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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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2023
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| Subjects: | |
| 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 |