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- W2625949664 abstract "This study examines high-frequency trading patterns around intense episodic spikes in firm volatility. We provide evidence that high-frequency traders (HFTs) participate in more transactions as liquidity suppliers and in fewer transactions as liquidity demanders during extreme short-term firm volatility events than in the minutes leading up to these events. In fact, the supply of liquidity by HFTs increases as volatility episodes grow in intensity. In addition, we find greater increases in high-frequency market making when order flows are balanced during volatility episodes, relative to when order flows are unbalanced. The results are robust to alternative event identification strategies and exchange listings. Our findings suggest that the transactions of HFTs neither initiate nor exacerbate the extreme firm-level volatility episodes observed in this article." @default.
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- W2625949664 date "2017-06-30" @default.
- W2625949664 modified "2023-09-27" @default.
- W2625949664 title "High-Frequency Trading Patterns around Short-Term Volatility Spikes" @default.
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- W2625949664 doi "https://doi.org/10.3905/jot.2017.12.3.048" @default.
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