The Rise of Fast Trading: Curse or Blessing for Liquidity?
Forthcoming in Finance, the French Finance Association Review
45 Pages Posted: 10 May 2019 Last revised: 10 Jun 2021
Date Written: June 10, 2021
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.
Keywords: Liquidity, Fast Trading, Stock Exchanges, Full Order Book, Market Member ID, Euronext
JEL Classification: G10, G20
Suggested Citation: Suggested Citation