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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 two trends related? For a recent five-year panel of New York Stock Exchange (NYSE) stocks, we use a normalized measure of electronic message traffic (order submissions,...
Persistent link: https://www.econbiz.de/10003831248
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How Does Algorithmic Trading Improve Market Quality?
Lyle, Matthew R. - 2018
We use a comprehensive panel of NYSE order book data to show that the liquidity and quoting efficiency improvements associated with algorithmic trading (AT) are attributable to enhanced monitoring by liquidity providers. We find that variation in liquidity provider monitoring uniquely explains...
Persistent link: https://www.econbiz.de/10012937368
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Theoretical and practical aspects of algorithmic trading
Fränkle, Jan - 2010
Persistent link: https://www.econbiz.de/10008842360
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On the dark side of the market : identifying and analyzing hidden order placements
Hautsch, Nikolaus; Huang, Ruihong - 2012
Trading under limited pre-trade transparency becomes increasingly popular on financial markets. We provide first evidence on traders' use of (completely) hidden orders which might be placed even inside of the (displayed) bid-ask spread. Employing TotalView-ITCH data on order messages at NASDAQ,...
Persistent link: https://www.econbiz.de/10009504616
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On the dark side of the market : identifying and analyzing hidden order placements
Hautsch, Nikolaus; Huang, Ruihong - 2012 - First Version: December 2010, This Version: January 2012
Trading under limited pre-trade transparency becomes increasingly popular on financial markets. We provide first evidence on traders' use of (completely) hidden orders which might be placed even inside of the (displayed) bid-ask spread. Employing TotalView-ITCH data on order messages at NASDAQ,...
Persistent link: https://www.econbiz.de/10009487319
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Four essays on the econometric analysis of high-frequency order data
Huang, Ruihong - 2012
Persistent link: https://www.econbiz.de/10009670513
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Does anonymity matter in electronic limit order markets?
Foucault, Thierry; Moinas, Sophie; Theissen, Erik - 2004 - This Draft: May, 2004
We develop a model of limit order trading in which some traders have better information on future price volatility. As limit orders have option-like features, this information is valuable for limit order traders. We solve for informed and uninformed limit order traders' bidding strategies in...
Persistent link: https://www.econbiz.de/10010361995
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Commonality in liquidity in the context of different trading systems : evidence from an emerging market
Tayeh, Mohammad - In: International journal of economics and financial issues … 6 (2016) 4, pp. 1344-1353
Persistent link: https://www.econbiz.de/10011774856
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Where is the Value in High Frequency Trading?
Cartea, Álvaro - 2012
We analyze the impact of high frequency (HF) trading in financial markets based on a model with three types of traders: liquidity traders (LTs), professional traders (PTs), and high frequency traders (HFTs). Our four main findings are: i) The price impact of liquidity trades is higher in the...
Persistent link: https://www.econbiz.de/10013115486
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Where is the Value in High Frequency Trading?
Cartea, Álvaro - 2013
We analyze the impact of high frequency (HF) trading in financial markets based on a model with three types of traders: liquidity traders (LTs), professional traders (PTs), and high frequency traders (HFTs). Our four main findings are: i) The price impact of liquidity trades is higher in the...
Persistent link: https://www.econbiz.de/10013092875