We study how short-term informational advantages can be monetized in a high-frequency setting, when large inventories are explicitly penalized. We find that if most of the additional information is revealed regardless of the high-frequency traders' actions, then fast inventory management allows...

We develop a two period model of trade where a common value asset is traded against a numeraire in two parallel markets. An insider who knows the final value of the asset exploits his private information in both markets. Some traders, called high frequency (HF) traders, observe the total orders...

We examine whether brokers in order-driven markets possess an information advantage over their customers. We compare the price impact of proprietary trades to customer trades in Borsa Istanbul. We find an asymmetric effect: While proprietary buy trades lead to a significant price response...