Clapham, Benjamin; Haferkorn, Martin; Zimmermann, Kai - In: Journal of Financial Research 43 (2020) 4, pp. 933-964
We analyze limit order book resiliency following liquidity shocks initiated by large market orders. Based on a unique data set, we investigate whether high-frequency traders are involved in replenishing the order book. Therefore, we relate the net liquidity provision of high-frequency traders,...