FinTech and Order Book Dynamics: Analyzing Liquidity and Volatility in Regular vs. Extended Market Hours

The rapid growth of FinTech platforms and the expanding participation of retail investors have reshaped equity market microstructure. Earlier research has shown that the rise of fractional-share trading and increased non-professional participation can widen spreads, alter order book depth, and influence price dynamics. Building on this literature, and extending the insights from our previous studies on fractional trading and order book behavior, this paper examines how liquidity and volatility differ between regular and extended trading sessions in U.S. equity markets. Using high-frequency limit order book data, we analyze bid-ask spreads, depth, order flow imbalance, realized volatility, and price impact across trading sessions. We compare microstructure characteristics between regular hours and extended hours and assess how FinTech-driven retail activity may amplify the fragility of order books outside normal trading conditions. The findings indicate that extended-hours trading is associated with significantly wider spreads, thinner depth, higher price impact, and greater volatility—reflecting lower resiliency when retail-oriented trading dominates in a low-liquidity environment. These results contribute to the understanding of modern market microstructure and highlight implications for price discovery and market stability in the FinTech era.