Spoofing and pinging in foreign exchange markets

Alexis Stenfors, Masayuki Susai

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    Abstract

    This paper investigates the susceptibility of FX spot markets to limit order submission strategies that are either intended to create a false impression of the state of the market (‘spoof orders’) or to extract hidden information from the market (‘ping orders’). Using a complete limit order book dataset from EBS, our findings suggest that spoofing is more likely to succeed in liquid markets, or on primary electronic trading platforms. Pinging, by contrast, might be more prevalent in illiquid markets, or on secondary electronic trading platforms.
    Original languageEnglish
    Article number101278
    Pages (from-to)0
    JournalJournal of International Financial Markets, Institutions and Money
    Volume0
    Early online date15 Dec 2020
    DOIs
    Publication statusEarly online - 15 Dec 2020

    Keywords

    • market microstructure
    • limit order book
    • foreign exchange
    • high-frequency trading
    • manipulation
    • spoofing
    • pinging

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