Who provides liquidity, and when?

We model competition for liquidity provision between high-frequency traders (HFTs) and slower execution algorithms (EAs) designed to minimize investors’ transaction costs. Under continuous pricing, EAs dominate liquidity provision by using aggressive limit orders to stimulate HFTs’ market orders. Un...

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Bibliographic Details
Main Authors: Li, Sida, Wang, Xin, Ye, Mao
Other Authors: Nanyang Business School
Format: Article
Language:English
Published: 2022
Subjects:
Online Access:https://hdl.handle.net/10356/159747
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Institution: Nanyang Technological University
Language: English
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