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Modeling Asset Prices for Algorithmic and High Frequency Trading

Cartea, Álvaro - 2014

price impact as measured by the volatility of price innovations …

Persistent link: https://www.econbiz.de/10013068921

Cespa, Giovanni - 2017

We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity consumption decisions traders demand more liquidity...

Persistent link: https://www.econbiz.de/10012963014

Market Liquidity : A Study from Proprietary Algorithmic Traders Perspective

Banerjee, Ashok - 2016

following periods of high short-term volatility or periods of extreme stock movement. We define HFT as a subclass of proprietary … with the theory that fast traders leave the market when stress situations arise, although their limit order supplying … behaviour becomes neutral when short-term volatility is more informational than transactional. The agency algorithmic traders …

Persistent link: https://www.econbiz.de/10013000937

High Frequency Trading and Fragility

Cespa, Giovanni - 2017

Persistent link: https://www.econbiz.de/10012956200

Does Algorithmic Trading Deter Information Acquisition?

Weller, Brian - 2018

Abstract I demonstrate an important tension between acquiring information and incorporating it into asset prices. As a salient case, I analyze the rise of algorithmic trading (AT), which is typically associated with improved price efficiency. Using a new measure of the information content of...

Persistent link: https://www.econbiz.de/10012936927

Market Liquidity : A Study from Proprietary Algorithmic Traders Perspective

Banerjee, Ashok - 2016

following a period of high short-term volatility. This is inconsistent with the theory that fast traders leave the market when … stress situations arise, although their limit order supplying behaviour becomes neutral when short-term volatility is more …

Persistent link: https://www.econbiz.de/10013002949

Spot Arbitrage in FX Market and Algorithmic Trading : Speed is Not of the Essence

Mahmoodzadeh, Soheil - 2020

We examine the role of algorithmic traders as arbitrageurs and their impact on price efficiency in the interdealer foreign exchange market. Algorithmic traders do not improve price efficiency by detecting and exploiting mis-priced currency pairs. To the contrary, algorithmic traders contribute...

Persistent link: https://www.econbiz.de/10012853730

Do High-Frequency Traders Anticipate Buying and Selling Pressure?

Hirschey, Nicholas - 2020

This study provides evidence that high-frequency traders (HFTs) identify patterns in past trades and orders that allow them to anticipate and trade ahead of other investors' order flow. Specifically, HFTs' aggressive purchases and sales lead those of other investors, and this effect is stronger...

Persistent link: https://www.econbiz.de/10012857087

Electronic Market Makers, Trader Anonymity and Market Fragility

Raman, Vikas - 2014

and their liquidity provision in periods of significantly high and persistent volatility, in periods of significantly high …

Persistent link: https://www.econbiz.de/10013053087

High-Frequency Trading and its Impact on Market Liquidity : A Review of Literature

Ersan, Oguz; Dalgic, Nihan; Ekinci, Cumhur; Bodur, Mehmet - 2021

High-frequency trading (HFT) has been dominating the activity in developed financial markets in the last two decades. Despite its recent formation, the literature on the impacts of HFT on financial markets and participants is broad. However, there are ongoing debates and unanswered questions...

Persistent link: https://www.econbiz.de/10013244236