PT  - JOURNAL ARTICLE
AU  - Jesse Blocher
AU  - Rick Cooper
AU  - Jonathan Seddon
AU  - Ben Van Vliet
TI  - COMMENTARY: A Retrospective Look: <em>Phantom Liquidity and High-Frequency Quoting</em>
AID  - 10.3905/jot.2018.13.4.117
DP  - 2018 Oct 31
TA  - The Journal of Trading
PG  - 117--118
VI  - 13
IP  - 4
4099  - https://pm-research.com/content/13/4/117.short
4100  - https://pm-research.com/content/13/4/117.full
AB  - In this paper we take a retrospective look at our paper “Phantom Liquidity and High-Frequency Quoting” and discuss the context of the research in light of our broader inquiry into the nature of the high-frequency trading industry. The data presented in this paper appear to show that limit order cancellations of high-frequency traders are associated with price discovery and liquidity provision, rather than some manner of systematic taking advantage of other market participants. These firms are acting as rational, profit-seeking businesses, and we believe time has shown this view to be correct. In the years since publication, HFT has matured, and consolidated into fewer, lower-cost providers of efficiency and liquidity services, much like we would expect in any other industry.TOPICS: Legal/regulatory/public policy, quantitative methods