Ioc Herding as a Competition Among Algorithmic Traders Evidence from Korean Futures Market

This study examines the herding behavior of IOC (immediate-or-cancel) orders in the Korean index futures market. We investigate the motivation behind IOC herding by computing the change in order flow imbalance (OFI), and conducting the probit analysis on the relationship between the OFI and IOC herding. The results reveal that the IOC herding is more significantly related to the change of OFI than non-IOC and non-herd IOC market orders, implying that IOC herding is the consequence of the severe competition among high-frequency traders who operate similar automated programs based on order flow analysis