Are retail traders compensated for providing liquidity?

Do retail traders suffer from high frequency traders?

Using a change in regulatory fees in Canada in April 2012 that affected algorithmic quoting activities, we analyze the impact of high frequency quoting and trading on market quality, trader behavior, and trading costs and profits. Following the change, algorithmic message traffic, i.e. the number of orders, trades, and order cancellations, dropped by 30% and the bid-ask spread rose by 9%. Using...

Are Institutions Momentum Traders?

This paper examines institutional trading in momentum portfolios. The key result is that institutions engage in momentum trading over the subsequent 3 quarters, buying winners and selling losers, in response to past returns but not past earnings news. Momentum trading is strengthened, however, when returns are accompanied by earnings news of the same sign. While past high returns predict future...

A System for Providing Differentiated QoS in Retail Banking

In today’s services driven economic environment, it is imperative for organizations to provide better quality service experience to differentiate and grow their business. Customer satisfaction (C-SAT) is the key driver for retention and growth in Retail Banking. Wait time, the time spent by a customer at the branch before getting serviced, contributes significantly to C-SAT. Due to high footfal...

Are Accruals Profits Illusory to Informed Traders?∗

We find that accruals mispricing is more pronounced for stocks with higher level of probability of informed trading (PIN). We interpret it as the evidence of informed traders using their proprietary information on accruals quality to trade against average investors. The informed traders’ arbitrage generates an annualized size and book-to-market adjusted abnormal return of 19.81% over the 1993-2...

Perceptions of Futures Market Liquidity: An Empirical Study of CBOT & CME Traders