Search Results - subject:"algorithmic trading"

Dynamic Order Submission Strategies with Competition between a Dealer Market and a Crossing Network

Degryse, Hans - 2010

We present a dynamic microstructure model where a dealer market (DM) and a crossing network (CN) interact. Sequentially arriving traders with different valuations for an asset maximise their profits either by trading on a DM or by submitting an order for (possibly) uncertain execution via a CN....

Persistent link: https://www.econbiz.de/10013137531

Is High-Frequency Trading Inducing Changes in Market Microstructure and Dynamics?

Smith, Reginald - 2010

Using high-frequency time series of stock prices and share volumes sizes from January 2002-May 2009, this paper investigates whether the effects of the onset of high-frequency trading, most prominent since 2005, are apparent in the dynamics of the dollar traded volume. Indeed it is found in...

Persistent link: https://www.econbiz.de/10013141644

High Frequency Covariance Estimates with Noisy and Asynchronous Financial Data

Ait-Sahalia, Yacine - 2010

This paper proposes a consistent and efficient estimator of the high frequency covariance (quadratic covariation) of two arbitrary assets, observed asynchronously with market microstructure noise. This estimator is built upon the marriage of the quasi-maximum likelihood estimator of the...

Persistent link: https://www.econbiz.de/10013141704

High Frequency Traders and Asset Prices

Cvitanic, Jaksa - 2010

Do high frequency traders affect transaction prices? In this paper we derive distributions of transaction prices in limit order markets populated by low frequency traders (humans) before and after the entrance of a high frequency trader (machine). We find that the presence of a machine is likely...

Persistent link: https://www.econbiz.de/10013146959

Further Evidence On Technology and Liquidity Provision : The Blurring of Traditional Definitions

Groth, Sven S. - 2010

not an order has been submitted by an algorithm. “Algorithmic Trading” engines allow order submissions without human …

Persistent link: https://www.econbiz.de/10013148758

Intra-Daily Volume Modeling and Prediction for Algorithmic Trading

Brownlees, Christian T. - 2010

The explosion of algorithmic trading has been one of the most prominent recent trends in the financial industry …. Algorithmic trading consists of automated trading strategies that attempt to minimize transaction costs by optimally placing …

Persistent link: https://www.econbiz.de/10013152911

Topics in empirical market microstructure : measuring the informational content of order flow

Wünsche, Oliver - 2010

Persistent link: https://www.econbiz.de/10008669012

Analysis of binary trading patterns in Xetra

Maurer, Kai-Oliver; Schäfer, Carsten - 2010

financial markets. The concept is applied to the illustrative example of algorithmic vs. non-algorithmic trading and empirical … regularity while non-algorithmic trading tends towards either very regular or very irregular trading patterns. -- Financial … Markets ; Electronic Markets ; Algorithmic Trading ; Order Entry ; Equity Trading ; Information Theory ; Entropy Measure …

Persistent link: https://www.econbiz.de/10003980635

Why do firms pay for liquidity provision in limit order markets?

Skjeltorp, Johannes A.; Ødegaard, Bernt Arne - 2010

Persistent link: https://www.econbiz.de/10003981366

Modellierung und empirische Analyse von Preismechanismen im Hochfrequenzbereich : eine Analyse am Beispiel der elektronischen Aktienmärkte IBIS und XETRA

Uphaus, Andreas - 2010

Persistent link: https://www.econbiz.de/10009125904