科研成果详情

ABSTRACT: We examine differences among US equity market participants according to how quickly, on average, they execute their orders. When traders who execute faster buy (sell), market prices tend to rise (decline). Those who trade more quickly take liquidity more, use smaller trade sizes, transact more frequently, and spread their trading across more venues. Although faster traders are net liquidity demanders, they pay a lower cost to trade. Our results indicate that systematic differences exist across market participants according to how fast they transact, and those with a shorter time to execution exhibit traits that are consistent with information-based trading.