The Rise of Fast Trading: Curse or Blessing for Liquidity?

60 Pages Posted: 10 May 2019 Last revised: 13 Nov 2019

See all articles by Christophe Desagre

Christophe Desagre

Catholic University of Louvain (UCL) - Louvain Finance (LFIN)

Catherine D'Hondt

UCLouvain, Louvain School of Management - Louvain Finance

Mikael Petitjean

Catholic University of Lille - IÉSEG School of Management, Lille Campus; Lille Economie & Management (LEM) UMR 9221; Louvain School of Management (UCL); Catholic University of Louvain (UCL) - Louvain Finance (LFIN)

Date Written: September 6, 2019

Abstract

We identify fast trading by directly measuring message traffic and the lifetime of orders for all market members on Euronext using their identification codes. We show that the fast-traded stocks exhibit the weakest decrease in both the relative spread and the cost of round trip trade. These stocks could have maintained their liquidity edge observed before the rise of fast trading, had they been better immune from it.

Keywords: Liquidity, Fast Trading, Stock Exchanges, Full Order Book, Market Member ID, Euronext

JEL Classification: G10, G20

Suggested Citation

Desagre, Christophe and D'Hondt, Catherine and Petitjean, Mikael, The Rise of Fast Trading: Curse or Blessing for Liquidity? (September 6, 2019). Available at SSRN: https://ssrn.com/abstract=3192597 or http://dx.doi.org/10.2139/ssrn.3192597

Christophe Desagre (Contact Author)

Catholic University of Louvain (UCL) - Louvain Finance (LFIN) ( email )

Chaussée de Binche, 151
Mons, 7000
Belgium

Catherine D'Hondt

UCLouvain, Louvain School of Management - Louvain Finance ( email )

151 Chaussée de Binche
Mons, 7000
Belgium

Mikael Petitjean

Catholic University of Lille - IÉSEG School of Management, Lille Campus ( email )

3 rue de la Digue
Lille, 59000
France
0032497301266 (Phone)
59000 (Fax)

Lille Economie & Management (LEM) UMR 9221 ( email )

Lille
France

Louvain School of Management (UCL) ( email )

Belgium

Catholic University of Louvain (UCL) - Louvain Finance (LFIN) ( email )

34 Voie du Roman Pays - L1.03.01
Louvain-la-Neuve, 1348
Belgium

Register to save articles to
your library

Register

Paper statistics

Downloads
29
Abstract Views
225
PlumX Metrics