Order anticipation around predictable trades
研究大额订单交易中的可预测模式，发现基于子订单执行信号的策略与更高执行成本相关，并利用SEC禁令等冲击验证了订单预期行为对价格影响的作用。
Abstract I study the presence of order anticipation strategies by examining predictable patterns in large order trades. I construct three simple signals based on child‐order execution patterns and find empirical evidence that stronger signals are correlated with higher execution costs. I use the SEC's (Securities and Exchange Commission's) ban on unfiltered access and increase in noise trading as shocks to order anticipatory activities of algorithmic traders and find that the price impact of predictability is smaller when order anticipation becomes difficult. The empirical findings are mostly consistent with the back‐running theory that predicts delayed price impact as strategic traders learn about large orders gradually.