Proprietary algorithmic traders and liquidity supply during the pandemic

dc.contributor.author	Banerjee, Anirban
dc.contributor.author	Nawn, Samarpan
dc.date.accessioned	2024-02-05T06:30:37Z
dc.date.available	2024-02-05T06:30:37Z
dc.date.issued	2024-01-25
dc.identifier.issn	15446123
dc.identifier.uri	http://hdl.handle.net/11718/27077
dc.description.abstract	This 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.iso	en	en_US
dc.publisher	Elsevier	en_US
dc.relation.ispartof	Finance Research Letters	en_US
dc.subject	Market microstructure	en_US
dc.subject	HFT	en_US
dc.subject	Liquidity crisis	en_US
dc.subject	Passivity	en_US
dc.title	Proprietary algorithmic traders and liquidity supply during the pandemic	en_US

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