Similar Search Results

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

Gomber, Peter; Gsell, Markus - 2009

After exchanges and alternative trading venues have introduced electronic execution mechanisms worldwide, the focus of the securities trading industry shifted to the use of fully electronic trading engines by banks, brokers and their institutional customers. These Algorithmic Trading engines...

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

Does algorithmic trading improve liquidity?

Hendershott, Terrence; Jones, Charles M.; Menkveld, … - 2008

Algorithmic trading has sharply increased over the past decade. Equity market liquidity has improved as well. Are the … the associations between liquidity and message traffic. Based on within-stock variation, we find that algorithmic trading … and liquidity are positively related. To sort out causality, we use the start of autoquoting on the NYSE as an exogenous …

Persistent link: https://www.econbiz.de/10010303736

London Congestion Pricing – Implications for Other Cities

Litman, Todd - In: CESifo DICE Report 03 (2005) 3, pp. 17-21

Persistent link: https://www.econbiz.de/10011696554

High-Frequency Technical Trading: The Importance of Speed

Scholtus, Martin; van Dijk, Dick - 2012

This paper investigates the importance of speed for technical trading rule performance for three highly liquid ETFs listed on NASDAQ over the period January 6, 2009 up to September 30, 2009. In addition we examine the characteristics of market activity over the day and within subperiods...

Persistent link: https://www.econbiz.de/10010326515

Is BEST really better? Internalization of orders in an open limit order book

Grammig, Joachim G.; Theissen, Erik - 2011

book trades, the realized spreads (the revenue earned by the suppliers of liquidity) is significantly larger. The cost …

Persistent link: https://www.econbiz.de/10010308563

Competition for Order Flow as a Coordination Game

Dönges, Jutta; Heinemann, Frank - 2001

Competition for order flow can be characterized as a coordination game with multiple equilibria. Analyzing competition between dealer markets and a crossing network, we show that the crossing network is more stable for lower traders’ disutilities from unexecuted orders. By introducing private...

Persistent link: https://www.econbiz.de/10010316313

Analysis of binary trading patterns in Xetra

Maurer, Kai-Oliver; Schäfer, Carsten - 2010

This paper proposes the Shannon entropy as an appropriate one-dimensional measure of behavioural trading patterns in financial markets. The concept is applied to the illustrative example of algorithmic vs. non-algorithmic trading and empirical data from Deutsche Börse's electronic cash equity...

Persistent link: https://www.econbiz.de/10010303726

Assessing the impact of algorithmic trading on markets: A simulation approach

Gsell, Markus - 2008

Innovative automated execution strategies like Algorithmic Trading gain significant market share on electronic market venues worldwide, although their impact on market outcome has not been investigated in depth yet. In order to assess the impact of such concepts, e.g. effects on the price...

Persistent link: https://www.econbiz.de/10010303731

Optimal display of Iceberg orders

Cebiroğlu, Gökhan; Horst, Ulrich - 2011

the usage of hidden liquidity. Thus the Iceberg-trader is faced with the problem to find the right trade-off. Our model …

Persistent link: https://www.econbiz.de/10010281495

A parsimonious model for intraday European option pricing

Scalas, Enrico; Politi, Mauro - 2012

A stochastic model for pure-jump diffusion (the compound renewal process) can be used as a zero-order approximation and as a phenomenological description of tick-by-tick price fluctuations. This leads to an exact and explicit general formula for the martingale price of a European call option. A...

Persistent link: https://www.econbiz.de/10010308122