Only partially explained by news anouncements

• Conjecture:
  • "volume spikes" driven by HFT rebalancing activity

• $\Rightarrow$ Propose a new HFT proxy: 
  • use the "spikes" as a proxy for HFT liquidity provision

• Broussard and Nikiforov (2014; "Intraday periodicity in algorithmic trading"; Journal of International Financial Markets, Institutions and Money) document similar patterns
  • ​30-second buckets

Broussard and Nikiforov (2014):

1. a result of optimizing behavior by algorithms that seek to concentrate their trading. 
2. a side effect of humans’ (programmers) tendency to prefer round numbers. 

• Third alternative = the combination of the two:
  • only some algorithms have rigid round time marks
  • influence the behavior of “smarter” algorithms that do not have such constraints.

• They claim to support #2 but not #1.

• Buy-side algos split orders across time
• These algos may revisit the mkt every few ms/sec/min
• $\Rightarrow$ trading at predictable times and (?) predictable quantity

Likely "machine based" -- but need not be HFT

• $\Rightarrow$ may well be HFT trading during spikes
• but not necessarily because of rebalancing inventory

Suppose buy-side algos trade at discrete nodes:

• If aggressive $\Rightarrow$ HFT may post aggressively in anticipation
• Or: if buy-side uses aggressive limit orders, HFTs may trade against these passive orders

Can we identify/disentangle cause and consequence?

$\Rightarrow$  improvements in the spreads possible in either of these

Other features may also match the authors' findings, e.g. more prominent/easier to detect in small stocks