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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.


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Journal ArticleDOI
TL;DR: In this paper, the authors argue that differences in the exclusivity, liquidity, anonymity, and post-trade transparency of each system permit a more efficient sorting of interdealer trades than if there were just one system.
Abstract: This article asks why London security dealers use more than one trading venue to trade with one another. We argue that differences in the exclusivity, liquidity, anonymity, and post-trade transparency of each system permit a more efficient sorting of interdealer trades than if there were just one system. Our evidence comes from detailed data on where London dealers chose to place interdealer trades. Contrary to intuition, we show that uninformed interdealer trades (as measured by subsequent price impact) tend to migrate to third-party brokered systems where trade is anonymous. By contrast, informed interdealer trades tend to migrate to the direct, nonanonymous public market. Additionally, we show that this distribution of trades is supported by differences in the price improvement dealers receive in the direct and brokered markets. Our findings have implications for three strands of the market microstructure literature. First, they contribute to our understanding of the importance of anonymity and transparency in securities trading. Most theoretical models of the effects of anonymity and transparency predict that anonymous trading systems will attract more informed trades

75 citations

Journal ArticleDOI
TL;DR: In this paper, an econometric analysis of the information content of automated orders arriving at the New York Stock Exchange is presented. And the results indicate that orders contain information useful in predicting stock returns beyond the information contained in the reported trades, suggesting that these orders are not merely passive conveyors of common factor information.

75 citations

Journal ArticleDOI
Shmuel Baruch1
TL;DR: In this article, a continuous time version of Holden and Subrahmanyam (1994) 181) was introduced by introducing risk aversion on the side of the monopolist informed trader and allowing for the liquidity traders instantaneous demand to depend on cost of trading, as well as on the risk of the stock.

75 citations

Journal ArticleDOI
TL;DR: In this article, the authors examined the profitability of several simple technical trading rules for 16 European stock markets over the 1990 to 2006 period and found that increasing moving average rules indeed have predictive power being able to discern recurring price patterns for profitable trading, even after accounting for the effects of data snooping bias.
Abstract: This article examines the profitability of several simple technical trading rules for 16 European stock markets over the 1990 to 2006 period. Our results indicate that increasing moving average rules indeed have predictive power being able to discern recurring price patterns for profitable trading, even after accounting for the effects of data snooping bias. To assess the profitability of different technical trading rules and strategies, we adopt the White's (2000) Reality Check (RC) test that quantifies the data snooping bias and adjusts for its effects. Our empirical results also support the hypothesis that technical trading rules can outperform the buy and hold strategy after accounting for transaction costs.

75 citations

Journal ArticleDOI
TL;DR: In this paper, the authors examine intraday price leadership across the S&P 500, NYSE Composite, and MMI futures, and across the respective cash indexes, and find that, among the futures, the SP 500 exhibits price leadership over the other index futures, whereas among the cash indexes the MMI leads.
Abstract: The focus of this article is to test the trading cost hypothesis of price leadership, which predicts that the market with the lowest overall trading costs will react most quickly to new information. In an attempt to hold market microstructure effects constant and in contrast to previous studies, we examine intraday price leadership across the S&P 500, NYSE Composite, and MMI futures, and across the respective cash indexes—rather than between each futures and its associated cash index. We find that, among the futures, the S&P 500 exhibits price leadership over the other index futures, whereas among the cash indexes the MMI leads. Both findings are consistent with the trading cost hypothesis. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 475–498, 1999

74 citations


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