Hendershott, Terrence; Jones, Charles M.; Menkveld, … - Center for Financial Studies - 2008
Algorithmic trading has sharply increased over the past decade. Equity market liquidity has improved as well. Are the … electronic message traffic (order submissions, cancellations, and executions) as a proxy for algorithmic trading, and we trace … the associations between liquidity and message traffic. Based on within-stock variation, we find that algorithmic trading …