Search Results - subject:"algorithmic trading"

Operating commodities market by automated traders

Laib, Fodil; Radjef, Mohammed Said - In: Handbook of research on intelligent techniques and …, (pp. 368-380). 2017

Persistent link: https://www.econbiz.de/10014576423

Machine trading : deploying computer algorithms to conquer the markets

Chan, Ernest P. - 2017

Cover -- Title Page -- Copyright -- Contents -- Preface -- Chapter 1: The Basics of Algorithmic Trading -- Historical …

Persistent link: https://www.econbiz.de/10012683806

Foreign Exchange Market Structure, Players and Evolution

King, Michael R.; Osler, Carol; Rime, Dagfinn - 2011

Electronic trading has transformed foreign exchange markets over the past decade, and the pace of innovation only accelerates. This formerly opaque market is now fairly transparent and transaction costs are only a fraction of their former level. Entirely new agents have joined the fray,...

Persistent link: https://www.econbiz.de/10012143775

High Frequency Trading, Information, and Takeovers

Humphery-Jenner, M. - Tilburg University, Center for Economic Research - 2011

This paper (1) proposes new variables to detect informed high-frequency trading (HFT), (2) shows that HFT can help to predict takeover targets, and (3) shows that HFT in uences target announcement announcement returns. Prior literature suggests that informed trade may occur before takeovers, but...

Persistent link: https://www.econbiz.de/10011091603

СОВРЕМЕННЫЕ МЕХАНИЗМЫ ФЬЮЧЕРСНОГО И ОПЦИОННОГО РЫНКОВ РОССИЙСКОЙ ФЕДЕРАЦИИ

ГОРБУНОВ В.С. - In: ВЕСТНИК САРАТОВСКОГО … (2011) 3, pp. 97-99

В статье рассматрены современные механизмы торговли на фьючерсном и опционном рынках Российской Федерации. Особое внимание уделено механизмам доступа на...

Persistent link: https://www.econbiz.de/10011236851

LIQUIDITY, PRICE IMPACT AND TRADE INFORMATIVENESS – EVIDENCE FROM THE LONDON STOCK EXCHANGE

Teodorović, Nataša - In: Economic Annals 56 (2011) 188, pp. 91-91

redefinition (generally defined as algorithmic trading), as well as redefinition of well known microstructure hypotheses. This … market with a significant algorithmic trading share. Based on the results obtained from the considered sample, this paper … stocks, arguing that Hasbrouck’s (1991a, 1991b) model recognizes algorithmic trading as an unexpected trade, i.e. as a trade …

Persistent link: https://www.econbiz.de/10011039130

Foreign exchange market structure, players and evolution

King, Michael R.; Osler, Carol; Rime, Dagfinn - Norges Bank - 2011

Persistent link: https://www.econbiz.de/10009292069

Conflicting Codes and Codings: How Algorithmic Trading Is Reshaping Financial Regulation

Lenglet, Marc - Université Paris-Dauphine (Paris IX) - 2011

Contemporary financial markets have recently witnessed a sea change with the ‘algorithmic revolution’, as trading automats are used to ease the execution sequences and reduce market impact. Being constantly monitored, they take an active part in the shaping of markets, and sometimes generate...

Persistent link: https://www.econbiz.de/10010706588

An Empirical Study of Volatility and Trading Volume Dynamics Using High-Frequency Data

Lu, Wen-Cheng; Lin, Fang-Jun - 2011

This paper examines the dynamic relationship of volatility and trading volume using a bivariate vector autoregressive methodology. This study found bidirectional causal relations between trading volume and volatility, which is in accordance with sequential information arrival hypothesis that...

Persistent link: https://www.econbiz.de/10014180621

Short-Selling, Uptick Rule, and Market Quality : Evidence from High-Frequency Data on Hong Kong Stock Exchange

Gao, Pengjie - 2011

Much empirical research has been conducted concerning the effect of short-selling on market quality and volatility. However, the evidence is inconclusive and still a matter of debate. Using intraday data in a pure order-driven market we show that allowing for short-selling decreases the adverse...

Persistent link: https://www.econbiz.de/10013132495