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Aldrich and Friedman (2017) obtain proprietary data from the IEX exchange for the month of December, 2016. IEX classifies each participant as either an "agency" or "proprietary" trader, the former being the class of traders with a fundamental interest to buy or sell assets (i.e. to maintain an inventory for portfolio reasons). Aldrich and Friedman (2017) report that IEX agency transactions comprised 10,498,518 shares of the S&P 500 exchange traded fund (ticker SPY) during the 21 trading days or 21 × 6.5 × 60 = 8190 trading minutes during December, 2016. Since the median trade size is the minimum block of 100 shares, this amounts to 10, 498, 518/100 ≈ 105, 000 total trades during the month, or 105, 000/8190 = 12.82 investor arrivals per minute, or roughly 1 investor arrival every 4.68 seconds. Although IEX represents only a small fraction of equities market share, we believe that most fundamental traders (investors) will utilize IEX in conjunction with other equities exchanges, and hence that their arrival rates would be suggestive of aggregate investor arrival intensities. The result is that in raw time (we discuss time rescaling below), the Poisson intensity parameter for investor arrivals isλ I = 1/4.68.

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