Who provides liquidity, and when?

• المؤلفون الرئيسيون: Li, Sida, Wang, Xin, Ye, Mao
• مؤلفون آخرون: Nanyang Business School
• التنسيق: مقال
• اللغة: English
• منشور في: 2022
• الموضوعات: Business::Finance; High-Frequency Trading; Algorithmic Trading
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/159747
• المؤسسة: Nanyang Technological University

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...