Anticipatory Traders and Trading Speed

Fishe, Raymond P. H.; Haynes, Richard W.; Onur, Esen

doi:10.2139/ssrn.2606949

Cited by 5 publications

(5 citation statements)

References 34 publications

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“…This result is consistent with the prediction of De Long et al (1990) that asset prices overreact to news because of both positive feedback traders and anticipatory trades of rational speculators. 5 We also observe that circuit breakers are triggered by abnormal trading activity, that is, activity compared with a 30-day benchmark, in particular, high trading volume and volatility along with increased spread just before the trading halt. If there is news associated with the firm on the SSCB day, the abnormal trading activity already starts 5 min before the trading halt.…”

Section: Introductionmentioning

confidence: 68%

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Intraday Rallies and Crashes: Spillovers of Trading Halts

Cui

Gozluklu

2016

Int. J Fin Econ

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This paper analyses a set of intraday rally and crash events at the firm level during the single‐stock circuit breaker program and documents the cross‐sectional spillover effects of such events on non‐halted stocks. We test whether such major price jumps, and subsequent trading halts, affect related stocks through the destabilizing eme price movements that trigger the circuit breakers at the firm level are accompanied by a massive surge in volume, spread and short‐term volatility, which gradually revert back to normal. Speculative strategies of arbitrageurs such as momentum and pairs trading cause cross‐sectional spillovers in volume and volatility during the trading halt. Copyright © 2016 John Wiley & Sons, Ltd.

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Section: Introductionmentioning

confidence: 68%

“…In a recent paper, Fishe et al . () show the existence of anticipatory traders in the market who detect the local price trends before the other traders.…”

mentioning

confidence: 95%

Intraday Rallies and Crashes: Spillovers of Trading Halts

Cui

Gozluklu

2016

Int. J Fin Econ

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“…Anticipatory trading means trading strategies which take positions in advance of, intending to profit from, subsequent expected movements in prices. 4 While anticipatory trading may be carried out by non-high-frequency traders (Fishe et al, 2019) the advantage of HFATs comes both from the predictive abilities of their algorithms and the speed with which they can react to new information such as new buyers or sellers entering the markets. 5 All actors in the market are concerned with what future prices will be and try to incorporate that information into their market activity.…”

Section: Spoofing Information Asymmetry and Marketsmentioning

confidence: 99%

Spoof, Bluff, Go For It: A Defence of Spoofing

Khorasanee

2022

J Bus Ethics

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Spoofing—placing orders on financial exchanges intending to withdraw them prior to execution—is widely legally prohibited. I argue instead on two main grounds that spoofing should be permitted and legalised. The first is that spoofing as a form of bluffing remains within the market practice of making legally binding offers—as opposed to lying or betraying trust—and primarily concerns the spoofer’s personal information. As a form of bluffing spoofing helps prevent financial speculators, in particular high-frequency algorithmic traders, from easily profiting by other market actors reliably revealing their underlying preferences through their market activity. The second is that at the systemic level permitting spoofing would benefit non-speculative actors who place orders to hedge economic risk and whose activities provide the raison d’être for financial exchanges, differentiating them from simple forums for gambling. I also address potential concerns that legalised spoofing would drive speculators out of financial markets entirely and, therefore, undermine market liquidity. This work contributes to the wider debate in business ethics regarding bluffing by illustrating the acceptability of bluffs which do not betray counterparty trust or reliance on testimony by remaining within the framework of market practices.

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“…For example, Lou et al (2019) relate firm-level intraday momentum and overnight reversal to investor heterogeneity. Xu (2017) uses intraday predictability for long-term portfolio construction while Fishe et al (2019) study the relationship between anticipatory traders and high-frequency momentum trading. While these studies mainly focus on the cross-sectional predictability of US stocks or commodity future market returns, our work adds to the literature on the time-series of international stock return intraday predictability.…”

Section: Introductionmentioning

confidence: 99%