In this paper, we investigate the role of proprietary algorithmic traders in facilitating liquidity in a limit order market. Using the order level data from National Stock Exchange of India, we find that they increase limit order supply following periods of high short-term volatility or periods...

We investigate the role of proprietary algorithmic traders (PAT) in facilitating liquidity in a limit order market. Using the order level data from NSE of India, we find that they increase limit order supply following periods of high short-term stock-specific volatility, periods of high...

In this paper, we investigate the role of proprietary algorithmic traders in facilitating liquidity in a limit order market. We find that they rarely use liquidity removing market orders. Their ability to affect the bid-ask spread with order cancellation rates is maximum among three mutually...

Using transactions-based calendar –time (TBCT) portfolio analysis, we investigate informativeness of trades of investor categories, viz institutions, proprietary traders and retail-clients. We find that trade informativeness is positive for institutional and negative for retail-client...

By adverse-selecting liquidity providers, toxic order flow harms liquidity. We empirically examine which components of modern markets' net flow of orders convey information and signal toxicity. We find that the net flow of non-marketable orders is more informative than the trade-initiator-based...