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- W3189418210 abstract "We incorporate discrete tick size and allow non-high-frequency traders (non-HFTs) to supply liquidity in the framework of Budish, Cramton, and Shim (2015). When adverse selection risk is low or tick size is large, the bid-ask spread is typically below one tick, and HFTs dominate liquidity supply. In other situations, non-HFTs dominate liquidity supply by undercutting HFTs, because supplying liquidity to HFTs is always less costly than demanding liquidity from HFTs. A small tick size improves liquidity, but also leads to more mini-flash crashes. The cancellation-to-trade ratio, a popular proxy for HFTs, can have a negative correlation with HFTs’ activity. Our model provides one explanation of flash crashes, and predicts when and where flash crashes are more likely to occur." @default.
- W3189418210 created "2021-08-16" @default.
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- W3189418210 date "2018-01-01" @default.
- W3189418210 modified "2023-09-27" @default.
- W3189418210 title "Who Supplies Liquidity, and When?" @default.
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- W3189418210 doi "https://doi.org/10.2139/ssrn.3231166" @default.
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