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...

Using a sample of Chinese mutual funds over the 2007–2021 period, we explore whether prospect theory (PT) can accurately portray the risk preferences and behavior of Chinese fund investors. We find a significant positive relationship between the fund-level PT value and future flows. After...

We identify long-lived pricing errors through a model in which inattentive investors arrive stochastically to trade. The model’s parameters are structurally estimated using daily NYSE market-maker inventories, retail order flows, and prices. The estimated model fits empirical variances,...