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The impact of algorithmic trading in a simulated asset market

Mukerji, Purba; Chung, Christine; Walsh, Timothy; Xiong, Bo - In: Journal of risk and financial management : JRFM 12 (2019) 2/68, pp. 1-11

In this work we simulate algorithmic trading (AT) in asset markets to clarify its impact. Our markets consist of human and algorithmic counterparts of traders that trade based on technical and fundamental analysis, and statistical arbitrage strategies. Our specific contributions are: (1)...

Persistent link: https://www.econbiz.de/10012022150

A game of hide-and-seek between proprietary and buy-side algorithmic traders : causal links with market quality

Arumugam, Devika; Prasanna, P. Krishna - In: Applied economics 53 (2021) 41, pp. 4788-4798

Persistent link: https://www.econbiz.de/10012609877

Algorithmic trading and market efficiency around the introduction of the NYSE Hybrid Market

Yuferova, Darya - In: Journal of financial markets 69 (2024), pp. 1-17

Persistent link: https://www.econbiz.de/10014574362

Mispricing and algorithm trading

Zhang, Lihong; Zhang, Xiaoquan - In: Information systems research : ISR 36 (2025) 1, pp. 21-40

Persistent link: https://www.econbiz.de/10015434841

Optimal decisions in a time priority queue

Donnelly, Ryan; Gan, Luhui - In: Applied mathematical finance 25 (2018) 1/2, pp. 107-147

Persistent link: https://www.econbiz.de/10011959122

Algorithmic trading of co-integrated assets

Cartea, Álvaro; Jaimungal, Sebastian - In: International journal of theoretical and applied finance 19 (2016) 6, pp. 1-18

Persistent link: https://www.econbiz.de/10011572368

Algorithmic market making in dealer markets with hedging and market impact

Barzykin, Alexander; Bergault, Philippe; Guéant, Olivier - In: Mathematical finance : an international journal of … 33 (2023) 1, pp. 41-79

Persistent link: https://www.econbiz.de/10014278660

Does trade clustering reduce trading costs? : evidence from periodicity in algorithmic trading

Muravyev, Dmitriy; Picard, Joerg - In: Financial management : FM 51 (2022) 4, pp. 1201-1229

Persistent link: https://www.econbiz.de/10013468513

Algorithmic trading and forward-looking MD&A disclosures

Thomas, Wayne B.; Wang, Yiding; Zhang, Ling - In: Journal of accounting research 62 (2024) 4, pp. 1533-1569

Persistent link: https://www.econbiz.de/10015123504

Optimal execution : a review

Donnelly, Ryan - In: Applied mathematical finance 29 (2022) 3, pp. 181-212

Persistent link: https://www.econbiz.de/10013554798