Large large-trader activity weakens the long memory of limit order markets

Abstract : Using more than 6.7 billions of trades, we explore how the tick-by-tick dynamics of limit order books depends on the aggregate actions of large investment funds on a much larger (quarterly) timescale. In particular, we find that the well-established long memory of market order signs is markedly weaker when large investment funds trade either in a directional way and even weaker when their aggregate participation ratio is large. Conversely, we investigate to what respect a weaker memory of market order signs predicts that an asset is being actively traded by large funds. Theoretical arguments suggest two simple mechanisms that contribute to the observed effect: a larger number of active meta-orders and a modification of the distribution of size of meta-orders. Empirical evidence suggests that the number of active meta-orders is the most important contributor to the loss of market order sign memory.
Type de document :
Pré-publication, Document de travail
8 pages, 7 figures. 2019
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Contributeur : Damien Challet <>
Soumis le : samedi 16 février 2019 - 18:41:49
Dernière modification le : lundi 18 février 2019 - 01:11:20

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  • HAL Id : hal-02021772, version 1
  • ARXIV : 1803.08390


Kevin Primicerio, Damien Challet. Large large-trader activity weakens the long memory of limit order markets. 8 pages, 7 figures. 2019. 〈hal-02021772〉



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