Please use this identifier to cite or link to this item: http://hdl.handle.net/11718/27077
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dc.contributor.authorBanerjee, Anirban-
dc.contributor.authorNawn, Samarpan-
dc.date.accessioned2024-02-05T06:30:37Z-
dc.date.available2024-02-05T06:30:37Z-
dc.date.issued2024-01-25-
dc.identifier.issn15446123-
dc.identifier.urihttp://hdl.handle.net/11718/27077-
dc.description.abstractThis study documents the liquidity-supplying behavior of proprietary algorithmic traders during the abrupt and sustained market decline caused by the COVID-19 outbreak. The findings suggest that these endogenous liquidity providers reduced their supply of liquidity during sustained market stress that lasted several days. Proprietary algorithmic traders showed a greater propensity to trade via market orders, reduced the fraction of contrarian trades, and reduced their share of order book depth compared to other traders during the in-COVID period. Our work provides the first direct evidence of the behavior of proprietary algorithmic traders during the pandemic.en_US
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.relation.ispartofFinance Research Lettersen_US
dc.subjectMarket microstructureen_US
dc.subjectHFTen_US
dc.subjectLiquidity crisisen_US
dc.subjectPassivityen_US
dc.titleProprietary algorithmic traders and liquidity supply during the pandemicen_US
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