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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.


Papers
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Journal ArticleDOI
TL;DR: In this paper, the effect of derivatives (futures and options) in the Spanish market on the volatility and on the trading volume of the underlying index was analyzed, which covers from October 1990 to December 1994.
Abstract: This paper analyses the effect of the introduction of derivatives (futures and options) in the Spanish market on the volatility and on the trading volume of the underlying index. The period analysed covers from October 1990 to December 1994. To study this effect, a GJR model is used. It is found, that although the asymmetry coefficient has increased, the conditional volatility of the underlying index declines after derivative markets are introduced. The trading volume of Ibex-35 increases significantly. Consequently, the introduction of the derivative contracts in Spain confirms a decrease in uncertainty in the underlying market and an increase in liquidity, which possibly enhances their efficiency.

85 citations

Journal ArticleDOI
TL;DR: This paper developed an equilibrium model of trader behavior that relates uninformed CIT trading to futures prices and found evidence that index traders have become an important supply of price risk insurance, which reduces the cost of hedging.

85 citations

Journal ArticleDOI
TL;DR: In this paper, the applicability and validity of trading rules in the Hang Seng Index on the Hong Kong Stock Exchange for the period January 1985 to June 1997, and for two subsamples of equal length, partitioned from the whole sample.
Abstract: The paper investigates the applicability and validity of trading rules in the Hang Seng Index on the Hong Kong Stock Exchange for the period January 1985 to June 1997, and for two subsamples of equal length, partitioned from the whole sample. It is concluded that the Moving Average Oscillator and the Trading Range Break-out rules appear to be present, to varying extents, for all three data samples, although the Trading Range Break-out rule is by far the strongest. In terms of implementation, it is suggested that both the Moving Average Oscillator and Trading Break-out rules, would fail to provide positive abnormal returns, net of transaction costs and the associated opportunity costs of investing. Results are such that statistical significance can be shown when the rules are applied to data periods shorter than used in previous studies. Finally, it is suggested that because there is a tendency for potentially ‘profitable’ trading rules, once documented, to cease existing, further research concerning the H...

85 citations

Book ChapterDOI
TL;DR: In the early 1990s, exchange traded funds (ETFs) as mentioned in this paper were introduced to U.S. and Canadian stock exchanges, and they became one of the most successful financial innovation since the advent of financial futures.
Abstract: One of the most spectacular successes in financial innovation since the advent of financial futures is probably the creation of exchange traded funds (ETFs). As index funds, they aim at replicating the performance of their benchmark indices as closely as possible. Contrary to conventional mutual funds, however, ETFs are listed on an exchange and can be traded intradaily. Issuers and exchanges set forth the diversification opportunities they provide to all types of investors at a lower cost, but also highlight their tax efficiency, transparency, and low management fees. All of these features rely on a specific “in-kind” creation and redemption principle: New shares can continuously be created by depositing a portfolio of stocks that closely approximates the holdings of the fund; similarly, investors can redeem outstanding ETF shares and receive the basket portfolio in return. Holdings are transparent since fund portfolios are disclosed at the end of the trading day. ETFs were introduced to U.S. and Canadian exchanges in the early 1990s. In the first several years, they represented a small fraction of the assets under management in index funds. However, the 132% average annual growth rate of ETF assets from 1995 through 2001 (Gastineau, 2002) illustrates the increasing importance of these instruments. The launching of Cubes in 1999 was accompanied by a spectacular growth in trading volume, making the major ETFs the most actively traded equity securities on the U.S. stock exchanges. Since then, ETF markets have continued to grow, not only in the number and variety of products, but also in terms of assets and market value. Initially, they aimed at replicating broad-based stock indices; new ETFs extended their fields to sectors, international markets, fixed-income instruments, and, lately, commodities. By the end of 2005, 453 ETFs were listed around the world, for assets worth $343 billion. In the United States, overall ETF assets totaled $296.02 billion, compared to $8.9 trillion in mutual funds.

85 citations

Journal ArticleDOI
TL;DR: In this paper, the authors examined the implications of short-sales constraints and heterogeneous beliefs on stock prices and trading volume in China and found that trading caused by investors' speculative motive can help explain a significant fraction of the price difference between the dual-class shares.
Abstract: The market dynamics of technology stocks in the late nineties has stimulated a growing body of theories that analyze the joint effects of short-sales constraints and heterogeneous beliefs on stock prices and trading volume. This paper examines implications of these theories using a unique data sample from China, a market with stringent short-sales constraints and perfectly segmented dual-class shares. The identical rights of the dual-class shares allow us to control for stock fundamentals. We find that trading caused by investors' speculative motive can help explain a significant fraction of the price difference between the dual-class shares.

85 citations


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Performance
Metrics
No. of papers in the topic in previous years
YearPapers
202397
2022190
2021144
2020167
2019126
2018160