Large Large-Trader Activity Weakens the Long Memory of Limit Order Markets

9 Pages Posted: 27 Mar 2018

See all articles by Kevin Primicerio

Kevin Primicerio


Damien Challet

CentraleSupélec; Encelade Capital SA

Date Written: March 22, 2018


Using more than 6.7 billions of trades, we explore how the tick-by-tick dynamics of limit order books depends on the aggregate actions of large investment funds on a much larger (quarterly) timescale. In particular, we find that the well-established long memory of market order signs is markedly weaker when large investment funds trade either in a directional way and even weaker when their aggregate participation ratio is large. Conversely, we investigate to what respect a weaker memory of market order signs predicts that an asset is being actively traded by large funds. Theoretical arguments suggest two simple mechanisms that contribute to the observed effect: a larger number of active meta-orders and a modification of the distribution of size of meta-orders. Empirical evidence suggests that the number of active meta-orders is the most important contributor to the loss of market order sign memory.

Keywords: statistical finance, market microstructure

Suggested Citation

Primicerio, Kevin and Challet, Damien, Large Large-Trader Activity Weakens the Long Memory of Limit Order Markets (March 22, 2018). Available at SSRN: or

Kevin Primicerio (Contact Author)

CentraleSupélec ( email )

Labo M.A.S
Grande Voie des Vignes
Châtenay-Malabry CEDEX, 92295

Damien Challet

CentraleSupélec ( email )

3, rue Joliot-Curie
Gif-sur-Yvette, 91192

Encelade Capital SA ( email )

Chemin du Bochet 8
Sulpice, 1025

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