Algo trading harmed market during Swiss franc crash – paper
Algorithmic traders tended to “consume liquidity and reinforce the price disruption”
Algorithmic trading appears to have worsened “market quality” during the Swiss franc crash in January 2015, a staff working paper published by the Bank of England finds.
The euro/Swiss franc currency pair suffered extreme volatility on January 15 that year after the Swiss National Bank removed its “ceiling” for the Swiss franc. The authors found algo trading tended to suck liquidity from the market while exacerbating volatility. Human traders were the opposite – adding liquidity and calming
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