Search Results - subject:"algorithmic trading"

Algorithmic Trading and Mutual Fund Performance

Fong, Kingsley Y. L. - 2019

We examine the effects of algorithmic trading (AT) on the US mutual fund industry and find that funds holding stocks …

Persistent link: https://www.econbiz.de/10012900131

Paying for market liquidity : competition and incentives

Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2019

Do competition and incentives offered to designated market makers (DMMs) improve market liquidity? Using data from NYSE Euronext Paris, we show that an exogenous increase in competition among DMMs leads to a significant decrease in quoted and effective spreads, mainly through a reduction in...

Persistent link: https://www.econbiz.de/10011987269

High-frequency trading and price informativeness

Gider, Jasmin; Schmickler, Simon; Westheide, Christian - 2019

We study how the informativeness of stock prices changes with the presence of high-frequency trading (HFT). Our estimate is based on the staggered start of HFT participation in a panel of international exchanges. With HFT presence, market prices are a less reliable predictor of future cash flows...

Persistent link: https://www.econbiz.de/10011990090

Robustness of support vector machines in algorithmic trading on cryptocurrency market

Zenkova, Maryna; Ślepaczuk, Robert - Uniwersytet Warszawski / Wydział Nauk Ekonomicznych - 2019

Persistent link: https://www.econbiz.de/10012039745

Liquid speed : on-demand fast trading at distributed exchanges

Brolley, Michael; Zoican, Marius - 2019

Trading activity surges associated with latency arbitrage are costly, as they lead to both lower liquidity and inefficient investments in order processing capacity that remains idle 90% of the time. A congestion message fee on liquidity-taking orders alleviates both concerns. The fee surges...

Persistent link: https://www.econbiz.de/10012052601

Flash Boys and Cassandras; Debates on the Regulation of High Frequency Trading Are Revived

Costello, RA - 2019

, sufficiently fast so as to result in significant overall gains. These algorithmic trading systems require little or no human …

Persistent link: https://www.econbiz.de/10012900759

Limit Up Limit Down, Exchange Access Fee and High Frequency Trading Around Price Limits

Lin, Yiping - 2019

This paper analyzes the impact of intraday dynamic price limit rule - Limit Up Limit Down (LULD) on U.S. equity markets and high frequency trading (HFT) behavior around the price limit. Specifically, this paper examines the following five hypotheses: trading interference, volatility spillover,...

Persistent link: https://www.econbiz.de/10012901250

Algorithmic Trading and Firm Value

Hatch, Brian C. - 2019

Using data from 2002 to 2013, we examine the impact of algorithmic trading on firm value. The results show that … algorithmic trading generates net benefits for firm value through impacting stock liquidity, idiosyncratic volatility, and … idiosyncratic skewness, and firms benefit more from algorithmic trading when algorithmic trading intensity is higher. Using the …

Persistent link: https://www.econbiz.de/10012904949

Execution Risk in High-Frequency Arbitrage

Kozhan, Roman - 2019

In this paper, we investigate the role of execution risk in high-frequency trading through arbitrage strategies. We show that if rational agents face uncertainty about completing their arbitrage portfolios, then arbitrage is limited even in markets with perfect substitutes and convertibility....

Persistent link: https://www.econbiz.de/10012905676

The Information Content of a Limit Order Book : The Case of an FX Market

Kozhan, Roman - 2019

In this paper we examine the question of whether knowledge of the information contained in a limit order book helps to provide economic value in a simple trading scheme. Given the greater information content of the order book, over simple price information, it might naturally be expected that...

Persistent link: https://www.econbiz.de/10012905969