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If GME flow was random or even close to random, what do you think the volatility of GME would have been?
I get what you’re saying, but if this is true it sounds like retail flow is no longer uninformed. Which may be the case in 2021 but is going unsaid.
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As far as I remember, the original kyle model assumes random innovations in the Fundamental value of the asset, which really might not matter anymore in 2021
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it doesn't matter if it is institutional or retail driving for any symbol at a specific moment. Imagine trying to do order flow analysis with completely anonymous exchange/TRF data vs substantial % of data enriched by client type
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I think it’s true that the information is an advantage, but it’s also true that the brokers compel wholesalers not to use it intraday.
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retail flow is "informed," in the aggregate. liquidity supply/demand can move prices just as easily as information can. see, also, NFTs.
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There’s no scenario in which a MM -who knew the root source of each order- would not track the short/medium/long term outcome of each order source and use it as an input for future price/positioning decisions. Extrapolate…
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You’re conflating “uninformed flow” with “no information value flow.” All flow information is valuable to some degree.
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