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SSRN Electronic Journal
Article
Data sources: UnpayWall
Research Papers in Economics
Preprint . 2009
Full-Text: http://www.netinst.org/Hendershott_Riordan_09-08.pdf
Data sources: Research Papers in Economics
SSRN Electronic Journal
Article . 2011 . Peer-reviewed
Data sources: Crossref
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Algorithmic Trading and Information

descriptionPublicationkeyboard_double_arrow_right Article , Preprint 01 Jan 2011 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068, Copyright policy )
Authors: Terrence Hendershott; Ryan Riordan;

doi: 10.2139/ssrn.1472050

Algorithmic Trading and Information

Abstract

We examine algorithmic trades (AT) and their role in the price discovery process in the 30 DAX stocks on the Deutsche Boerse. AT liquidity demand represents 52% of volume and AT supplies liquidity on 50% of volume. AT act strategically by monitoring the market for liquidity and deviations of price from fundamental value. AT consume liquidity when it is cheap and supply liquidity when it is expensive. AT contribute more to the efficient price by placing more efficient quotes and AT demanding liquidity to move the prices towards the efficient price.

Keywords

Algorithmic trading, information technology, price discovery, market microstructure, price efficiency, jel: jel:G1, jel: jel:D4, jel: jel:D8

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    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 65
    popularity
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    		 Top 10%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
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Powered by OpenAIRE graph
Found an issue? Give us feedback
selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
65
Top 10%
Top 10%
Top 1%
bronze