Resiliency in the E‐mini futures market

Raymond P. H. Fishe, Richard Haynes and Esen Onur

Journal of Futures Markets, 2022, vol. 42, issue 1, 5-23

Abstract: We study how quickly liquidity is replenished on the order book in E‐mini futures. The results show that participants who use patient methods, such as limit orders, are often fast to place new orders, while those using impatient market orders are slow to re‐enter the market. These delays are a function of state constants, such as firm types, state conditions, such as whether the order is price improving, and time‐varying covariates, such as the volume of trade during the gap. We also find support for the view that certain traders delay providing liquidity during active markets to avoid informed trading.

Date: 2022
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