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In recent years, Bitcoin has received substantial attention as potentially high-earning investment. However, its volatile price movement exhibits great financial risks. Therefore, how to accurately predict and capture changing trends in the Bitcoin market is of substantial importance to...
Persistent link: https://www.econbiz.de/10013170254
Modern Algorithmic Trading ("Algo") allows institutional investors and traders to liquidate or establish big security positions in a fully automated or low-touch manner. Most existing academic or industrial Algos focus on how to "slice" a big parent order into smaller child orders over a given...
Persistent link: https://www.econbiz.de/10012837206
We investigate the role algorithmic trading (AT) on days when the absolute value of the market return is more than two percent. We find that the abnormal return of a stock is related to the stock's AT intensity, that high AT intensity stocks experience less price drops (surges) on days when the...
Persistent link: https://www.econbiz.de/10012905237
We assume that the drift in the returns of asset prices consists of an idiosyncratic component and a common component given by a co-integration factor. We analyze the optimal investment strategy for an agent who maximizes expected utility of wealth by dynamically trading in these assets. The...
Persistent link: https://www.econbiz.de/10013004099
This Article argues that the rise of algorithmic trading undermines efficient capital allocation in securities markets. It is a bedrock assumption in theory that securities prices reveal how effectively public companies utilize capital. This conventional wisdom rests on the straightforward...
Persistent link: https://www.econbiz.de/10013005016
fully control the operation of the algorithm. Algorithms can execute many thousands of trades in milliseconds, crunching … for a trader to fully predict how an algorithm might behave ex ante and near-impossible for her to track and control its …
Persistent link: https://www.econbiz.de/10013006693
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This paper studies whether and why algorithmic traders exhibit one of the most broadlydocumented behavioral puzzles - the disposition effect. We use trade data from the NASDAQ Copenhagen Stock Exchange merged with the weather data. We find that on average, the disposition effect for human...
Persistent link: https://www.econbiz.de/10013207355