Finding 7888Emerging EvidenceValidation V0
This paper challenges prevailing market microstructure theory by empirically demonstrating that flickering quotes in limit order books, often dismissed as uninformed, significantly impact price discovery. Employing advanced econometric methods, including signed price impact regression and SVAR, and identifying HFTs as key drivers, it offers novel, compelling insights into electronic market information flow.
82%Confidence
1Evidence objects
v1Version
DraftStatus
Evidence trail
Supporting82% linkage confidence
This paper challenges prevailing market microstructure theory by empirically demonstrating that flickering quotes in limit order books, often dismissed as uninformed, significantly impact price discovery. Employing advanced econometric methods, including signed price impact regression and SVAR, and identifying HFTs as key drivers, it offers novel, compelling insights into electronic market information flow.
key_findings bullet 4 · key_findings
Inspect source: The Lasting Impact of Flickering Quotes →This Finding was extracted from the configured corpus. It is versioned, traceable, and may evolve through editorial review or new corpus evidence.