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Multiple markets, algorithmic trading, and market liquidity

Upson, James; Van Ness, Robert A. - In: Journal of financial markets 32 (2017), pp. 49-68

Persistent link: https://www.econbiz.de/10011814965

The effect of algorithmic trading on market liquidity : evidence around earnings announcements on Borsa Italiana

Frino, Alex; Mollica, Vito; Monaco, Eleonora; Palumbo, … - In: Pacific-Basin finance journal 45 (2017), pp. 82-90

Persistent link: https://www.econbiz.de/10011800818

Bubbles in hybrid markets - How expectations about algorithmic trading affect human trading

Farjam, Mike; Kirchkamp, Oliver - Wirtschaftswissenschaftliche Fakultät, … - 2015

environments with only human traders. Today markets are substantially determined by algorithmic traders. Here we use a laboratory … experiment to measure human trading behaviour changes if these humans expect algorithmic traders. To disentangle the direct … effect algorithmic traders have we use a clean design where we can manipulate only the expectations of human traders. We find …

Persistent link: https://www.econbiz.de/10011166024

A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS

JARROW, ROBERT A.; PROTTER, PHILIP - In: International Journal of Theoretical and Applied … 15 (2012) 03, pp. 1250022-1

This paper shows that high frequency trading may play a dysfunctional role in financial markets. Contrary to arbitrageurs who make financial markets more efficient by taking advantage of and thereby eliminating mispricings, high frequency traders can create a mispricing that they unknowingly...

Persistent link: https://www.econbiz.de/10010883215

A dysfunctional role of high frequency trading in electronic markets

Jarrow, Robert A.; Protter, Philip E. - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-15

Persistent link: https://www.econbiz.de/10009624489