{"id":3541,"date":"2019-03-19T00:00:00","date_gmt":"2019-03-19T00:00:00","guid":{"rendered":"https:\/\/indem.uc3m.es\/news\/prof-mikel-tapia-and-jos-penalva-new-publication-in-the-journal-of-banking-finance\/"},"modified":"2025-03-24T08:11:55","modified_gmt":"2025-03-24T08:11:55","slug":"nueva-publicacin-de-mikel-tapia-y-jos-penalva-en-el-journal-of-banking-finance","status":"publish","type":"news","link":"https:\/\/indem.uc3m.es\/en\/news\/nueva-publicacin-de-mikel-tapia-y-jos-penalva-en-el-journal-of-banking-finance\/","title":{"rendered":"Prof. Mikel Tapia and Jos\u00e9 Penalva, new publication in the Journal of Banking & Finance"},"content":{"rendered":"

Ultra-fast activity and intraday market qualityThis paper studies the intraday relationship between ultra-fast machine-driven activity (UFA) and market quality in automated equity markets. We find that higher UFA is associated with lower intraday market quality (greater quoted and effective spreads and lower depth). This effect is economically\u00a0significant,\u00a0and robust to different specifications, endogeneity tests, and alternative measures of UFA. Our results hold after controlling for volatility, periods of unusually high UFA (a proxy for quote stuffing), and periods where UFA is primarily driven by fleeting orders inside the spread (a proxy for spoofing and competition between liquidity providers).DOI:\u00a0https:\/\/doi.org\/10.1016\/j.jbankfin.2018.12.003<\/p>\n","protected":false},"template":"","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"default","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","ast-disable-related-posts":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"default","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"tablet":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"mobile":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""}},"ast-content-background-meta":{"desktop":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"tablet":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"mobile":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""}}},"class_list":["post-3541","news","type-news","status-publish","has-post-thumbnail","hentry"],"yoast_head":"\nProf. Mikel Tapia and Jos\u00e9 Penalva, new publication in the Journal of Banking & Finance - INDEM - Departamento de Econom\u00eda de la Empresa<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/indem.uc3m.es\/en\/news\/nueva-publicacin-de-mikel-tapia-y-jos-penalva-en-el-journal-of-banking-finance\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Prof. Mikel Tapia and Jos\u00e9 Penalva, new publication in the Journal of Banking & Finance - INDEM - Departamento de Econom\u00eda de la Empresa\" \/>\n<meta property=\"og:description\" content=\"The article is entitled "Ultra-Fast Activity and Intraday Market Quality", and its also coauthorized with Prof. A. 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