RT Journal Article
SR Electronic
T1 COMMENTARY: A Retrospective Look: <em>Phantom Liquidity and High-Frequency Quoting</em>
JF The Journal of Trading
FD Institutional Investor Journals
SP 117
OP 118
DO 10.3905/jot.2018.13.4.117
VO 13
IS 4
A1 Jesse Blocher
A1 Rick Cooper
A1 Jonathan Seddon
A1 Ben Van Vliet
YR 2018
UL https://pm-research.com/content/13/4/117.abstract
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