey Garriott, 2018. "High-Frequency Trading and Institutional Trading Costs," Staff Working Papers 18-8, Bank of Canada.
- Hatheway, Frank & Kwan, Amy & Zheng, Hui, 2017. "An Empirical Analysis of Market Segmentation on U.S. Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(6), pages 2399-2427, December.
- Gresse, Carole, 2017. "Effects of lit and dark market fragmentation on liquidity," Journal of Financial Markets, Elsevier, vol. 35(C), pages 1-20.
- Carole Gresse, 2011. "Effects of Lit and Dark Market Fragmentation on Liquidity," Post-Print halshs-00641122, HAL.
- Bizzozero, Paolo & Flepp, Raphael & Franck, Egon, 2018. "The effect of fast trading on price discovery and efficiency: Evidence from a betting exchange," Journal of Economic Behavior & Organization, Elsevier, vol. 156(C), pages 126-143.
- Kun Li, 2018. "Do high-frequency fleeting orders exacerbate market illiquidity?," Electronic Commerce Research, Springer, vol. 18(2), pages 241-255, June.
- Peter Gomber & Satchit Sagade & Erik Theissen & Moritz Christian Weber & Christian Westheide, 2017.
"Competition Between Equity Markets: A Review Of The Consolidation Versus Fragmentation Debate,"
Journal of Economic Surveys, Wiley Blackwell, vol. 31(3), pages 792-814, July.
- Gomber, Peter & Sagade, Satchit & Theissen, Erik & Weber, Moritz Christian & Westheide, Christian, 2016. "Competition between equity markets: A review of the consolidation versus fragmentation debate," SAFE Working Paper Series 35, Leibniz Institute for Financial Research SAFE.
- Gianluca Piero Maria Virgilio, 2019. "High-frequency trading: a literature review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(2), pages 183-208, June.
- Markus Baldauf & Joshua Mollner, 2015. "Trading in Fragmented Markets," Discussion Papers 15-018, Stanford Institute for Economic Policy Research.
- Zhou, Hao & Elliott, Robert J. & Kalev, Petko S., 2019. "Information or noise: What does algorithmic trading incorporate into the stock prices?," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 27-39.
- Aitken, Michael & Chen, Haoming & Foley, Sean, 2017. "The impact of fragmentation, exchange fees and liquidity provision on market quality," Journal of Empirical Finance, Elsevier, vol. 41(C), pages 140-160.
- Hautsch, Nikolaus & Noé, Michael & Zhang, S. Sarah, 2017. "The ambivalent role of high-frequency trading in turbulent market periods," CFS Working Paper Series 580, Center for Financial Studies (CFS).
More about this item
Keywords
High Frequency Trading ; Algorithmic Trading ; Fragmentation ; Ghost Liquidity;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MST-2020-10-12 (Market Microstructure)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ajf:louvlf:2019001. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Séverine De Visscher). General contact details of provider: https://edirc.repec.org/data/lfuclbe.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.