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Are high-frequency traders informed?

delete2020-12-01
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P
Patrice Fontaine *
C
Christos Varsakelis
DOI：10.1016/j.econmod.2020.08.013delete
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摘要

摘要

En 中文
Are high-frequency traders (HFTs) informed? To address this question, we examine HFTs' activity in the call auction environment, where speed-related trading is limited and signal processing capacity becomes more relevant. To model the call market, we consider the Kyle (1989) rational expectations framework for strategic trading. The test we propose for detecting informed HFTs in this market assesses potential deviations of the informativeness of HFTs' aggregate (net) demand, from the informativeness of the aggregate demand submitted by the rest of the traders. Data from the Euronext Paris preopening phase indicate that informed HFTs are present in the market just before the opening. Our results provide useful guidance for the assessment of the influence of HFTs' quotes on price quality, an important issue for market regulators and policy makers.
Keyword:
High-frequency trading
Call auction
Rational expectations
Price efficiency
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期刊

Economic Modelling 封面图
Economic Modelling
IF:
4.7
论文数:
6.5K
被引数:
1.6W

机构

C
centre national de la recherche scientifique (cnrs)
学者数:
24.5W
论文数: 18.2W
被引数: 279
U
universite catholique louvain
学者数:
2.0W
论文数: 1.7W
被引数: 21
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