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

• 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
• Institution: Singapore Management University

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...