| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9925 |
| DP9925 Toxic Arbitrage | |
| Thierry Foucault; Roman Kozhan | |
| 发表日期 | 2014-04-06 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | High frequency arbitrage opportunities sometimes arise when the price of one asset follows, with a lag, changes in the value of another related asset due to information arrival. These opportunities are toxic because they expose liquidity suppliers to the risk of being picked off by arbitrageurs. Hence, more frequent toxic arbitrage opportunities and a faster arbitrageurs' response to these opportunities impair liquidity. We find support for these predictions using high frequency triangular arbitrage opportunities in the FX market. In our sample, a 1% increase in the likelihood that a toxic arbitrage terminates with an arbitrageur's trade (rather than a quote update) raises bid-ask spreads by about 4%. |
| 主题 | Financial Economics |
| 关键词 | Adverse selection Arbitrage High frequency trading Liquidity |
| URL | https://cepr.org/publications/dp9925 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538759 |
| 推荐引用方式 GB/T 7714 | Thierry Foucault,Roman Kozhan. DP9925 Toxic Arbitrage. 2014. |
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