Algorithmic trading behaviour and high-frequency liquidity withdrawal in the FX spot market

@inproceedings{Stenfors2017AlgorithmicTB,
  title={Algorithmic trading behaviour and high-frequency liquidity withdrawal in the FX spot market},
  author={Alexis Stenfors and Masayuki Susai},
  year={2017}
}
This paper studies the frequency and speed of limit order cancellations in the FX spot market for EUR/USD, USD/JPY and EUR/JPY. By investigating both ‘marketspecific’ and ‘order-specific’ drivers of liquidity withdrawal, we report several findings that could serve to question traditional market microstructure theory as well as conventional anecdotes from financial market participants. Overall, it appears as if limit orders with characteristics more likely to be submitted by algorithmic traders… CONTINUE READING