Alexis Stenfors

The Impact of Strategic Limit Order Submissions on Foreign Exchange Market Liquidity

In this paper, we empirically investigate the short-term impact of human/algorithmic limit order submissions on the liquidity provision and withdrawal process of other human/algorithmic traders. Using a high-frequency dataset containing over 1.5 million limit orders in the USD/JPY and EUR/JPY foreign exchange spot markets (amounting to a limit order volume of approximately

Libor 1986–2021: the making and unmaking of ‘the world's most important price’

2 trillion), we document three key findings. First, order-splitting strategies widely adopted by algorithmic traders to disguise the true order size seem to go detected and are perceived as more information-rich or predatory than orders of the corresponding size typically submitted by human traders. Second, the inverse relationship between limit order size and price aggressiveness is less consistent than expected – both concerning traders’ strategic order submissions and their impact on the liquidity withdrawal by others. Third, we find that traders appear to be more sensitive to limit orders submitted from the same side (non-execution risk) than to the opposite side of the order book (free option risk), but that the ‘recovery’ of the limit order book primarily is driven by a reassessment of free option risk.

Financialisation and the financial and economic crises:the case of Sweden

ABSTRACT Up until around 2008 and the subsequent revelation of systematic manipulation, the integrity and ‘facticity’ of the London Interbank Offered Rate (LIBOR) were rarely questioned. Academics treated LIBOR and the Eurodollar market as if they were synonyms. Central bankers conducted monetary policy as if the LIBOR was an objective reflection of the money market rate. Corporates and households entered into LIBOR-indexed financial contacts as if a money market was the underlying benchmark. This paper investigates how and why LIBOR managed to maintain its status as a term for the competitive money market colloquially, professionally and in the economic literature for so long. By adopting a theoretical framework drawing insights from both political economy and sociology, and applying it to the LIBOR-indexed derivatives market, it is shown how the benchmarks appearance betrays its fundamental nature. This process benefits certain actors within the market: the banks. Importantly, however, it also reveals how LIBOR became, and remained, such an important benchmark, how it came to be perceived as an ‘objective fact’, and why the regulation that came into place was insufficient to sustain its future use.