Algorithmic trading and high frequency trading /
Algorithmic trading and high frequency trading /
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. The survey essay reviews the theoretical, empirical, and policy studies on algorithmic and high frequency trading. We review the theoretical literature relating to : (1) market maker-taker dynamics, (2) information content of trades and quotes, and (3) recently incurred or proposed market structural changes. We aim to provide a comprehensive roadmap for future research by surveying the empirical literature with an emphasis on how data and causal events can be identified. Our conclusion includes a brief discussion of policy implications and suggestions for future work.
- University of South Australia Australia
Program trading (Securities)., Algorithms., Investment analysis.
Program trading (Securities)., Algorithms., Investment analysis.
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