日内自营交易员和短期错误定价

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2026-03-01 Epub Date: 2025-11-05 DOI:10.1016/j.finmar.2025.101028

V. Ravi Anshuman , Prachi Deuskar , Krishnamurthy V. Subramanian , Ramabhadran S. Thirumalai

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引用次数: 0

摘要

谁的交易纠正了暂时的错误定价？我们的文件表明，日内自营交易者扮演着至关重要的角色。利用交易者层面的交易数据，我们研究了不同类型的交易者围绕媒体驱动的、对零售交易的彻底冲击的活动。日内自营交易者是反向的，有助于立即和持续的价格调整。他们的交易从知情交易中获得回报，而不是提供流动性。相反，长期自营交易员从事的反向交易少得多，他们从流动性供应（而非知情交易）中获得的回报很少。因此，旨在遏制短期主义的政策必须考虑到不同类型的交易者对价格发现的贡献。

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Intraday proprietary traders and short-term mispricing

Whose trading corrects temporary mispricing? We document that intraday proprietary traders play this crucial role. Using trader-level transaction data, we examine the activities of different types of traders around a media-driven, clean shock to retail trading. Intraday proprietary traders are contrarian and contribute to an immediate and sustained price correction. Their trades generate returns from informed trading rather than liquidity provision. Conversely, longer-term proprietary traders who engage in much less contrarian trading make small returns from liquidity provision, not informed trading. Thus, policies designed to curb short-termism must account for the contributions of different types of traders to price discovery.

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.