Earticle

초록

영어

This paper performs an in-depth analysis of identified high frequency traders in the KOPSI200 futures market. Although high frequency traders’ order submission distribution across order aggressiveness is quite similar to other algorithmic traders and ordinary traders, 94 percent of non-marketable limit orders by high frequency traders are revised or cancelled and 74 percent of participation in trades is through marketable orders. This paper documents that this highly impatient behavior is attributed to trading strategies that are based on extremely short-lived private information about future price movements, not passive market-making. Limit order revisions exhibit a tag-along effect; when the market moves away from (approaches) the original limit price, the revision price is set more (less) aggressively. Active use of fleeting orders by high frequency traders reduces the information content of the limit order book.

목차

Abstract
 1. Introduction
 2. Literature on High Frequency Trading
 3. Data and Descriptive Statistics
  A. Institutional Background
  B. Data Description and Identification of High Frequency Traders
  C. Descriptive Statistics
 4. Market Activity of High Frequency Traders
  A. Order Submissions by Aggressiveness
  B. Order Revisions and Cancellations
  C. Participation in Trades
  D. Changes in Net Positions
 5. Information Content of High Frequency Traders’ Market Activity
  A. Information Content of Trades
  B. Fleeting Order and Information Content of the Limit Order Book
 6. Conclusions
 References
 Table
 Figure

키워드

저자

• Jangkoo Kang [ Graduate School of Finance and Accounting, College of Business, KAIST, 85 Heogiro, Dongdaemun-gu, Seoul, 130-722, Republic of Korea ]
• Jeongwoo Shin [ Graduate School of Finance and Accounting, College of Business, KAIST, 85 Heogiro, Dongdaemun-gu, Seoul, 130-722, Republic of Korea ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330