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Does algorithmic trading improve liquidity?
Hendershott, Terrence; Jones, Charles M.; Menkveld, … - 2008
Algorithmic trading has sharply increased over the past decade. Equity market liquidity has improved as well. Are the two trends related? For a recent five-year panel of New York Stock Exchange (NYSE) stocks, we use a normalized measure of electronic message traffic (order submissions,...
Persistent link: https://www.econbiz.de/10003831248
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The behavior of high-frequency traders under different market stress scenarios
Megarbane, Nicolas; Saliba, Pamela; Lehalle, Charles-Albert - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-54
Persistent link: https://www.econbiz.de/10011988891
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Trading and ordering patterns of market participants in high frequency trading environment : empirical study in the Japanese stock market
Saito, Taiga; Adachi, Takanori; Nakatsuma, Teruo; … - In: Asia-Pacific financial markets 25 (2018) 3, pp. 179-220
Persistent link: https://www.econbiz.de/10012033008
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Technology upgrades in emerging equity markets : effects on liquidity and trading activity
Yılmaz, Mustafa Kemal; Erdem, Orhan; Eraslan, Veysel; … - In: Finance research letters 14 (2015), pp. 87-92
Persistent link: https://www.econbiz.de/10011552642
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The role of algorithmic trading in stock liquidity and commonality in electronic limit order markets
Moriyasu, Hiroshi; Wee, Marvin; Yu, Jing - In: Pacific-Basin finance journal 49 (2018), pp. 103-128
Persistent link: https://www.econbiz.de/10012117677
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The economics of flash orders and trading
Harris, Lawrence E.; Namvar, Ethan - In: Journal of investment management : JOIM 14 (2016) 4, pp. 74-86
Persistent link: https://www.econbiz.de/10011691378
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Do high-frequency fleeting orders exacerbate market illiquidity?
Li, Kun - In: Electronic commerce research 18 (2018) 2, pp. 241-255
Persistent link: https://www.econbiz.de/10011864117
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Local market makers, liquidity and market quality
Kedia, Simi; Zhou, Xing - In: Journal of financial markets 14 (2011) 4, pp. 540-567
Persistent link: https://www.econbiz.de/10009260961
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The Role of Algorithmic Trading in Stock Liquidity and Commonality in Electronic Limit Order Markets
Moriyasu, Hiroshi - 2018
Using the adoption of the Arrowhead trading platform in January 2010 as an exogenous event, we investigate the effects of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the Tokyo Stock Exchange. After controlling for endogeneity,...
Persistent link: https://www.econbiz.de/10012922108
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The Role of Algorithmic Trading in Stock Liquidity and Commonality in Electronic Limit Order Markets
Moriyasu, Hiroshi - 2018
Using the adoption of the Arrowhead trading platform in January 2010 as an exogenous event, we investigate the effects of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the Tokyo Stock Exchange. After controlling for endogeneity,...
Persistent link: https://www.econbiz.de/10012938466