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Investigating intertrade durations using copulas : an experiment with NASDAQ data

Chakravary, Ranjan R.; Pani, Sudhanshu - In: Algorithmic finance 9 (2022) 3/4, pp. 81-102

Persistent link: https://www.econbiz.de/10013459970

A game of hide-and-seek between proprietary and buy-side algorithmic traders : causal links with market quality

Arumugam, Devika; Prasanna, P. Krishna - In: Applied economics 53 (2021) 41, pp. 4788-4798

Persistent link: https://www.econbiz.de/10012609877

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

Public information arrival : price discovery and liquidity in electronic limit order markets

Riordan, Ryan; Storkenmaier, Andreas; Wagener, Martin; … - In: Journal of banking & finance 37 (2013) 4, pp. 1148-1159

Persistent link: https://www.econbiz.de/10009716239

The Role of Algorithmic Trading in Stock Liquidity and Commonality in Electronic Limit Order Markets

Moriyasu, Hiroshi - 2018

of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the … Tokyo Stock Exchange. After controlling for endogeneity, we find algorithmic trading increases stock liquidity by narrowing … spreads and increasing market depth. Furthermore, algorithmic trading increases commonality in liquidity at both high and low …

Persistent link: https://www.econbiz.de/10012938466