{"title":"现代市场中的贸易信息化","authors":"Samarpan Nawn, Gaurav Raizada","doi":"10.1080/0015198X.2022.2126590","DOIUrl":null,"url":null,"abstract":"Abstract Using transactions-based calendar time (TBCT) portfolio analysis, we investigate informativeness of trades of investor categories, namely institutions, proprietary traders, and retail clients. We find that trade informativeness is positive for institutional and negative for retail-client investors. The informativeness of liquidity-demanding trades are less than the informativeness of liquidity-supplying trades for all trading groups, over both long and short horizons. We also find that institutions are benefitted by algorithmic executions compared to manual executions and this benefit is elevated on days of high volume and volatility. Proprietary algorithmic traders (high-frequency traders) generate positive alpha for their trades only from their liquidity-supplying trades.","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"79 1","pages":"77 - 98"},"PeriodicalIF":3.4000,"publicationDate":"2022-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Trade Informativeness in Modern Markets\",\"authors\":\"Samarpan Nawn, Gaurav Raizada\",\"doi\":\"10.1080/0015198X.2022.2126590\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Abstract Using transactions-based calendar time (TBCT) portfolio analysis, we investigate informativeness of trades of investor categories, namely institutions, proprietary traders, and retail clients. We find that trade informativeness is positive for institutional and negative for retail-client investors. The informativeness of liquidity-demanding trades are less than the informativeness of liquidity-supplying trades for all trading groups, over both long and short horizons. We also find that institutions are benefitted by algorithmic executions compared to manual executions and this benefit is elevated on days of high volume and volatility. Proprietary algorithmic traders (high-frequency traders) generate positive alpha for their trades only from their liquidity-supplying trades.\",\"PeriodicalId\":48062,\"journal\":{\"name\":\"Financial Analysts Journal\",\"volume\":\"79 1\",\"pages\":\"77 - 98\"},\"PeriodicalIF\":3.4000,\"publicationDate\":\"2022-11-04\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Financial Analysts Journal\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1080/0015198X.2022.2126590\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Financial Analysts Journal","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/0015198X.2022.2126590","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Abstract Using transactions-based calendar time (TBCT) portfolio analysis, we investigate informativeness of trades of investor categories, namely institutions, proprietary traders, and retail clients. We find that trade informativeness is positive for institutional and negative for retail-client investors. The informativeness of liquidity-demanding trades are less than the informativeness of liquidity-supplying trades for all trading groups, over both long and short horizons. We also find that institutions are benefitted by algorithmic executions compared to manual executions and this benefit is elevated on days of high volume and volatility. Proprietary algorithmic traders (high-frequency traders) generate positive alpha for their trades only from their liquidity-supplying trades.
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The Financial Analysts Journal aims to be the leading practitioner journal in the investment management community by advancing the knowledge and understanding of the practice of investment management through the publication of rigorous, peer-reviewed, practitioner-relevant research from leading academics and practitioners.
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