Study – Phantom Liquidity and High Frequency Quoting

Study – Phantom Liquidity and High Frequency Quoting
Professors Jesse Blocher, Ricky Alyn Cooper, Jonathan Seddon and Ben Van Vliet find that “the only thing occurring during high levels of cancellation activity is HFT firms seeking the correct price level. This is good for the market. It means that HFT firms process information and help improve price discovery without the need for intermediate executions.”