Wait or Trade?

61 Pages Posted: 7 Nov 2015 Last revised: 5 Oct 2021

See all articles by Darya Yuferova

Darya Yuferova

Norwegian School of Economics (NHH) - Department of Finance

Date Written: April 12, 2021

Abstract

I study the effect of high-frequency traders' (HFTs') activity on the strategic choice of informed traders for market versus limit orders. I find that an exogenous increase in HFTs' activity around the introduction of the NYSE Hybrid Market leads to a significant increase of both impatient and patient informed trading, with the latter effect being the dominant one. I find this effect to be more profound for large stocks, while for small stocks increase in patient and impatient informed trading due to an exogenous increase in HFTs' activity offset each other.

Keywords: Price Discovery, Limit Order Book, Liquidity Provision, High-Frequency Trading.

JEL Classification: G12, G14

Suggested Citation

Yuferova, Darya, Wait or Trade? (April 12, 2021). Available at SSRN: https://ssrn.com/abstract=2686082 or http://dx.doi.org/10.2139/ssrn.2686082

Darya Yuferova (Contact Author)

Norwegian School of Economics (NHH) - Department of Finance ( email )

Helleveien 30
N-5045 Bergen
Norway

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