Results 251 to 260 of about 37,135 (293)

Are Algorithmic Trades Informed? An Empirical Analysis of Algorithmic Trading around Earnings Announcements

SSRN Electronic Journal, 2012
This study examines the impact of corporate earnings announcements on trading activity and speed of price adjustment, analyzing algorithmic and non–algorithmic trades during the immediate period pre– and post– corporate earnings announcements. We confirm that algorithms react faster and more correctly to announcements than non–algorithmic traders ...
Alex Frino, Tina Viljoen, George H. K. Wang, P. Joakim Westerholm, Hui Zheng   +4 more
openaire   +1 more source

Algorithmic Trading and Fragmentation

The Journal of Trading, 2017
Prior studies on algorithmic trading (AT) have mostly focused on a single exchange. The authors use a public dataset provided by the Securities and Exchange Commission (SEC) covering all major U.S. exchanges to study the impact of AT and its fragmentation on market liquidity.
Archana Jain, Chinmay Jain, Christine X. Jiang   +2 more
openaire   +1 more source

Optimal Trading Stops and Algorithmic Trading

SSRN Electronic Journal, 2014
Trading stops are often used by traders to risk manage their positions. In this note, we show how to derive optimal trading stops for generic algorithmic trading strategies when the P&L of the position is modelled by a Markov modulated diffusion. Optimal stop levels are derived by maximising the expected discounted utility of the P&L.
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Algorithmic trading and high frequency trading /

2017
Thesis (PhD(Finance and related studies A))--University of South Australia, 2017. Includes bibliographical references (pages 121-135) This thesis provides one standalone survey essay and three empirical essays on algorithmic trading (AT) and its effect on market qualities.
openaire   +3 more sources

Mispricing and Algorithm Trading

Information Systems Research
This study relaxes the efficient market hypothesis by introducing a model that accounts for initial mispricing and explores the effects of algorithmic trading. The research finds that algorithmic strategies can cause significant market volatility and affect financial stability, particularly when they amplify overpricing, leading to bubbles and crashes.
Lihong Zhang, Xiaoquan (Michael) Zhang
openaire   +1 more source

Algorithmic Trading in Practice

2018
The use of computer algorithms in securities trading, or algorithmic trading, has become a central factor in modern financial markets. The desire for cost and time savings within the trading industry spurred buy side as well as sell side institutions to implement algorithmic services along the entire securities trading value chain.
Peter Gomber, Kai Zimmermann
openaire   +1 more source

Algorithmic Trading Strategy Making

2011
Algorithmic trading strategy making is a very important research issue which attracts more and more people’s interests. This chapter will introduce several principal algorithms for algorithmic trading strategy making. How to design a trading strategy will also be discussed.
Xiaotie Deng, Feng Wang, Keren Dong
openaire   +1 more source

Algorithmic Trading and High-Frequency Trading (HFT)

2017
Abstract This chapter analyses the MiFID II rules on algorithmic trading (AT), including high-frequency trading (HFT). The author argues that AT raises serious issues of volatility and systemic risk, and HFT issues of systematic front-running of investors.
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Trading Orders Algorithm Development

2017
The chapter puts into the business of financial markets area in greater detail at FOREX currency market. It describes the main methods used for in currencies trade. The main goal of this paper is to explain the principle of creating an Automated Trading System (ATS) with the MQL4 language.
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Algorithmic Trading of Portfolios

SSRN Electronic Journal, 2017
We develop a portfolio trading strategy that aims to achieve optimal performance against arrival prices by minimizing market impact and risk. We first lay the groundwork by formulating a single-security trading strategy and then generalize the framework to the portfolio trading context.
openaire   +1 more source