The rise of fast trading: Curse or blessing for liquidity?

Christophe Desagre, D’Hondt, Catherine and Mikael Petitjean
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Christophe Desagre: Université catholique de Louvain, LIDAM/LFIN, Belgium
D’Hondt, Catherine: Université catholique de Louvain, LIDAM/LFIN, Belgium

No 2021018, LIDAM Reprints LFIN from Université catholique de Louvain, Louvain Finance (LFIN)

Abstract: We study how market liquidity on Euronext has evolved with the rise of fast trading. We identify fast traders by directly measuring message traffic and the lifetime of orders for every individual market member on Euronext using their identification codes. We observe an overall improvement in terms of liquidity between 2002 and 2006. However, the most exposed stocks to fast trading exhibit the weakest increase in liquidity and lose the liquidity advantage they had before the rise of fast trading.

Pages: 45
Date: 2021-01-01
Note: In: Finance : revue de l'Association française de finance, 202, vol. 43, p. 119-158
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Journal Article: The rise of fast trading: Curse or blessing for liquidity? (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:ajf:louvlr:2021018

DOI: 10.3917/fina.pr.i

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