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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.
Disclosure statement
No potential conflict of interest was reported by the authors.
Additional information
Funding
Tao Huang was supported by the National Natural Science Foundation of China [grant number 71562016]; China Postdoctoral Science Foundation; the Department of Education of Jiangxi Province (Science and Technology General Project). Fei Wu was supported by the National Natural Science Foundation of China [grant numbers 71572108 and 71072083]; the Jiangxi University of Finance and Economics Innovative Research Team Development Grant.