Informed trading and the price impact of block trades: A high frequency trading analysis
نویسندگان
چکیده
منابع مشابه
Price Impact Asymmetry of Block Trades: An Institutional Trading Explanation
This article develops a theoretical model to explain the permanent price impact asymmetry between buyerand seller-initiated block trades (the permanent price impact of buys is larger than that of sells). The model shows how the trading strategy of institutional portfolio managers creates a difference between the information content of buys and sells. The main implication of the model is that th...
متن کاملHigh-Frequency Trading and Price Discovery
We examine the role of high-frequency traders (HFT) in price discovery. Overall HFT play a positive role in price efficiency by trading in the direction of permanent price changes and in the opposite direction of transitory pricing errors on average days and the highest volatility days. This is done through their marketable orders. In contrast, HFT passive non-marketable orders are adversely se...
متن کاملA material political economy: Automated Trading Desk and price prediction in high-frequency trading.
This article contains the first detailed historical study of one of the new high-frequency trading (HFT) firms that have transformed many of the world's financial markets. The study, of Automated Trading Desk (ATD), one of the earliest and most important such firms, focuses on how ATD's algorithms predicted share price changes. The article argues that political-economic struggles are integral t...
متن کاملQuantifying immediate price impact of trades based on the k-shell decomposition of stock trading networks
Traders in a stock market exchange stock shares and form a stock trading network. Trades at different positions of the stock trading network may contain different information. We construct stock trading networks based on the limit order book data and classify traders into k classes using the k-shell decomposition method. We investigate the influences of trading behaviors on the price impact by ...
متن کاملHigh Frequency Trading: Price Dynamics Models and Market Making Strategies
High Frequency Trading (HFT) has recently drawn public and regulatory attention after the “flash crash” in U.S. stock market on May 6, 2010. Data processing and statistical modeling techniques in finance has been revolutionized by the availability of high frequency data on transactions, quotes and order flow in electronic order-driven markets, which has and brought up new theoretical and comput...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Review of Financial Analysis
سال: 2017
ISSN: 1057-5219
DOI: 10.1016/j.irfa.2016.07.005