High-Frequency Trading and Its Impact on Exogenous Liquidity Risk of China’s Stock Index Futures Market before and after Trading Restrictions

<div>ECL/LVaR ratio chart before trade restriction of CSI 300 index futures (above) and after trade restriction (below) (minute level).</div>

Complexity

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Figure 5

Figure 5: High-Frequency Trading and Its Impact on Exogenous Liquidity Risk of China’s Stock Index Futures Market before and after Trading Restrictions 

Figure 5 | High-Frequency Trading and Its Impact on Exogenous Liquidity Risk of China’s Stock Index Futures Market before and after Trading Restrictions 