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- W4308342209 abstract "Using transactions-based calendar time (TBCT) portfolio analysis, we investigate informativeness of trades of investor categories, namely institutions, proprietary traders, and retail clients. We find that trade informativeness is positive for institutional and negative for retail-client investors. The informativeness of liquidity-demanding trades are less than the informativeness of liquidity-supplying trades for all trading groups, over both long and short horizons. We also find that institutions are benefitted by algorithmic executions compared to manual executions and this benefit is elevated on days of high volume and volatility. Proprietary algorithmic traders (high-frequency traders) generate positive alpha for their trades only from their liquidity-supplying trades." @default.
- W4308342209 created "2022-11-11" @default.
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- W4308342209 date "2022-11-04" @default.
- W4308342209 modified "2023-10-10" @default.
- W4308342209 title "Trade Informativeness in Modern Markets" @default.
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- W4308342209 doi "https://doi.org/10.1080/0015198x.2022.2126590" @default.
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