Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/177660 
Year of Publication: 
2017
Series/Report no.: 
Tinbergen Institute Discussion Paper No. 17-092/IV
Publisher: 
Tinbergen Institute, Amsterdam and Rotterdam
Abstract: 
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.
Subjects: 
High-frequency traders
institutional investors
trading patterns
transaction cost
JEL: 
G10
G14
G15
Document Type: 
Working Paper

Files in This Item:
File
Size
2.32 MB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.