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)...

This contribution addresses the impact of high-frequency electronic liquidity provision strategies on financial markets' intraday dynamics, by evaluating the interaction between multiple trading strategies within a computer laboratory, i.e. an artificial stock market. Initially, a realistic...

This paper analyzes brief episodes of high-intensity quotes turnover and revision-"bursts" in quotes-in the U.S. equity market. Such events occur very frequently, several hundred times a day for actively traded stocks. We find significant price impact associated with these market makers...

Price impact measures the difference between the best quoted price and the realized price as a function of order size. This paper analyzes how price impact depends on the latency that a market maker is subject to. I propose a tractable model which allows incorporating both order size and latency...