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hal.structure.identifierK.U. LEUVEN
dc.contributor.authorDegryse, Hans
hal.structure.identifierLouvain School of Management
dc.contributor.authorDe Winne, Rudy
hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorGresse, Carole
hal.structure.identifierCass Business School - City University London
dc.contributor.authorPayne, Richard
dc.date.accessioned2018-10-12T17:51:11Z
dc.date.available2018-10-12T17:51:11Z
dc.date.issued2018
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/18123
dc.language.isoenen
dc.subjectGhost Liquidityen
dc.subjectHigh Frequency Trading (HFT)en
dc.subjectAlgorithmic Trading (AT)en
dc.subjectFragmentationen
dc.subject.ddc658.1en
dc.subject.classificationjelG.G1.G14en
dc.subject.classificationjelG.G1.G15en
dc.subject.classificationjelG.G1.G18en
dc.titleHigh frequency trading and ghost liquidityen
dc.typeCommunication / Conférence
dc.description.abstractenWe 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.en
dc.subject.ddclabelOrganisation et finances d'entrepriseen
dc.relation.conftitle35th Annual Conference of the French Finance Association (AFFI)en
dc.relation.confdate2018-05
dc.relation.confcityParisen
dc.relation.confcountryFranceen
dc.relation.forthcomingnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewednonen
dc.relation.Isversionofjnlpeerreviewednonen
dc.date.updated2018-06-22T16:39:22Z
hal.identifierhal-01894838*
hal.version1*
hal.update.actionupdateFiles*
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