arXiv Open Access 2023

The Effects of High-frequency Anticipatory Trading: Small Informed Trader vs. Round-Tripper

Ziyi Xu Xue Cheng

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Abstrak

In an extended Kyle's model, the interactions between a large informed trader and a high-frequency trader (HFT) who can anticipate the former's incoming order are studied. We find that, in equilibrium, HFT may play the role of Small-IT or Round-Tripper: both of them trade in the same direction as IT in advance, but when IT's order arrives, Small-IT continues to take liquidity away, while Round-Tripper supplies liquidity back. So Small-IT always harms IT, while Round-Tripper may benefit her. What's more, with an anticipatory HFT, normal-speed small uninformed traders suffer less and price discovery is accelerated.

Topik & Kata Kunci

q-fin.TR econ.GN q-fin.MF

Penulis (2)

Ziyi Xu

Xue Cheng

Format Sitasi

APA MLA BibTeX

Xu, Z., Cheng, X. (2023). The Effects of High-frequency Anticipatory Trading: Small Informed Trader vs. Round-Tripper. https://arxiv.org/abs/2304.13985

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Informasi Jurnal

Tahun Terbit: 2023
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓