Arbeitspapier

High-Frequency Trading around Large Institutional Orders

Liquidity suppliers lean against the wind. We analyze whether high-frequency traders (HFTs) lean against large institutional orders that execute through a series of child orders. The alternative is HFTs trading "with the wind," that is, in the same direction. We find that HFTs initially lean against these orders but eventually change direction and take position in the same direction for the most informed institutional orders. Our empirical findings are consistent with investors trading strategically on their information. When deciding trade intensity, they seem to trade off higher speculative profit against higher risk of detection by HFTs and being preyed on.

Sprache
Englisch

Erschienen in
Series: Tinbergen Institute Discussion Paper ; No. 17-092/IV

Klassifikation
Wirtschaft
General Financial Markets: General (includes Measurement and Data)
Information and Market Efficiency; Event Studies; Insider Trading
International Financial Markets
Thema
High-frequency traders
institutional investors
trading patterns
transaction cost

Ereignis
Geistige Schöpfung
(wer)
van Kervel, Vincent
Menkveld, Albert J.
Ereignis
Veröffentlichung
(wer)
Tinbergen Institute
(wo)
Amsterdam and Rotterdam
(wann)
2017

Handle
Letzte Aktualisierung
20.09.2024, 08:22 MESZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • van Kervel, Vincent
  • Menkveld, Albert J.
  • Tinbergen Institute

Entstanden

  • 2017

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