Profitability and liquidity provision of HFTs during large price shocks: Does relative tick size matter?
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DOI: 10.1016/j.frl.2021.102308
Abstract: Abstract Using tick data identifying high-frequency traders (HFTs), this paper studies the trading profits and liquidity provision of HFTs during large price shocks. Previous studies report mixed evidence on whether HFTs provide or take liquidity… read more here.
Keywords: liquidity provision; liquidity; relative tick; tick size ... See more keywords