Best paper award for Lucas Saru and Albert J. Menkveld

The paper "Who knows? Information Differences between Trader Types" is co-authored with research fellow Albert J. Menkveld (Vrije Universiteit Amsterdam). The paper previously received the best paper award in Investments and Asset Pricing at the FMA’s 2023 European Conference in Aalborg. Lucas’ research interests are in market microstructure, financial econometrics, and asset pricing. He graduated from Tinbergen Institute’s research master in 2020.

Abstract

We study informativeness of agent and principal trades. Order informativeness depends on the horizon and frequency we analyze. In line with the literature on high-frequency trading, principals are more informed than agents 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, price discovery is dominated by agents, while the share of principals goes to zero. This is reflected in the gross trading revenues of agents and principals at different frequencies.