Skip to content
Back to outputs

Stealth trading in FX markets

Research output: Working paper

Standard

Stealth trading in FX markets. / Stenfors, Alexis; Susai, Masayuki.

University of Portsmouth, 2021. (Working Papers in Economics and Finance).

Research output: Working paper

Harvard

Stenfors, A & Susai, M 2021 'Stealth trading in FX markets' Working Papers in Economics and Finance, University of Portsmouth. <http://repec.port.ac.uk/EconFinance/PBSEconFin_2021_02.pdf>

APA

Stenfors, A., & Susai, M. (2021). Stealth trading in FX markets. (Working Papers in Economics and Finance). University of Portsmouth. http://repec.port.ac.uk/EconFinance/PBSEconFin_2021_02.pdf

Vancouver

Stenfors A, Susai M. Stealth trading in FX markets. University of Portsmouth. 2021 Feb 1. (Working Papers in Economics and Finance).

Author

Stenfors, Alexis ; Susai, Masayuki. / Stealth trading in FX markets. University of Portsmouth, 2021. (Working Papers in Economics and Finance).

Bibtex

@techreport{c7d34749bcb841d882d62fede7f2cb7c,
title = "Stealth trading in FX markets",
abstract = "We investigate if and how other traders react to algorithmic order-splitting tactics. Studying over 1.4 million limit orders in the EUR/USD foreign exchange (FX) spot market, we find that stealth-trading strategies adopted by algorithmic traders seem to go detected and are perceived as more market-moving than orders of the corresponding size typically submitted by human traders. We also document that algorithmic traders appear to be more sensitive to limit orders submitted from the opposite side (free-option risk) than to the same side of the order book (non-execution risk). Once human traders have had time to react, however, the pattern reverses. ",
author = "Alexis Stenfors and Masayuki Susai",
year = "2021",
month = feb,
day = "1",
language = "English",
series = "Working Papers in Economics and Finance",
publisher = "University of Portsmouth",
type = "WorkingPaper",
institution = "University of Portsmouth",

}

RIS

TY - UNPB

T1 - Stealth trading in FX markets

AU - Stenfors, Alexis

AU - Susai, Masayuki

PY - 2021/2/1

Y1 - 2021/2/1

N2 - We investigate if and how other traders react to algorithmic order-splitting tactics. Studying over 1.4 million limit orders in the EUR/USD foreign exchange (FX) spot market, we find that stealth-trading strategies adopted by algorithmic traders seem to go detected and are perceived as more market-moving than orders of the corresponding size typically submitted by human traders. We also document that algorithmic traders appear to be more sensitive to limit orders submitted from the opposite side (free-option risk) than to the same side of the order book (non-execution risk). Once human traders have had time to react, however, the pattern reverses.

AB - We investigate if and how other traders react to algorithmic order-splitting tactics. Studying over 1.4 million limit orders in the EUR/USD foreign exchange (FX) spot market, we find that stealth-trading strategies adopted by algorithmic traders seem to go detected and are perceived as more market-moving than orders of the corresponding size typically submitted by human traders. We also document that algorithmic traders appear to be more sensitive to limit orders submitted from the opposite side (free-option risk) than to the same side of the order book (non-execution risk). Once human traders have had time to react, however, the pattern reverses.

M3 - Working paper

T3 - Working Papers in Economics and Finance

BT - Stealth trading in FX markets

PB - University of Portsmouth

ER -

ID: 26264774