High frequency trading and extreme price movements
成果类型：
Article
署名作者：
Brogaard, Jonathan; Carrion, Allen; Moyaert, Thibaut; Riordan, Ryan; Shkilko, Andriy; Sokolov, Konstantin
署名单位：
University of Washington; University of Washington Seattle; Utah System of Higher Education; University of Utah; Queens University - Canada; Wilfrid Laurier University; University of Sydney; Rochester Institute of Technology; University of Memphis
刊物名称：
JOURNAL OF FINANCIAL ECONOMICS
ISSN/ISSBN：
0304-405X
DOI：
10.1016/j.jfineco.2018.02.002
发表日期：
2018
页码：
253-265
关键词：
摘要：
Are endogenous liquidity providers (ELPs) reliable in times of market stress? We examine the activity of a common ELP type high frequency traders (HFTs) around extreme price movements (EPMs). We find that on average HFTs provide liquidity during EPMs by absorbing imbalances created by non-high frequency traders (nHFTs). Yet HFT liquidity provision is limited to EPMs in single stocks. When several stocks experience simultaneous EPMs, HFT liquidity demand dominates their supply. There is little evidence of HFTs causing EPMs. (C) 2018 Elsevier B.V. All rights reserved.
来源URL：