High‐Frequency Trading around Large Institutional Orders
研究了高频交易者如何应对大额机构订单，发现他们最初逆势交易，但最终会与信息最充分的机构订单同向交易，这反映了机构投资者在信息交易中的策略权衡。
ABSTRACT Liquidity suppliers lean against the wind. We analyze whether high‐frequency traders (HFTs) lean against large institutional orders that execute through a series of child orders. The alternative is HFTs trading with the wind, that is, in the same direction. We find that HFTs initially lean against these orders but eventually change direction and take positions in the same direction for the most informed institutional orders. Our empirical findings are consistent with investors trading strategically on their information. When deciding trade intensity, they seem to trade off higher speculative profits against higher risk of being detected and preyed on by HFTs.