How aggressive are high-frequency traders?
2014 (English)In: The Financial Review, ISSN 0732-8516, E-ISSN 1540-6288, Vol. 49, no 2, 395-419 p.Article in journal (Refereed) Published
We study order aggressiveness of market-making high-frequency traders (MM-HFTs), opportunistic HFTs (Opp-HFTs), and non-HFTs. We find that MM-HFTs follow their own group's previous order submissions more than they follow other traders’ orders. Opp-HFTs and non-HFTs tend to split market orders into small portions submitted in sequence. HFTs submit more (less) aggressive orders when the same-side (opposite-side) depth is large, and supply liquidity when the bid–ask spread is wide. Thus, HFTs adhere strongly to the tradeoff between waiting cost and the cost of immediate execution. Non-HFTs care less about this tradeoff, but react somewhat stronger than HFTs to volatility.
Place, publisher, year, edition, pages
2014. Vol. 49, no 2, 395-419 p.
high-frequency trading, aggressiveness, order submission, liquidity, volatility
Research subject Business Administration
IdentifiersURN: urn:nbn:se:su:diva-102540DOI: 10.1111/fire.12041OAI: oai:DiVA.org:su-102540DiVA: diva2:710838