High-Frequency Trading around Large Institutional Orders

• 成果类型: Article
• 署名作者: van Kervel, Vincent; Menkveld, Albert J.
• 署名单位: Pontificia Universidad Catolica de Chile; Vrije Universiteit Amsterdam; Tinbergen Institute
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12759
• 发表日期: 2019
• 页码: 1091-1137
• 关键词: information

摘要

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 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.