Limit order placement by high-frequency traders
The effectiveness of liquidity provision by HFT firms is an unexplored but central policy issue. Using unique data consisting of limit order placement, execution, and cancellations, we find that HFT firms do not cancel orders more frequently than non-HFT firms. HFT firms more effectively use order c...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2016-12-01
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| Series: | Borsa Istanbul Review |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845016301090 |