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The Journal of Financial Research
DOES SPEED MATTER? THE ROLE OF HIGH‐FREQUENCY TRADING FOR ORDER BOOK RESILIENCY
Benjamin Clapham, Martin Haferkorn, Kai Zimmermann

Paper Summary

The study looked at how different types of traders react to big market orders that affect the order book. High-frequency traders quickly reduce the spread after the event, but it takes longer for the order book depth to recover, which is mostly done by human traders.

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