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Anticipatory Traders and Trading Speed

Author

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  • Fishe, Raymond P. H.
  • Haynes, Richard
  • Onur, Esen

Abstract

We examine whether speed is an important characteristic of traders who anticipate local price trends. These anticipatory participants correctly trade prior to the overall market and systematically act before other participants. They use manual and algorithmic order entry methods, but most are not fast enough to be high frequency traders (HFTs). Those anticipating price trends have impacts as if they are informed traders, while the case for anticipatory participants affecting the volume of other traders is rejected. A follow-up sample shows significant attrition in accounts and difficulty maintaining the anticipatory strategies. To identify anticipatory traders, we devise novel methods to isolate local price trends using order book data from the West Texas Intermediate (WTI) crude oil futures market.

Suggested Citation

  • Fishe, Raymond P. H. & Haynes, Richard & Onur, Esen, 2019. "Anticipatory Traders and Trading Speed," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(2), pages 729-758, April.
    • Handle: RePEc:cup:jfinqa:v:54:y:2019:i:02:p:729-758_00
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    Cited by:

    1. Kasim Khorasanee, 2024. "Spoof, Bluff, Go For It: A Defence of Spoofing," Journal of Business Ethics, Springer, vol. 189(1), pages 201-215, January.
    2. Li, Zeming & Sakkas, Athanasios & Urquhart, Andrew, 2022. "Intraday time series momentum: Global evidence and links to market characteristics," Journal of Financial Markets, Elsevier, vol. 57(C).
    3. Onur, Esen & Roberts, John S. & Tuzun, Tugkan, 2023. "Trader positions and aggregate portfolio demand," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).

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