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Phantom Liquidity and High-Frequency Quoting

Jesse Blocher et al.

The Journal of Trading2018https://doi.org/10.3905/jot.2018.13.4.119article
ABDC C
Weight
0.48

What the paper says

This article examines every NASDAQ ITCH feed message for S&amp;P 500 Index stocks for 2012 and identifies clusters of extremely high and extremely low limit-order cancellation activity. The authors find results consistent with the idea that cancel clusters are the result of high-frequency traders jockeying for queue position and reacting to information to establish a new price level. Furthermore, few trades seem to be executed during cancel clusters or even immediately after them. Low cancellation activity seems to be markedly different, with many level changes all caused by executions. The results are consistent with high-frequency trading firms behaving as agents who bring efficiency to the market without the need to have executions at intermediate prices. The authors also discuss the misconception that investors and low-frequency traders are synonymous and its implications for policy given these results. <b>TOPICS:</b>Exchanges/markets/clearinghouses, statistical methods

11 citations

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https://doi.org/https://doi.org/10.3905/jot.2018.13.4.119

Or copy a formatted citation

@article{jesse2018,
  title        = {{Phantom Liquidity and High-Frequency Quoting}},
  author       = {Jesse Blocher et al.},
  journal      = {The Journal of Trading},
  year         = {2018},
  doi          = {https://doi.org/https://doi.org/10.3905/jot.2018.13.4.119},
}

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Phantom Liquidity and High-Frequency Quoting

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Evidence weight

0.48

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

F · citation impact0.43 × 0.4 = 0.17
M · momentum0.53 × 0.15 = 0.08
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.