Informed traders' trading size and intensity patterns

David Walsh

    Research output: ThesisDoctoral Thesis

    25 Downloads (Pure)

    Abstract

    This thesis examines the information content of order flow,
    concentrating on the order size and intensity choices of informed
    traders and the reaction of asset returns and return volatility to
    that behaviour. Previous work has concentrated on the
    information contained in order flow, but rarely have the
    dimensions of order size and intensity of order arrival been
    studied, or the measurement issues surrounding them.
    Theoretical developments here involve (a) a partial equilibrium
    characterisation of the dynamic trading pattern of an informed
    trader, w h o maximises profit and information asymmetry jointly,
    and (b) a general equilibrium Kyle-type model which allows for
    uncertain information release time. Both suggest that informed
    traders choose trading size and intensity that change with time,
    but not in identical ways. Also, they are affected by the market
    structure, the presence of trading costs, competition between
    traders and level of noise and liquidity trading.
    Empirical results suggest that trade size is an important
    determinant of returns, and that trading intensity (number of
    trades per unit time) is important in determining volatility. The
    rate of incorporation of new information is found to be finitely
    small and decreasing as trading volume increases.
    Original languageEnglish
    QualificationDoctor of Philosophy
    Awarding Institution
    • The University of Western Australia
    DOIs
    Publication statusUnpublished - 1996

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    This thesis has been made available in the UWA Profiles and Research Repository as part of a UWA Library project to digitise and make available theses completed before 2003. If you are the author of this thesis and would like it removed from the UWA Profiles and Research Repository, please contact digitaltheses-lib@uwa.edu.au

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