Abstract

In this paper we take a retrospective look at our paper Phantom Liquidity and High Frequency Quoting and discuss the context of the research in light of our broader inquiry into the nature of the high frequency trading industry. The data presented in this paper appears to show that limit order cancellations of high frequency traders are associated with price discovery and liquidity provision, rather than some manner of systematic taking-advantage-of other market participants. These firms are acting as rational, profit-seeking business, and we believe time has shown this view to be correct. In the years since publication, HFT has matured, and consolidated into fewer, lower-cost providers of efficiency and liquidity services, mush like we would expect in any other industry.

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.