Topic
Algorithmic trading
About: Algorithmic trading is a research topic. Over the lifetime, 6718 publications have been published within this topic receiving 162209 citations. The topic is also known as: algotrading & Algorithmic trading.
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TL;DR: In this article, the authors apply the original variance bounds tests to the present value model for the U.K. stock market and amend these tests to take account of revisions in the model's parameters.
Abstract: The authors apply the original variance bounds tests to the present value model for the U.K. stock market and amend these tests to take account of revisions in the model's parameters. They show that variance bounds tests that correct for this are no longer violated. However, they claim there is excess volatility if agents, restricted to using only current information to compute a trading rule, could make excess profits. They show that a trading rule exists which yields, in the long run, more than twice the wealth from buying than holding a representative market portfolio. Copyright 1989 by Royal Economic Society.
63 citations
TL;DR: In this article, the authors outline the players in the foreign exchange market and the structure of their interactions and present new evidence on how that structure has changed over the past two decades.
Abstract: Electronic trading has transformed foreign exchange markets over the past decade, and the pace of innovation only accelerates. This formerly opaque market is now fairly transparent and transaction costs are only a fraction of their former level. Entirely new agents have joined the fray, including retail and high-frequency traders, while foreign exchange trading volumes have tripled. Market concentration among dealers has risen reflecting the heavy investments in technology. Undeterred, some new non-bank market participants have begun to make markets, challenging the traditional foreign exchange dealers on their own turf. This paper outlines the players in this market and the structure of their interactions. It also presents new evidence on how that structure has changed over the past two decades. Throughout, it highlights issues relevant to exchange rate modelling.
63 citations
TL;DR: In this article, the authors examined the efficiency of emissions trading in bilateral and clearinghouse markets with heterogeneous, boundedly rational agents making decisions under imperfect and asymmetric information, and transaction costs.
62 citations
Posted Content•
01 Mar 1998-Journal of Institutional and Theoretical Economics-zeitschrift Fur Die Gesamte Staatswissenschaft
TL;DR: In this paper, the authors develop a theory of ownership structure based on the notion that corporate control and secondary market liquidity are not perfectly compatible with each other, and analyze the tradeoff between these two objectives for two different ownership structures: the privately held firm, characterized by restricted trading opportunities for owners and non-anonymous trading, and the publicly traded firm where trading opportunities are unrestricted and trading is anonymous.
Abstract: The paper develops a theory of ownership structure based on the notion that corporate control and secondary market liquidity are not perfectly compatible with each other. We analyze the tradeoff between these two objectives for two different ownership structures: the privately held firm, which is characterized by restricted trading opportunities for owners and non-anonymous trading, and the publicly traded firm where trading opportunities are unrestricted and trading is anonymous. We develop pricing formulas for each structure, compare these with each other, and derive predictions for optimal ownership design, depending on the institutional structure of the capital market. (JEL: G 32, D 23).
62 citations
TL;DR: In this article, the authors employed a joint variance ratio test and technical trading rules to examine the random walk behavior for nine Asian foreign exchange rates for the period 1988-1995, concluding that there is little evidence of serial correlations in the daily exchange rate series.
62 citations