Search Results - subject:"algorithmic trading"

Limit Order Placement by High-Frequency Traders

Subrahmanyam, Avanidhar - 2016

The effectiveness of liquidity provision by HFT firms via the limit order book is an unexplored but central policy issue. Using a unique dataset consisting of limit order placement, execution, and cancellations on Nasdaq, we find that HFT firms do not cancel orders more frequently than non-HFT...

Persistent link: https://www.econbiz.de/10013003034

Mathematical Foundations of Realtime Equity Trading. Liquidity Deficit and Market Dynamics. Automated Trading Machines

Malyshkin, Vladislav - 2016

We postulates, and then show experimentally, that liquidity deficit is the driving force of the markets. In the first part of the paper a kinematic of liquidity deficit is developed. The calculus-like approach, which is based on Radon-Nikodym derivatives and their generalization, allows us to...

Persistent link: https://www.econbiz.de/10013003157

Regulating Merchants of Liquidity : Market Making from Crowded Floors to High-Frequency Trading

Dolgopolov, Stanislav - 2016

This Article develops a framework for analyzing the very existence of regulation of market makers and singles out such key factors as externalities in the market for liquidity, vulnerability of these market participants to certain trading strategies, and their own opportunism. This framework is...

Persistent link: https://www.econbiz.de/10013003189

Intraday Patterns in Natural Gas Futures : Extracting Signals from High-Frequency Trading Data

Song, Jung Heon - 2016

High Frequency Trading is pervasive across all electronic financial markets. As algorithms replace an increasing number of tasks previously performed by humans, cascading effects similar to the Flash Crash of May 6th 2010 become more likely. In this study, we bring together a number of different...

Persistent link: https://www.econbiz.de/10013003707

Impact of ASIC’s Cost Recovery Regulation on High Frequency Trading and Market Quality in Australia

Enemuwe, N. Robert - 2016

This paper makes use of the natural experiment created by the introduction of ASIC's cost recovery regulation on January 1, 2012, to examine the impact of the regulation on high frequency trading (HFT) and market quality in Australia. We employ the order-to-trade ratio (OTT) as a proxy for HFT...

Persistent link: https://www.econbiz.de/10013003721

High-Frequency Trading and Its Role in Fragmented Markets

Haferkorn, Martin - 2016

The ﬁnancial services industry is among the leading industries in IT-spending. Still, little research exists which investigates how IT inﬂuences the ﬁnancial services sector. Against this background, we study how a technology which emerged within the last years affects securities trading:...

Persistent link: https://www.econbiz.de/10013004830

How Algorithmic Trading Undermines Efficiency in Capital Markets

Yadav, Yesha - 2016

This Article argues that the rise of algorithmic trading undermines efficient capital allocation in securities markets …, regulation relies pervasively on prices as a proxy for the allocative efficiency of investor capital.Algorithmic trading weakens … regulation rely on prices as a mechanism to monitor and discipline public companies. As algorithmic trading creates costs for …

Persistent link: https://www.econbiz.de/10013005016

The Law and Ethics of High-Frequency Trading

McNamara, Steven R. - 2016

Michael Lewis's recent book FLASH BOYS has resurrected the controversy concerning “high-frequency trading” (HFT) in the stock markets. While HFT has been important in the stock markets for about a decade, and may have already peaked in terms of its economic significance, it touched a nerve...

Persistent link: https://www.econbiz.de/10013005253

Quasi-Centralized Limit Order Books

Gould, Martin - 2016

A quasi-centralized limit order book (QCLOB) is a limit order book (LOB) in which financial institutions can only access the trading opportunities offered by counterparties with whom they possess sufficient bilateral credit. We perform an empirical analysis of a recent, high-quality data set...

Persistent link: https://www.econbiz.de/10013005342

Does Trade Clustering Reduce Trading Costs? Evidence from Periodicity in Algorithmic Trading

Muravyev, Dmitriy - 2016

We use quasi-exogenous variation in trading activity at the sub-second frequency to show that higher trade and quote intensities cause higher volatility but perhaps surprisingly have no significant effect on stock liquidity. This result has significant implications for the theories of strategic...

Persistent link: https://www.econbiz.de/10013005934