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Time Will Tell! Towards the Construction of Instantaneous Indicators of Different Agent Types

This paper proposes the construction of instantaneous, intensity based, indicators of different agent types, based on the notion that their trading motives should be expressed in their trading behavior, as it is captured by the arrival rate of their trades. Consequently, differential access to information and liquidity, as well as the presence of different types of behavioral biases should result in differences in the rate of interactions with the market. This should be reflected on the shape of the hazard function, which is used to distinguish the different groups.