Search Results - subject:"algorithmic trading"

The Impact of Electronic Markets on B2b-Relationships

Haller, Jochen - 2014

Although most of the predicted consequences of the internet-revolution in the 90s did not become reality, the internet has lead to sustainable changes in the organization of most industries. In particular, this is true for business-to-business (B2B) relations between firm. An obvious 'proof' for...

Persistent link: https://www.econbiz.de/10014029330

High Frequency Trading, Liquidity, and Execution Cost

Sun, Edward - 2014

We build a model under the framework of discrete optimization to explain how high frequency trading (HFT) can be applied to supply liquidity and reduce execution cost. We derive the analytical properties of our model in finding the optimal solution to minimize the overall execution cost of HFT....

Persistent link: https://www.econbiz.de/10013064983

Speed, Algorithmic Trading, and Market Quality Around Macroeconomic News Announcements

Scholtus, Martin L. - 2014

and on days with high volatility. In addition, we assess the effect of algorithmic trading on market quality around … macroeconomic news. Increases in algorithmic trading activity have a positive (mixed) effect on market quality measures when we use … algorithmic trading proxies that capture the top of the order book (full order book) …

Persistent link: https://www.econbiz.de/10013065074

A Multiscale Model of High-Frequency Trading

Sowers, Richard - 2014

We propose and study a stylization of high frequency trading (HFT). Our interest is an order book which consists of orders from slow liquidity traders and orders from high-frequency traders.We would like to frame a model which is amenable to the (seemingly natural) mathematical toolkit of...

Persistent link: https://www.econbiz.de/10013066207

A Dynamic Limit Order Market with Fast and Slow Traders

Hoffmann, Peter - 2014

We study the role of high-frequency trading in a dynamic limit order market. Fast traders' ability to revise their quotes quickly after news arrivals helps to reduce the inefficiency that is rooted in the risk of being "picked off", which increases trade. However, their presence induces slow...

Persistent link: https://www.econbiz.de/10013067036

Stock Trading in the Digital Age : Speed, Agency, and the Entrepreneurial Consumer

Zwick, Detlev - 2014

For the purpose of this chapter, we use the distinction between the kinematic and the entrepreneurial investor largely as an analytical tool to emphasize the most salient features of the online investing experience as it evolved over the last ten or so years through the emergence of the...

Persistent link: https://www.econbiz.de/10013067073

Liquidity and Price Discovery of Algorithmic Trading : An Intraday Analysis of the SPI 200 Futures

Prodromou, Tina - 2014

We study the intra-day impact of algorithmic trading on the futures market to increase our understanding of algorithmic … trading and its role in the price formation process. First, we find that algorithmic trading provides liquidity when the … algorithmic trading is related to lower adverse selection and is unrelated to realised spreads. Third, we confirm that information …

Persistent link: https://www.econbiz.de/10013067530

The Effect of Maker-Taker Pricing on Market Liquidity in Electronic Trading Systems – Empirical Evidence from European Equity Trading

Lutat, Marco - 2014

European equity trading mainly takes place in electronic order-driven systems. In those systems two groups of traders post their orders. One group makes liquidity by submitting limit orders while the other takes liquidity by submitting market orders. A high degree of liquidity is widely seen as...

Persistent link: https://www.econbiz.de/10013068677

Fairness in Financial Markets : The Case of High Frequency Trading

Angel, James - 2014

Recent concern over "high frequency trading" (HFT) has called into question the fairness of the practice. What does it mean for a financial market to be "fair"? We first examine how high frequency trading is actually used. High frequency traders are often implementing traditional beneficial...

Persistent link: https://www.econbiz.de/10013068791

Modeling Asset Prices for Algorithmic and High Frequency Trading

Cartea, Álvaro - 2014

Algorithmic Trading (AT) and High Frequency (HF) trading, which are responsible for over 70\% of US stocks trading …

Persistent link: https://www.econbiz.de/10013068921