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Ion Lucas Saru on Who Knows? Information Differences Between Trader Types

Ion Lucas Saru
February 21, 2024
12:15 pm - 1:15 pm
Student Research Workshop

More from this series
Room 108

We study the informativeness of client and intermediary trades. Order informativeness depends on the horizon and frequency we analyze. Aligned with the literature on high-frequency trading, intermediaries are more informed than clients at the highest frequency, as measured by the contribution of the respective order flow series to the variance of efficient price innovations. Once we move to lower frequencies, the client share increases and the intermediary share stays constant. This is reflected in the gross trading revenues of clients and intermediaries at different frequencies.