Spoofing and pinging in foreign exchange markets

Alexis Stenfors and Masayuki Susai

Journal of International Financial Markets, Institutions and Money, 2021, vol. 70, issue C

Abstract: This paper investigates the susceptibility of foreign exchange (FX) spot markets to limit order submission strategies that are either intended to create a false impression of the state of the market (‘spoof orders’) or to extract hidden information from the market (‘ping orders’). Using a complete limit order book dataset from Electronic Broking Services (EBS), our findings suggest that spoofing is more likely to succeed in liquid markets, or on primary electronic trading platforms. Pinging, by contrast, might be more prevalent in illiquid markets, or on secondary electronic trading platforms.

Keywords: Market microstructure; Limit order book; Foreign exchange; High-frequency trading; Manipulation; Spoofing; Pinging (search for similar items in EconPapers)
JEL-codes: D4 F31 G1 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Related works:
Working Paper: Spoofing and Pinging in Foreign Exchange Markets (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:70:y:2021:i:c:s1042443120301621

DOI: 10.1016/j.intfin.2020.101278

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