Prix, Johannes; Loistl, Otto; Huetl, Michael - In: The European Journal of Finance 13 (2007) 8, pp. 717-739
Computerized trading controlled by algorithms - “Algorithmic Trading” - has become a fashionable term in investment … banking. We investigate a set of Xetra order data to find traces of algorithmic trading by studying the lifetimes of cancelled … of algorithmic trading. The trading patterns observed might be interpreted as fishing for profitable roundtrips. …