EconPapers    
Economics at your fingertips  
 

Spoofing and Pinging in Foreign Exchange Markets

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

No 2018-05, Working Papers in Economics & Finance from University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group

Abstract: This paper investigates the susceptibility of 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 in the market ('ping orders'). Using a complete limit order book dataset from EBS, we study currency pairs that have mature algorithmic markets (EUR/USD and USD/JPY), as well as other G10 and emerging market currencies where EBS is used as a secondary electronic trading platform (EUR/SEK, USD/RUB and USD/TRY). Our results, indicating that EUR/USD and USD/JPY are highly sensitive to information-rich orders, suggests that spoofing tactics might be more dependent on the chosen electronic trading venue, rather than the overall market liquidity of the currency pairs. Furthermore, we find widespread adoption of pinging tactics in the EUR/SEK and USD/RUB markets.

Keywords: market microstructure; limit order book; foreign exchange; high-frequency trading; manipulation; spoofing; pinging; stealth trading (search for similar items in EconPapers)
JEL-codes: D4 F3 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mst
Date: 2018-09-13
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://repec.port.ac.uk/EconFinance/PBSEconFin_2018_05.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:2018-05

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 Ansgar Wohlschlegel (). This e-mail address is bad, please contact .

 
Page updated 2019-10-14
Handle: RePEc:pbs:ecofin:2018-05