We perform an empirical study of a set of large institutional orders executed in the U.S. equity market. Our results validate the hidden order arbitrage theory proposed by Farmer et al. (2013) of the market impact of large institutional orders. We find that large trades are drawn from a...

With the proliferation of high-frequency trading (HFT), understanding the effects of HFT on market quality and the opportunities that HFT creates for long-term (LT) investors is important in building an efficient regulatory framework. This paper demonstrates an approach that allows us to...

We perform an empirical study of a set of large institutional orders executed in the US equity market. Our results validate the hidden order arbitrage theory proposed by Farmer <italic>et al</italic>. [How efficiency shapes market impact, 2013] of the market impact of large institutional orders. We find that...