Spoofing and pinging in foreign exchange markets

Alexis Stenfors, Masayuki Susai

Research output: Contribution to journalArticlepeer-review

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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