2019 Q1 Quarterly Research Archive¶
Records scoring at least 40 within the primary scope pass rule review and are published without additional manual review. This page does not validate author claims or provide investment advice.
- Coverage: 2019-01-01 to 2019-03-31
- Passed rule review: 5
- Sources: 3
Topic distribution¶
Domains¶
- volatility: 3
- institutional execution: 2
- microstructure: 1
Methods¶
- research methods: 2
Facets¶
- instrument vix options: 1
- instrument single stock options: 1
Passed rule review¶
High‐Frequency Trading around Large Institutional Orders¶
- Published: 2019-03-21
- Source: The Journal of Finance
- Publication status:
peer_reviewed - Original source: Open original source
Why it matters¶
Using granular institutional executions, the study shows how HFT flow can shift from early liquidity provision against a large order to later same-direction trading, and links that transition to order information and implementation shortfall, directly informing the trade-off among execution duration, information leakage, and order splitting. (full_text:S45, full_text:S49, full_text:S54, full_text:S69, full_text:S76, full_text:S83)
Main author claims¶
- The authors report that HFTs generally trade against institutional orders at the start but turn to same-direction trading for orders lasting more than about seven hours; a placebo sample with similar market conditions but no institutional activity shows the against-wind pattern but not the with-wind pattern. (
full_text:S54,full_text:S60,full_text:S63) - The authors report that stronger HFT same-direction flow is associated cross-sectionally with more informed institutional orders, with a one-standard-deviation increase in with-wind flow corresponding to a 9.28-basis-point increase in permanent price impact. (
full_text:S383,full_text:S384) - The authors report that implementation shortfall is about 4 basis points below average with stronger against-wind HFT flow and about 9 basis points above average with stronger with-wind flow, while cautioning that endogeneity and reverse causality likely overstate the latter relationship. (
full_text:S526,full_text:S527,full_text:S528)
Data, method, or discussion scope¶
The evidence combines 801,341 child trades from four large institutions with public NASDAQ OMX trades that identify counterparties, covering 30 Swedish index stocks from January 2011 through March 2013. The authors construct 5,136 metaorders and compare them with placebo periods having similar market conditions but no institutional activity. These results have not been independently replicated here. (full_text:S46, full_text:S47, full_text:S48, full_text:S49, full_text:S52, full_text:S60, full_text:S63, full_text:S154)
Main limitations¶
The authors explicitly make no causal claim; the main results are unconditional or regression associations. The data omit HFT trades on other venues and observe institutional executions rather than complete orders. The sample contains two mutual funds, one sovereign wealth fund, and one pension fund, but no stressed hedge funds. The authors also identify endogeneity and reverse causality in the execution-cost relation, so the associations should not be treated as a deployable execution rule. (full_text:S103, full_text:S104, full_text:S165, full_text:S395, full_text:S527, full_text:S528, full_text:S579, full_text:S585, full_text:S593)
High-Frequency Market Making to Large Institutional Trades¶
- Published: 2019-03
- Source: The Review of Financial Studies
- Publication status:
peer_reviewed - Original source: Open original source
Why it matters¶
The study connects HFT market making, institutional-order size and information content, and the spread and price-impact components of execution cost, showing how average market-quality improvements can mask materially different outcomes across orders. (full_text:S21, full_text:S25, full_text:S26, full_text:S43, full_text:S44, full_text:S45, full_text:S47, full_text:S49)
Main author claims¶
- The authors report that after IIROC introduced message fees in April 2012, daily HFT message traffic fell by about 20%; price impact for large institutional trades fell by about 14.5%, average spread cost rose by about 3 basis points, and the estimated order-size break-even point was about C$2.1 million. (
full_text:S41,full_text:S42,full_text:S231,full_text:S232,full_text:S242,full_text:S243) - The authors report that after the fee change, price impact fell by about 27.5% for the high-informed group defined from past trading profitability, by about 10.1% for the medium-informed group, and not significantly for the low-informed group. (
full_text:S47,full_text:S287,full_text:S288) - The authors report that during institutional-order execution, non-extreme HFT inventory mean reversion in the next interval is 32.4%, versus 21.6% without an institutional trade, while same-direction HFT trades and limit-order activity also rise relatively. (
full_text:S61,full_text:S67,full_text:S69)
Data, method, or discussion scope¶
The evidence uses IIROC order-level data for Canadian equities from January 2012 through June 2013. Masked trader IDs permit tracking order and trade activity, and the sample contains 1,173,482 institutional trades. The study uses the April 2012 integrated-fee-model change and regressions with stock fixed effects and standard errors clustered by stock and date. These results have not been independently replicated here. (full_text:S36, full_text:S37, full_text:S124, full_text:S175, full_text:S202, full_text:S224)
Main limitations¶
The study covers one market and roughly an 18-month window. Its informed groups are constructed from past trading profitability rather than direct observation of private information. Because the fee change jointly altered message costs and HFT activity, the heterogeneous changes across spreads, price impact, and order size support the authors' mechanism interpretation but are not validation here of a universal causal effect or a tradable strategy. (full_text:S37, full_text:S41, full_text:S47, full_text:S207, full_text:S224, full_text:S231, full_text:S232)
A smiling bear in the equity options market and the cross‐section of stock returns¶
- Published: 2019-02-11
- Source: Journal of Futures Markets
- Publication status:
peer_reviewed - Original source: Open original source
Why it matters¶
The study links IV-curve convexity to tail-risk pricing and cross-sectional option returns, providing a testable measure of whether surface shape contains risk-compensation information. (abstract:S1, abstract:S2, abstract:S3)
Main author claims¶
- The authors define IV convexity as a forward-looking risk-neutral measure of tail-risk contribution. (
abstract:S1) - In US listed options from 2000–2013, the authors report a monthly realized-return spread above 1% between extreme convexity quintiles and interpret it through informed trading and price discovery. (
abstract:S2,abstract:S3)
Data, method, or discussion scope¶
The abstract gives the measure, sample period, portfolio spread, and mechanism interpretation, but not sorting details, risk adjustment, trading costs, or out-of-sample replication. (abstract:S1, abstract:S2, abstract:S3)
Main limitations¶
The return spread is author-reported, and the move from cross-sectional association to price discovery may be affected by omitted risks, endogeneity, and market frictions. (abstract:S2, abstract:S3)
Improving volatility prediction and option valuation using VIX information: A volatility spillover GARCH model¶
- Published: 2019-02-07
- Source: Journal of Futures Markets
- Publication status:
peer_reviewed - Original source: Open original source
Why it matters¶
The paper asks whether VIX information improves stock-volatility forecasts and option pricing through a cross-market spillover model, directly testing the transferability of volatility information. (abstract:S1, abstract:S2, abstract:S3, abstract:S4)
Main author claims¶
- The authors propose a two-market spillover GARCH model and report improved in-sample and out-of-sample volatility forecasting from VIX information. (
abstract:S1,abstract:S2,abstract:S3) - The authors report lower option-pricing errors and better performance than two cited prior approaches. (
abstract:S4,abstract:S5,abstract:S6,abstract:S7,abstract:S8)
Data, method, or discussion scope¶
The abstract provides the model class, directional results, and relative comparisons, but not the sample, error definitions, parameterization, or significance levels. (abstract:S1, abstract:S2, abstract:S3, abstract:S4, abstract:S5)
Main limitations¶
The reported spillover and forecast gains do not by themselves establish causal transmission from VIX, and “significant” or “greatly reduces” lack quantitative bounds here. (abstract:S3, abstract:S4, abstract:S5)
Properties and the predictive power of implied volatility in the New Zealand dairy market¶
- Published: 2019-01-16
- Source: Journal of Futures Markets
- Publication status:
peer_reviewed - Original source: Open original source
Why it matters¶
The study tests whether an option-implied dairy volatility measure adds information about future realized volatility, directly examining the value of combining implied and historical signals in commodities. (abstract:S1, abstract:S3, abstract:S4, abstract:S5)
Main author claims¶
- The authors construct DVIX from NZX whole-milk-powder futures options and report in-sample and out-of-sample information about conditional variance. (
abstract:S1,abstract:S3,abstract:S4) - The authors report that combining historical volatility with DVIX performs best in their out-of-sample comparison. (
abstract:S5)
Data, method, or discussion scope¶
The abstract covers DVIX construction, an asymmetric WMP return–volatility relation, and forecast comparisons, but omits the sample period, frequency, loss function, benchmarks, and trading implementation. (abstract:S1, abstract:S2, abstract:S3, abstract:S4, abstract:S5)
Main limitations¶
“High information content” and “best” are unquantified author descriptions; the abstract cannot establish stability across maturities, liquidity states, or macro regimes. (abstract:S3, abstract:S4, abstract:S5)