Search Results - subject:"algorithmic trading"

Microeconomic foundation of investment decisions for electronic security trading systems

Li, Xihao - 2010

Persistent link: https://www.econbiz.de/10009152071

Selected essays in stock market liquidity : innovative XLM measure at the Frankfurt Stock Exchange ; cloudy skies, time of the day and the role of designated sponsors for stock market liquidity

Schiereck, Dirk (contributor); … - 2010

Persistent link: https://www.econbiz.de/10009009943

Theoretical and practical aspects of algorithmic trading

Fränkle, Jan - 2010

Persistent link: https://www.econbiz.de/10008842360

Modelling the time between trades in the after-hours electronic equity futures market

Dungey, Mardi H.; Jeyasreedharan, Nagaratnam; Li, Tuo - 2010

Persistent link: https://www.econbiz.de/10008698074

Electronic vs. Open Outcry : Side-by-Side Trading of KCBT Wheat Futures

Shah, Samarth - 2010

This study compares liquidity costs of electronic and open outcry hard red winter wheat futures contracts traded side-by-side on the Kansas City Board of Trade. Liquidity costs are considerably lower in the electronic market than in the open outcry market. A new approach is used to estimate...

Persistent link: https://www.econbiz.de/10013135740

Microstructure of the Yen/Dollar Foreign Exchange Market : Patterns of Intra-Day Activity Revealed in the Electronic Broking System

Ito, Takatoshi - 2010

This paper establishes several intra-day patterns of the high-frequency exchange rate behavior, using the firm bid-ask quote, transaction of the EBS data set. First, the activity of quote and transactions is high in the beginning hours of the three major currency markets -- Tokyo, London, and...

Persistent link: https://www.econbiz.de/10012762564

Algorithmic trading engines versus human traders: Do they behave different in securities markets?

Gomber, Peter; Gsell, Markus - 2009

institutional customers. These Algorithmic Trading engines enable order submissions without human intervention based on quantitative … Algorithmic Trading and on its impact on market volatility and market quality, little is known on how algorithms actually place … that for the first time includes a specific flag to enable the identification of orders submitted by Algorithmic Trading …

Persistent link: https://www.econbiz.de/10010303683

Algorithmic trading engines versus human traders: Do they behave different in securities markets?

Gomber, Peter; Gsell, Markus - Center for Financial Studies - 2009

Persistent link: https://www.econbiz.de/10010958624

Algorithmic Trading and Information

Hendershott, Terrence; Riordan, Ryan - NET Institute - 2009

We examine algorithmic trades (AT) and their role in the price discovery process in the 30 DAX stocks on the Deutsche Boerse. AT liquidity demand represents 52% of volume and AT supplies liquidity on 50% of volume. AT act strategically by monitoring the market for liquidity and deviations of...

Persistent link: https://www.econbiz.de/10008528442

Optimal Design of an Immigration Points System

McHale, John; Rogers, Keith - Department of Economics, National University of Ireland - 2009

There is growing interest in the United States and elsewhere in the use of a points-based system for selecting immigrants on the basis of their observed human capital. This paper explores the design of an optimal skills-based immigrant selection system based on two basic elements: a...

Persistent link: https://www.econbiz.de/10008534435