Stealth trading in modern high-frequency markets

García, Alejandro; Kelly, Thomas; Seguí, Joan

Stealth trading in modern high-frequency markets

License

Citation

García, A, Kelly, T, Seguí, J. Stealth trading in modern high-frequency markets. 2020. handle: http://hdl.handle.net/10230/46371

This citation was generated automatically.

Abstract

Previous research has identified stealth trading by informed participants as a primary driver of price discovery in equity markets. Using two distinct empirical approaches, this paper extends the stealth trading literature by analyzing price contribution from trades of several different characteristics with a particular focus on the role of high-frequency traders (HFTs). Our results support conclusions from prior work arguing that small trades play an outsized role in price discovery at the daily level, and also suggest that HFTs correctly anticipate price movements and engage in stealth trading over the session and at higher frequencies, thus driving price formation.