Informed traders and liquidity
7 Dec 2017 ABSTRACTThe probability of informed trading (PIN), a measure of individual stock price delay even controlling for size, liquidity and risk, and 10 May 2015 the effects of HFTs on measures of market quality, such as liquidity and price volatility? 1“Math-loving traders are using powerful computers to 8 Jul 2010 Sellers of block trades in the Saudi market pay higher liquidity premiums informed traders prefer to use medium size orders but more frequent 16 Feb 2013 Curbing informed trading raises liquidity, but makes prices less informative. Benefits of informative prices may greatly outweigh uninformed
Informed and Strategic Order Flow in the Bond Markets
Liquidity, Overpricing, and the Tactics of Informed Traders Working Paper (PDF Available) in Journal of Economics and Finance · April 2016 with 37 Reads How we measure 'reads' Informed traders and limit order markets - ScienceDirect Speculators, the traders with no intrinsic motive for trade, tend to supply liquidity to the market. Because such traders are more likely to be informed, limit orders are more likely to be submitted by informed traders. That is, informed traders in our market tend to submit limit orders. However, this observation is different from the finding Imperfect Competition and Market Liquidity with a Supply ... obtains that market liquidity can be decreased by increasing the number of informed traders in the case traders are risk averse. In our model we obtain that the presence of the supply informed agent and therefore, of a di fferent type of information in the market, leads to a decrease in market liquidity. Still, if we are increasing the number CiteSeerX — Identifying Informed and Liquidity Traders in ...
Informed and Strategic Order Flow in the Bond Markets
This includes a detailed market description of the German equity market, a new methodological approach for the identification of informed traders and finally the analysis of the individual liquidity providing and demanding behavior of the identified informed traders.
the evolution of market liquidity, market depth, and order flow. We estimate a bivariate generalized autoregressive intensity process for the arrival rates of informed and uninformed trades for 16 actively traded stocks over 15 years of transaction data. Our results show that both informed and uninformed
Information, Liquidity, and Dynamic Limit Order Markets demands liquidity is not well understood theoretically.1 Recent empirical research highlights the role of informed traders not only as liquidity takers but also as liquidity suppliers. O’Hara (2015) argues that fast informed traders use market and limit orders interchangeably and … Informed trading and liquidity in the Shanghai Stock Exchange Informed Trading and Liquidity in Shanghai Stock Exchange Abstract Dufour and Engle (J. Finance (2000) 2467) find evidence of increased presence of informed traders when the NYSE markets are most active. No such evidence, however, can be found by Manganelli (J. Financial Markets (2005) 377) for the infrequently traded stocks. How Does Information Affect Liquidity in Over-the-Counter ...
Many market microstructure models focus on when informed traders take liquidity from uninformed traders or market makers. Toxicity, within this framework, refers
Jan 31, 2011 · Easley and O’Hara [1992] set out the mechanism by which informed traders extract wealth from liquidity providers. For example, if a liquidity provider trades against a buy order he loses the difference between the ask price and the expected value of the contract if the buy is from an informed trader; however, he gains the difference between Liquidity, Overpricing, and the Tactics of Informed Traders Liquidity, Overpricing, and the Tactics of Informed Traders Working Paper (PDF Available) in Journal of Economics and Finance · April 2016 with 37 Reads How we measure 'reads' Informed traders and limit order markets - ScienceDirect Speculators, the traders with no intrinsic motive for trade, tend to supply liquidity to the market. Because such traders are more likely to be informed, limit orders are more likely to be submitted by informed traders. That is, informed traders in our market tend to submit limit orders. However, this observation is different from the finding Imperfect Competition and Market Liquidity with a Supply ...
Liquidity, Information, and Infrequently Traded Stocks Liquidity, Information, and Infrequently Traded Stocks 1407 but also how the components of informed trading differ. For example, we can determine both how frequently new information (or information events) oc-curs, and how large a fraction of the order flow is from informed traders when it does.