High-Frequency Trading around Large Institutional Orders

Vincent Van Kervel, Albert J. Menkveld

Research output: Contribution to JournalArticleAcademicpeer-review


Liquidity suppliers lean against the wind. We analyze whether high-frequency traders (HFTs) lean against large institutional orders that execute through a series of child orders. The alternative is HFTs trading with the wind, that is, in the same direction. We find that HFTs initially lean against these orders but eventually change direction and take positions in the same direction for the most informed institutional orders. Our empirical findings are consistent with investors trading strategically on their information. When deciding trade intensity, they seem to trade off higher speculative profits against higher risk of being detected and preyed on by HFTs.

Original languageEnglish
Pages (from-to)1091-1137
Number of pages47
JournalJournal of Finance
Issue number3
Publication statusPublished - 1 Jun 2019

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