Re-Appraising Intraday Trading Patterns: What You Didn't Know You Didn't Know
Re-Appraising Intraday Trading Patterns: What You Didn't Know You Didn't Know
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重新评估日内交易模式：你不知道的事情
DOI：
10.2139/ssrn.3202021
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发表时间：
2019
期刊：
影响因子：
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通讯作者：
D. Bernhardt
中科院分区：
文献类型：
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作者：
Yashar H. Barardehi;D. Bernhardt
我们记录了新的日内交易模式，表明投资者对竞争激烈的流动性供应变化的内生交易反应的关键作用。当以固定美元价值的交易时间来衡量时，价格影响和波动性从开盘到收盘以及随着交易活动的增加而急剧下降。我们还记录了不活跃市场中交易时间回报的逆转，以及活跃市场中定价的、高度可预测的订单流不平衡。标准的日历时间汇总方法通过将过度平衡的签约交易观察结果与活跃市场中的大幅价格变动相匹配来隐藏这些原始的交易模式。一旦控制了过度聚集，交易时间模式就与交易时间模式一致。
We document new intraday trading patterns indicative of the key roles of endogenous trading responses of investors to variations in imperfectly-competitive liquidity provision. When measured in trade times of fixed dollar values, price impacts and volatility fall sharply from open to close, and as trading activity rises. We also document reversions in trade-time returns in inactive markets, and priced, heavily-forecastable, order flow imbalances in active markets. Standard calendar-time aggregation approaches conceal these primitive trading patterns by matching up overly-balanced signed-trade observations with large price movements in active markets. Once one controls for over-aggregation, calendar-time patterns align with trade-time patterns.