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How Algorithmic Trading Undermines Efficiency in Capital Markets
Yadav, Yesha - 2016
. It is a bedrock assumption in theory that securities prices reveal how effectively public companies utilize capital. This …, regulation relies pervasively on prices as a proxy for the allocative efficiency of investor capital.Algorithmic trading weakens … the ability of prices to function as a window into allocative efficiency. This Article develops two lines of argument …
Persistent link: https://www.econbiz.de/10013005016
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International workshop on algorithmic and high-frequency trading : a brief summary
Bernales, Alejandro; Dugast, Jérome - In: Banque de France bulletin / Quarterly selection of articles 33 (2014), pp. 39-42
Persistent link: https://www.econbiz.de/10010416214
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Overreacting Algorithms in Financial Markets
Gerner-Beuerle, Carsten; Zierahn, Lukas - 2022
One rationale for the regulation of algorithmic and high-frequency trading is the perception that algorithms are prone to overreacting to market events, for example by producing unanticipated interaction effects that exacerbate volatility and disrupt efficient price formation. This articles...
Persistent link: https://www.econbiz.de/10013297213
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Algorithmic trading, what if it is just an illusion? : evidence from experimental asset markets
Jacob-Leal, Sandrine; Hanaki, Nobuyuki - In: Journal of behavioral and experimental economics 112 (2024), pp. 1-13
Persistent link: https://www.econbiz.de/10015077381
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High frequency traders in a simulated market
Hanson, Thomas A. - In: Review of accounting & finance 15 (2016) 3, pp. 329-351
Persistent link: https://www.econbiz.de/10011607960
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Multiple markets, algorithmic trading, and market liquidity
Upson, James; Van Ness, Robert A. - In: Journal of financial markets 32 (2017), pp. 49-68
Persistent link: https://www.econbiz.de/10011814965
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Price impact and bursts in liquidity provision
Gençay, Ramazan; Mahmoodzadeh, S.; Rojček, Jakub; … - In: Quantitative finance 18 (2018) 7, pp. 1129-1148
Persistent link: https://www.econbiz.de/10011911529
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An agent-based model of intra-day financial markets dynamics
Staccioli, Jacopo; Napoletano, Mauro - 2018
We propose a parsimonious agent-based model of a financial market at the intra-day time scale that is able to jointly reproduce many of the empirically validated stylised facts. These include properties related to returns (leptokurtosis, absence of linear autocorrelation, volatility clustering),...
Persistent link: https://www.econbiz.de/10011863031
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An agent-based model of intra-day financial markets dynamics
Staccioli, Jacopo; Napoletano, Mauro - In: Journal of economic behavior & organization : JEBO 182 (2021), pp. 331-348
Persistent link: https://www.econbiz.de/10012598343
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A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market
Li, Zhicheng; Chen, Xinyun; Xing, Haipeng - In: Economic modelling 118 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014229238