Goldstein, Michael; Viljoen, Tina; Westerholm, P. Joakim; … - In: The Financial Review 49 (2014) 2, pp. 245-270
We study the intraday price impact of algorithmic trading (AT) on futures markets. We find that AT exhibits a strong reverse U-shape intraday pattern, and greater AT activity is related to lower effective spreads, higher realized spreads and lower adverse selection risk, which suggests that...