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A Retrospective Look: Phantom Liquidity And High Frequency Quoting

Ben Van Vliet

The Journal of Trading2018https://doi.org/10.3905/jot.v14i4.5185article
ABDC C
Weight
0.26

What the paper says

In this paper we take a retrospective look at our paper Phantom Liquidity and High Frequency Quoting and discuss the context of the research in light of our broader inquiry into the nature of the high frequency trading industry.  The data presented in this paper appears to show that limit order cancellations of high frequency traders are associated with price discovery and liquidity provision, rather than some manner of systematic taking-advantage-of other market participants.  These firms are acting as rational, profit-seeking business, and we believe time has shown this view to be correct.  In the years since publication, HFT has matured, and consolidated into fewer, lower-cost providers of efficiency and liquidity services, mush like we would expect in any other industry.

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https://doi.org/https://doi.org/10.3905/jot.v14i4.5185

Or copy a formatted citation

@article{ben2018,
  title        = {{A Retrospective Look: Phantom Liquidity And High Frequency Quoting}},
  author       = {Ben Van Vliet},
  journal      = {The Journal of Trading},
  year         = {2018},
  doi          = {https://doi.org/https://doi.org/10.3905/jot.v14i4.5185},
}

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A Retrospective Look: Phantom Liquidity And High Frequency Quoting

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Evidence weight

0.26

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.00 × 0.4 = 0.00
M · momentum0.20 × 0.15 = 0.03
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.