Large Trade Anticipation

56 Pages Posted: 25 Apr 2016 Last revised: 13 Apr 2019

See all articles by Kyoung-hun Bae

Kyoung-hun Bae

Ulsan National Institute of Science and Technology

Peter Dixon

U.S. Securities and Exchange Commission

Eun Jung Lee

Hanyang University

Date Written: April 12, 2019

Abstract

We study whether a subset of high-frequency traders, which we refer to as opportunistic high-frequency traders, systematically anticipate and trade around individual large trades to profit from their price impact. The trading patterns we document using account level transaction data from the Korean Stock Exchange are consistent with opportunistic high-frequency traders anticipating individual large trades and trading opportunistically around them. Our findings are difficult to reconcile with alternative hypotheses that opportunistic high-frequency traders and large traders are trading on a common price signal, or that the observed trading behavior is the byproduct of market making strategies.

Keywords: High Frequency Trading, Large Trade Execution, Order Anticipation, Information Leakage

JEL Classification: G12, G14

Suggested Citation

Bae, Kyoung-hun and Dixon, Peter and Lee, Eun Jung, Large Trade Anticipation (April 12, 2019). Available at SSRN: https://ssrn.com/abstract=2767240 or http://dx.doi.org/10.2139/ssrn.2767240

Kyoung-hun Bae

Ulsan National Institute of Science and Technology ( email )

gil 50
Ulsan, 689-798
Korea, Republic of (South Korea)

Peter Dixon (Contact Author)

U.S. Securities and Exchange Commission ( email )

450 Fifth Street, NW
Washington, DC 20549-1105
United States

Eun Jung Lee

Hanyang University ( email )

505 KyoungSang Kwan, 55 Hanyangdaehak-ro,
Sangrok, Ansan, Kyeonggi-do
15588
82-31-400-5645 (Phone)

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