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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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Algorithmic trading efficiency and its impact on market-quality
Dubey, Ritesh Kumar; Babu, A. Sarath; Jha, Rajneesh Ranjan - In: Asia Pacific financial markets 29 (2022) 3, pp. 381-409
Persistent link: https://www.econbiz.de/10013397503
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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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Algorithms put to test: Control of algorithms in securities trading through mandatory market simulations?
Raschner, Patrick - 2021
Persistent link: https://www.econbiz.de/10012587378
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Algorithmic trading, price efficiency and welfare: an experimental approach
Corgnet, Brice; DeSantis, Mark; Siemroth, Christoph - 2023
Persistent link: https://www.econbiz.de/10014388529
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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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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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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 - In: Journal of economic behavior & organization : JEBO 182 (2021), pp. 331-348
Persistent link: https://www.econbiz.de/10012598343