Details

Autor(en) / Beteiligte

• Saliba, Pamela

Titel

The information content of high-frequency traders aggressive orders: recent evidence

Ist Teil von

• Quantitative finance, 2020-11, Vol.20 (11), p.1779-1794

Ort / Verlag

Bristol: Routledge

Erscheinungsjahr

2020

Quelle

EBSCOhost Business Source Ultimate

Beschreibungen/Notizen

• This empirical study uses a unique recent data set provided by the French regulator 'Autorité des Marchés Financiers' and gives some evidence concerning the impact of aggressive orders on the price formation process and the information content of these orders according to the different order flow categories (high-frequency traders, agency participants and proprietary participants). We find that both the instantaneous and the transient price impact of aggressive orders consuming exactly the quantity present at the best limit is higher than that of the ones consuming less than the quantity present at the best limit. Furthermore, the price impact is an increasing function with respect to the consumed share in percentage. We show that these price impact disparities are sustainable over time: both price impacts are permanent. In contrast to previous literature, we find that aggressive orders of HFTs carry more information about the short-term behaviour of the price than the ones of agency and proprietary members. This new finding may be an indicator of the evolution of high frequency traders activity over the years.