Download This PaperStrategic Liquidity Provision in High Frequency Trading
20 Pages Posted: 19 Oct 2019
Date Written: October 9, 2019
Abstract
We construct a Kyle (1985) - type market model in which fast and slow traders are present. We will show with numerical calculations that a fast trader who has an advantage in trade frequency plays a role as a liquidity provider in the sense that he takes the opposite position against a slow trader if the difference in frequency is significant. Our theoretical results seem generally consistent with empirical results reported by previous studies.
Keywords: High Frequency Trading, Market Micro-Structure, Strategic Liquidity Provision
JEL Classification: D43, D82, G12
Suggested Citation: Suggested Citation
Hayashi, Takaki and Nishide, Katsumasa, Strategic Liquidity Provision in High Frequency Trading (October 9, 2019). Available at SSRN: https://ssrn.com/abstract=2853277 or http://dx.doi.org/10.2139/ssrn.2853277
Register to save articles to
your library
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.
