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【论文】李堃:"Do High-Frequency Fleeting Orders Exacerbate Market Illiquidity?"
发布日期: 2018-11-08  浏览次数:

李堃(2018). Do High-Frequency Fleeting Orders Exacerbate Market Illiquidity? Electronic Commerce Research, volume 18, issue 2, pages 241-255. (DOI: 10.1007/s10660-017-9273-8

Electronic Commerce Research是电子商务学领域的SSCI顶级期刊之一(5年影响因子2.37)。根据2017SCImago Journal Rank国际期刊排名,该期刊在Human/Computer Interaction Business领域的600余本期刊中排名前10%

Abstract

This paper investigates whether fleeting orders account for market illiquidity. By discussing relevant trading strategies, our study suggests that fleeting orders serve for market making and contribute to market liquidity. Moreover, fleeting orders do not distort price accuracy and are not the outcome of illegal manipulation. We then empirically examine fleeting orders using a NASDAQ ITCH dataset. Our results indicate that fleeting orders have very small effects on market illiquidity and account for neither the amplification of price impact nor the decrease of revenues to liquidity providers. In summary, fleeting orders are not the trigger of market illiquidity and thus should not be considered as “spoofing” defined by the Dodd–Frank Act.


 

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