Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/154453 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
ECB Working Paper No. 2020
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity consumption decisions: traders demand more liquidity when the market becomes less liquid, which in turn makes the market more illiquid, fostering the initial demand hike. This can generate market instability, where an initial dearth of liquidity degenerates into a liquidity rout (as in a flash crash). While in a transparent market, liquidity is increasing in the proportion of high frequency traders, in an opaque market strategic complementarities can make liquidity U-shaped in this proportion as well as in the degree of transparency.
Schlagwörter: 
asymmetric information
flash crash
high frequency trading
market fragmentation
JEL: 
G10
G12
G14
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-899-2742-0
Dokumentart: 
Working Paper

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