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2022
- handle: 10670/1.s52k4r
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liquidity fast tading Euronext market membersSujets proches
Field guides Keys (Identification guides) Identification guides Trading, Stock Common stocks Stock offerings Stock issues Equity financing Stock trading Common shares Equity capital Shares of stock Equities Measuring Mensuration Forensic identification Mass communication Communications industries Traffic Codes ContractionsCiter ce document
Christophe Desagre et al., « The rise of fast trading: Curse or blessing for liquidity? », Finance, ID : 10670/1.s52k4r
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We study how market liquidity on Euronext has evolved with the rise of fast trading. We identify fast traders by directly measuring message traffic and the lifetime of orders for every individual market member on Euronext using their identification codes. We observe an overall improvement in terms of liquidity between 2002 and 2006. However, the most exposed stocks to fast trading exhibit the weakest increase in liquidity and lose the liquidity advantage they had before the rise of fast trading.