HFTs and dealer banks: Liquidity and price discovery in FX trading

HFTs and dealer banks: Liquidity and price discovery in FX trading

In this paper, we characterise the liquidity provision and price discovery roles of dealers and HFTs in the FX spot market during the sample period between 2012 and 2015. We find that they have different responses to adverse market conditions: HFT liquidity provision is less sensitive to spikes in m...

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Bibliographic Details
Main Authors: HUANG, Wenqian, O'NEILL, Peter, RANALDO, Angelo, YU, Shihao
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2023
Subjects:
HFT
Dealer Banks
Liquidity
Price Discovery
FX
Finance and Financial Management
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/7509
https://ink.library.smu.edu.sg/context/lkcsb_research/article/8508/viewcontent/ssrn_4349184.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/lkcsb_research/7509
https://ink.library.smu.edu.sg/context/lkcsb_research/article/8508/viewcontent/ssrn_4349184.pdf

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