Detecting Liquidity Traders
基于需求与供给曲线的相对斜率，构建了一个衡量流动性交易者在市场中不对称分布的指标，并利用特拉维夫证券交易所开盘数据验证了该指标对未来收益的预测能力。
Abstract We develop a measure (based on the relative slopes of the demand and supply schedules) quantifying the asymmetric presence of liquidity traders in the market: a steeper slope of the demand (supply) schedule indicates a concentration of liquidity traders on the demand (supply) side. Using the opening session of the Tel Aviv Stock Exchange, we demonstrate the predictive power of our measure. Consistent with theory, we find that the concentration of liquidity traders on the demand (supply) side is negatively (positively) correlated with future returns. We find that liquidity traders are likely to arrive at the market together (commonality).