Trading Large Orders in the Presence of Multiple High-Frequency Anticipatory Traders
Trading and Market Microstructure
2024-03-14 v1
Abstract
We investigate a market with a normal-speed informed trader (IT) who may employ mixed strategy and multiple anticipatory high-frequency traders (HFTs) who are under different inventory pressures, in a three-period Kyle's model. The pure- and mixed-strategy equilibria are considered and the results provide recommendations for IT's randomization strategy with different numbers of HFTs. Some surprising results about investors' profits arise: the improvement of anticipatory traders' speed or a more precise prediction may harm themselves but help IT.
Keywords
Cite
@article{arxiv.2403.08202,
title = {Trading Large Orders in the Presence of Multiple High-Frequency Anticipatory Traders},
author = {Ziyi Xu and Xue Cheng},
journal= {arXiv preprint arXiv:2403.08202},
year = {2024}
}