Journal article
University of Toronto
Abstract
We study the intra-day trading profits and losses of retail, institutional, and high frequencytraders from 2006 to 2012, usinggranular trader-level data fromthe Toronto Stock Exchange and analyze the evolution in trading costs for traders who trade with both market and limit orders. Retail investors make persistent intra-day trading losses, institutional investors earn positive profits, and high frequency trading (HFT) profits decline over …
Authors
Malinova K; Riordan R
Journal
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Publication Date
2013