High-Frequency Trading around Large Institutional Orders

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dc.contributor.authorvan Kervel, Vincent
dc.contributor.authorMenkveld, Albert J.
dc.date.accessioned2025-01-23T21:14:41Z
dc.date.available2025-01-23T21:14:41Z
dc.date.issued2019
dc.description.abstractLiquidity 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 positions 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 profits against higher risk of being detected and preyed on by HFTs.
dc.fuente.origenWOS
dc.identifier.doi10.1111/jofi.12759
dc.identifier.eissn1540-6261
dc.identifier.issn0022-1082
dc.identifier.urihttps://doi.org/10.1111/jofi.12759
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/101054
dc.identifier.wosidWOS:000467590600001
dc.issue.numero3
dc.language.isoen
dc.pagina.final1137
dc.pagina.inicio1091
dc.revistaJournal of finance
dc.rightsacceso restringido
dc.subject.ods08 Decent Work and Economic Growth
dc.subject.odspa08 Trabajo decente y crecimiento económico
dc.titleHigh-Frequency Trading around Large Institutional Orders
dc.typeartículo
dc.volumen74
sipa.indexWOS
sipa.trazabilidadWOS;2025-01-12
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