Nie, Jing and Malagon, Juliana and Williams, Julian (2022) 'The impact of high speed quoting on execution risk dynamics: Evidence from interest rate futures markets.', Journal of Futures Markets, 42 (8). pp. 1434-1465.
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.
|Full text:||Publisher-imposed embargo until 16 May 2024. |
(AM) Accepted Manuscript
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|Publisher Web site:||https://doi.org/10.1002/fut.22339|
|Publisher statement:||This is the peer reviewed version of the following article: Nie, Jing, Malagon, Juliana & Williams, Julian (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, which has been published in final form at https://doi.org/10.1002/fut.22339. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions.|
|Date accepted:||21 April 2022|
|Date deposited:||27 June 2022|
|Date of first online publication:||16 May 2022|
|Date first made open access:||16 May 2024|
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