| 000 | 01252nam a22001697a 4500 | ||
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| 008 | 190322b xxu||||| |||| 00| 0 eng d | ||
| 022 | _a0304-405X | ||
| 245 |
_aHigh frequency trading and extreme price movements / by Jonathan Brogaard, Allen Carrion, Thibaut Moyaert, Ryan Riordan, ... Konstantin Sokolov _cJonathan Brogaard, Allen Carrion, Thibaut Moyaert, Ryan Riordan, ... Konstantin Sokolov |
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| 260 |
_aAmsterdam _bElsevier _cMay 2018 |
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| 300 | _aPages 253-265 | ||
| 440 |
_a Journal of Financial Economics _v128 (2) _x0304-405X |
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| 500 | _aAbstract Are endogenous liquidity providers (ELPs) reliable in times of market stress? We examine the activity of a common ELP type—high frequency traders (HFTs)—around extreme price movements (EPMs). We find that on average HFTs provide liquidity during EPMs by absorbing imbalances created by non-high frequency traders (nHFTs). Yet HFT liquidity provision is limited to EPMs in single stocks. When several stocks experience simultaneous EPMs, HFT liquidity demand dominates their supply. There is little evidence of HFTs causing EPMs. | ||
| 690 | _aHigh frequency trading | ||
| 690 | _aEndogenous liquidity providers (ELPs) | ||
| 690 | _aExtreme price movements (EPMs) | ||
| 942 |
_2lcc _cSE |
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_c361352 _d361352 |
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