High frequency trading and ghost liquidity
Degryse, Hans; De Winne, Rudy; Gresse, Carole; Payne, Richard (2018), High frequency trading and ghost liquidity, 35th Annual Conference of the French Finance Association (AFFI), 2018-05, Paris, France
TypeCommunication / Conférence
Titre du colloque35th Annual Conference of the French Finance Association (AFFI)
Date du colloque2018-05
Ville du colloqueParis
Pays du colloqueFrance
MétadonnéesAfficher la notice complète
De Winne, Rudy
Louvain School of Management
Dauphine Recherches en Management [DRM]
Cass Business School - City University London
Résumé (EN)We measure the extent to which consolidated liquidity in modern fragmented equity markets overstates true liquidity due to a phenomenon that we call Ghost Liquidity (GL). GL exists when traders place duplicate limit orders on competing venues, intending for only one of the orders to execute, and when one does execute, duplicates are cancelled. We employ data from 2013, covering 91 stocks trading on their primary exchanges and three alternative platforms and where order submitters are identified consistently across venues, to measure the incidence of GL and to investigate its determinants. On average, for every 100 shares pending on an order book, slightlymore than 8 shares are immediately cancelled by the same liquidity supplier on a different venue.This percentage is significantly greater for HFTs than for non-HFTs and for those trading as principal. Overall, GL represents a significant fraction of total liquidity, implying that simply measured consolidated liquidity greatly exceeds true consolidated liquidity.
Mots-clésGhost Liquidity; High Frequency Trading (HFT); Algorithmic Trading (AT); Fragmentation
Affichage des éléments liés par titre et auteur.
Liquidity and Risk Sharing Benefits from Opening an ETF Market with Liquidity Providers: Evidence from the CAC 40 Index De Winne, Rudy; Gresse, Carole; Platten, Isabelle (2014-07) Article accepté pour publication ou publié