High-Frequency Phantom Liquidity: Evidence that REST API Measurements Severely Underestimate Market Quality Issues

Boon Chuan Lim

doi:10.2139/ssrn.6732245

Market microstructure

High-Frequency Phantom Liquidity: Evidence that REST API Measurements Severely Underestimate Market Quality Issues

Boon Chuan Lim · 2026

Status: Working paper / preprint
Year: 2026
Primary DOI: 10.2139/ssrn.6732245

This entry is a working paper or preprint. It is not listed as a published journal article. Consult the linked source for its latest version.

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SSRN 6732245 ↗

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Lim, B. C. (2026). High-Frequency Phantom Liquidity: Evidence that REST API Measurements Severely Underestimate Market Quality Issues. Working paper. https://doi.org/10.2139/ssrn.6732245

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