Technology and Liquidity Provision: The Blurring of Traditional Definitions

By Joel Hasbrouck, Gideon Saar. 2009

294 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/7e92fd2fb295d12fc9a3dc7048f18ab5bf38708b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

In Management Science and Operations Research

Citations in the corpus

Very Fast Money: High-Frequency Trading on the NASDAQ (2013, background): “Cvitanic and Kirilenko (2010), Biais, Foucault, and Moinas (2011), and Jarrow and Protter (2012) present theoretical models where HFTs can play disruptive roles. The mechanisms include order sniping in Cvitanic and Kirilenko (2010), overinvestment, adverse selection, and the crowding out of slower t”
Does Algorithmic Trading Improve Liquidity (2011, background): “Smith, Turnbull, and White (2000), Lo, MacKinlay, and Zhang (2002), Boehmer, Saar, and Yu (2005), Hasbrouck and Saar (2007) , Obizhaeva and Wang (2005))”
The Externalities of High Frequency Trading (2013, unknown): “19 The 10 cent cutoff is used by Hasbrouck and Saar (2011).”
Liquidity Cycles and Make/Take Fees in Electronic Markets (2013, unknown): “ηmm ≡ μ ∂ log(λ̄ ∗ ) ∂cm ¶ cm and ηmt ≡ μ ∂ log(λ̄ ∗ ) ∂ct ¶ ct, (19)”
The Flash Crash: The Impact of High Frequency Trading on an Electronic Market (2011, background): “2See, among others, Holthausen et al (1987, 1990), Chan and Lakonishok (1993, 1995), Chiyachantana et al (2004), Keim and Madhavan (1996, 1997), and Berkman (1996).”
Algorithmic Trading and the Market for Liquidity (2013, unknown): “Hasbrouck and Saar (2009) find that a large number of limit orders were canceled within 2 seconds on the INET trading platform (which is now Nasdaq’s trading mechanism).”
Low-latency trading $ (2013, background): “In other words, we observe every displayed order that arrives to the NASDAQ market, including the NASDAQ portion of 3 See Hasbrouck and Saar (2009) for a more detailed description of the INET market structure.”
Identifying Expensive Trades by Monitoring the Limit Order Book (2017, background): “Hasbrouck and Saar (2009) define them as non marketable limit orders that are rapidly canceled after submission.”
LOBSTER: Limit Order Book Reconstruction System ∗ (2011, background): “These limit orders are typically submitted in order to detect hidden liquidity inside the spread rather than to provide liquidity (see e.g., Hasbrouck and Saar, 2009).”