• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Facilities
    • Admissions
    • Recent PhD Placements
  • Research
  • News
  • Events
    • Summer School
      • Behavioral Macro and Complexity
      • Econometrics and Data Science Methods for Business and Economics and Finance
      • Experimenting with Communication – A Hands-on Summer School
      • Inequalities in Health and Healthcare
      • Introduction in Genome-Wide Data Analysis
      • Research on Productivity, Trade, and Growth
      • Summer School Business Data Science Program
    • Events Calendar
    • Tinbergen Institute Lectures
    • Annual Tinbergen Institute Conference
    • Events Archive
  • Summer School
  • Alumni
  • Times

Van Kervel, V. and Menkveld, AlbertJ. (2019). High-Frequency Trading around Large Institutional Orders The Journal of Finance, 74(3):1091--1137.


  • Journal
    The Journal of Finance

Liquidity suppliers lean against the wind. We analyze whether high-frequency traders (HFTs) lean against large institutional orders that execute through a series of child orders. The alternative is HFTs trading with the wind, that is, in the same direction. We find that HFTs initially lean against these orders but eventually change direction and take positions in the same direction for the most informed institutional orders. Our empirical findings are consistent with investors trading strategically on their information. When deciding trade intensity, they seem to trade off higher speculative profits against higher risk of being detected and preyed on by HFTs.