Algorithmic Trading Behaviour and High-Frequency Liquidity Withdrawal in the FX Spot Market

Alexis Stenfors and Masayuki Susai
Additional contact information
Masayuki Susai: Nagasaki University

No 2017-04, Working Papers in Economics & Finance from University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group

Abstract: This paper studies the frequency and speed of limit order cancellations in the FX spot market for EUR/USD, USD/JPY and EUR/JPY. By investigating both 'market-specific' and 'order-specific' drivers of liquidity withdrawal, we report several findings that could serve to question traditional market microstructure theory as well as conventional anecdotes from financial market participants. Overall, it appears as if limit orders with characteristics more likely to be submitted by algorithmic traders are perceived to be more informed or predatory than orders submitted human traders - thus acting to trigger more, and faster, limit order cancellations.

Keywords: market microstructure; limit order book; foreign exchange; high-frequency trading (search for similar items in EconPapers)
JEL-codes: D4 F3 (search for similar items in EconPapers)
Pages: 55
Date: 2017-05-02
New Economics Papers: this item is included in nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://repec.port.ac.uk/EconFinance/PBSEconFin_2017_04.pdf Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pbs:ecofin:2017-04

Access Statistics for this paper

More papers in Working Papers in Economics & Finance from University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group Portsmouth Business School Richmond Building Portland Street Portsmouth PO1 3DE United Kingdom. Contact information at EDIRC.
Bibliographic data for series maintained by Shuonan Zhang ( this e-mail address is bad, please contact ).