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Day Traders, Noise, and Cost of Immediacy

Dalvi, Manoj; Deuskar, Prachi; Glosten, Lawrence R.; … - National Bureau of Economic Research - 2023

We identify different roles traders play using data with trader identities for all transactions in SENSEX-index stocks on the Bombay Stock Exchange from January 2005 to December 2011. Individual day traders (IDT) are identified as "noise traders", who play an important role in the market...

Persistent link: https://www.econbiz.de/10014250145

Day Traders, Noise, and Cost of Immediacy

Dalvi, Manoj; Deuskar, Prachi; Glosten, Lawrence R.; … - 2023

Using data with trader identities for all transactions in SENSEX-index stocks on the Bombay Stock Exchange over seven years, we identify individual day traders (IDT) to be “noise traders”, who play an important role in market microstructure models in the literature.IDT contribute 10% to...

Persistent link: https://www.econbiz.de/10014355549