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The impact of high speed quoting on execution risk dynamics: Evidence from interest rate futures markets

Nie, Jing; Malagon, Juliana; Williams, Julian

Authors

Jing Nie

Juliana Malagon



Abstract

This paper intends to characterize the effect of high-frequency quoting (HFQ) on the execution risk of Eurodollar futures. We construct a unique data set to capture the quoting and trading activities within the limit order book, which allows us to classify the realised fraction of HFQ activity within the market. We then estimate the marginal effect of the HFQ fraction on the execution risk through a novel semi-parametric regression. The results suggest that the effect of HFQ on market quality is nonlinear with critical saturation levels. The HFQ effects on market quality seem to disappear once certain critical points are reached.

Citation

Nie, J., Malagon, J., & Williams, J. (2022). The impact of high speed quoting on execution risk dynamics: Evidence from interest rate futures markets. Journal of Futures Markets, 42(8), 1434-1465. https://doi.org/10.1002/fut.22339

Journal Article Type Article
Acceptance Date Apr 21, 2022
Online Publication Date May 16, 2022
Publication Date 2022-08
Deposit Date Jun 27, 2022
Publicly Available Date May 17, 2024
Journal Journal of Futures Markets
Print ISSN 0270-7314
Electronic ISSN 1096-9934
Publisher Wiley
Peer Reviewed Peer Reviewed
Volume 42
Issue 8
Pages 1434-1465
DOI https://doi.org/10.1002/fut.22339
Public URL https://durham-repository.worktribe.com/output/1200068

Files

This file is under embargo until May 17, 2024 due to copyright restrictions.




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