4 papers
Mean Field Game of High-Frequency Anticipatory Trading
Xue Cheng, Meng Wang, Ziyi Xu
The interactions between a large population of high-frequency traders (HFTs) and a large trader (LT) who executes a certain amount of assets at discrete time points are studied. HF…
Trading Large Orders in the Presence of Multiple High-Frequency Anticipatory Traders
Ziyi Xu, Xue Cheng
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 inven…
The Effects of High-frequency Anticipatory Trading: Small Informed Trader vs. Round-Tripper
Ziyi Xu, Xue Cheng
In an extended Kyle's model, the interactions between a large informed trader and a high-frequency trader (HFT) who can anticipate the former's incoming order are studied. We find…
Are Large Traders Harmed by Front-running HFTs?
Ziyi Xu, Xue Cheng
This paper studies the influences of a high-frequency trader (HFT) on a large trader whose future trading is predicted by the former. We conclude that HFT always front-runs and the…