现代市场中的贸易信息化

IF 3.4 3区经济学 Q1 BUSINESS, FINANCE

Financial Analysts Journal Pub Date : 2022-11-04 DOI:10.1080/0015198X.2022.2126590

Samarpan Nawn, Gaurav Raizada

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引用次数: 0

摘要

摘要利用基于交易的日历时间(TBCT)投资组合分析，研究了机构投资者、自营交易者和零售客户三类投资者的交易信息。我们发现，交易信息对机构投资者有利，对散户投资者不利。在所有交易组中，无论是长期还是短期，流动性需求交易的信息性都低于流动性供应交易的信息性。我们还发现，与手动执行相比，机构从算法执行中受益，并且在高交易量和波动性的日子里，这种好处会得到提升。专有算法交易者(高频交易者)仅通过提供流动性的交易才能为其交易产生正alpha。

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Trade Informativeness in Modern Markets

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.

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来源期刊

Financial Analysts Journal BUSINESS, FINANCE-

CiteScore

5.40

自引率

7.10%

发文量

期刊介绍： The Financial Analysts Journal aims to be the leading practitioner journal in the investment management community by advancing the knowledge and understanding of the practice of investment management through the publication of rigorous, peer-reviewed, practitioner-relevant research from leading academics and practitioners.