Profitability and liquidity provision of HFTs during large price shocks: Does relative tick size matter?
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DOI: 10.1016/j.frl.2021.102308
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- (Meni) Abudy, Menachem & Gildin, Ilan & Mugerman, Yevgeny, 2022. "Do computerized traders follow social norms? Evidence from the holocaust remembrance moment of silence," Finance Research Letters, Elsevier, vol. 48(C).
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More about this item
Keywords
High-frequency trading; Equity market; Large price shock; Relative tick size;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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