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Algorithmic Trading and Liquidity Commonality [PDF]
SSRN Electronic Journal, 2011 Although previous research has documented a low intraday liquidity commonality across stocks, it has grown over the past decade. Using the introduction of hybrid market in the New York Stock Exchange, I show that at least a part of this growth can be attributed to an increase in algorithmic trading; hybridization increases the 5-minute liquidity ...
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Algorithmic Trading based on Biologically Inspired Algorithms
2018The chapter discusses algorithmic trading, which refers to any automated process, consisting of a number of interconnected components, whose main aim is to perform financial transactions of any kind. Its chief advantage lies in the fact that human intervention is minimized to an acceptable extent.
Georgios Dounias, Vassilios Vassiliadis
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Liquidity and Algorithmic Trading in Brazil
SSRN Electronic Journal, 2019This paper provides evidence of the effect of algorithmic trading (AT) in the liquidity of the Brazilian equity market. A wide debate on the literature asserts that AT may be both beneficial and harmful to market quality. The results of our econometric estimates for a sample of 47 stocks through mid-2017 to mid-2018 show that when a larger horizon is ...
Marcelo Perlin, Henrique Pinto Ramos
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Algorithmic Trading and Market Regulation
2018This chapter examines the interaction between automated, algorithmic markets and fundamental legal concepts in securities regulation, an area to which policy-makers have devoted little attention. Recent advances in communication technology have facilitated the rapid rise of algorithmic trading and automated market mechanics.
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Introduction to backtesting and algorithmic trading
2020Smita Roy Trivedi, Ashish H. Kyal
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