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Spectral Volume Models : High-Frequency Periodicities in Intraday Trading Activities

Wu, Lintong; Zhang, Ruixun; Dai, Yuehao - 2022

We develop spectral volume models to systematically estimate, explain, and exploit the high-frequency periodicity in intraday trading activities using Fourier analysis. The framework consistently recovers periodicities at specific frequencies in three steps, despite their low signal-to-noise...

Persistent link: https://www.econbiz.de/10014239413

Large Trade Price Impact on Contrarian Trades as a Proxy of Informed Trades

Wu, Yingying - 2018

more consistent with a few hypotheses in the literature regarding the concentration of informed (as well as liquidity …

Persistent link: https://www.econbiz.de/10012921360

News and Intraday Retail Investor Order Flow in Foreign Exchange Markets

Kaourma, Filia; Milidonis, Andreas; Nishiotis, George; … - 2021

This paper examines the trading behavior of individual investors using a proprietary intraday dataset of a large pool of retail investor aggregate (minute by minute) long and short positions in EUR/USD for the period July 2014 to April 2016. Standard event study analysis shows no significant...

Persistent link: https://www.econbiz.de/10013243514

Order imbalance and commonality : evidence from the options market

Omole, John; Sensoy, Ahmet; Gulay, Guzhan - In: Borsa Istanbul Review 22 (2022) 1, pp. 1-11

Using a market model and principal component analysis, we investigate the existence of common effects in order imbalance in the Borsa Istanbul's option market. Accordingly, we find the presence of commonality in order imbalance for call options and an even more dominant presence in put options....

Persistent link: https://www.econbiz.de/10012817765

Informed Trading Intensity

Bogousslavsky, Vincent; Fos, Vyacheslav; Muravyev, Dmitriy - 2022

We train a machine learning method on a class of informed trades to develop a new measure of informed trading, the Informed Trading Intensity (``ITI''). ITI increases before earnings, M&A, and news announcements, and has implications for return reversal and asset pricing. ITI is effective...

Persistent link: https://www.econbiz.de/10014258813

Do Investors Save When Market Makers Pay? Retail Execution Costs Under Payment for Order Flow Models

Adams, Samuel; Kasten, Connor; Kelley, Eric K. - 2021

We directly compare retail investor execution costs with exchange execution costs. We find off-exchange retail trades execute at lower effective spreads than comparable exchange trades, primarily due to the uninformed nature of retail trades. These results hold when payment for order flow (PFOF)...

Persistent link: https://www.econbiz.de/10013312432

Speed of Trade and Liquidity

Uno, Jun - 2012

We investigate whether increasing the speed of order execution affects investor trading strategy and market liquidity …

Persistent link: https://www.econbiz.de/10013114282

Cross-Asset Market Order Flow, Liquidity, and Price Discovery

Garrison, Robert - 2019

, demand, and withdrawal of liquidity between the two markets. The paper also finds that cross-asset market order flow is a key … component of liquidity and price discovery, particularly during periods of market volatility …

Persistent link: https://www.econbiz.de/10012860759

Distilling Liquidity Costs from Limit Order Books

Amaya, Diego - 2018

the study of intraday liquidity …

Persistent link: https://www.econbiz.de/10012936947

Daily Herding and Commonality in Liquidity on a Pure Limit Order Book Market

Edgar, Matthew - 2011

important aspect of the market microstructure – liquidity. Potentially, herding could simultaneously affect the liquidity of … 'commonality in liquidity' – a term which expresses the idea that the liquidity of individual stocks may have common determinants …. We find strong evidence of commonality in liquidity in what is the first study of this phenomenon since the ASX adopted …

Persistent link: https://www.econbiz.de/10013121143

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