The information content of high-frequency traders aggressive orders: recent evidence

DOI10.1080/14697688.2020.1748700zbMATH Open1471.91551OpenAlexW2972439031MaRDI QIDQ4957239FDOQ4957239

Authors: Pamela Saliba 

Publication date: 3 September 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1748700

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zbMATH Keywords

high-frequency tradingprice impactasymmetric informationmarket microstructuremean reversionprice formationtrend followingaggressive ordersprice profile

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

• Why is equity order flow so persistent?
• Mean field game of controls and an application to trade crowding

Cited In (2)

• Title not available (Why is that?)
• Order aggressiveness, pre-trade transparency, and long memory in an order-driven market

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