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 research link market microstructure with efficiency. Liquidity and volatility are linked with time-varying informational efficiency of the Asian emerging economies. Three measures are used for each variable. Using SGMM, this study finds that both variables have significant role in driving...