A Simple Non-Parametric Test for a Unit Root

Research output: Working paper

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DatePublished - 1991
Original languageEnglish

Abstract

This paper contributes empirically to our understanding of informed traders. It analyzes traders' characteristics in a foreign exchange electronic limit order market via anonymous trader identities. We use six indicators of informed trading in a cross-sectional multivariate approach to identify traders with high price impact. More information is conveyed by those traders' trades which--simultaneously--use medium-sized orders (practice stealth trading), have large trading volume, are located in a financial center, trade early in the trading session, at times of wide spreads and when the order book is thin.

    Research areas

  • Market microstructure Informed trading Trade size Foreign exchange

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