Name
Abstract | ||
|---|---|---|
The emergence of IT-based trading activities like algorithmic trading or high-frequency trading alters the traditional trading environment within financial markets. Thus, the question arises whether this technological arms race positively affects market quality or represents a risk related to market integrity. Within this study, we evaluate the order-to-trade-ratio for measuring overall ITbased trading activity. Furthermore, in a longitudinal study, we assess the impact of the order-to-trade-ratio on market quality. We find strong indications that price uncertainty has decreased with an increased order-to-trade-ratio and therefore has a positive impact on financial markets. However, the mere upgrade of the trading systems does not relate into increased market liquidity. |
Year | Venue | Keywords |
|---|---|---|
2013 | Wirtschaftsinformatik | high frequency trading,algorithmic trading |
Field | DocType | Citations |
Trading strategy,Market microstructure,Trading turret,High-frequency trading,Computer science,Knowledge management,Alternative trading system,Monetary economics,Electronic trading,Dark liquidity,Finance,Algorithmic trading | Conference | 1 |
PageRank | References | Authors |
0.36 | 9 | 3 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Martin Haferkorn | 1 | 9 | 4.55 |
| Kai Zimmermann | 2 | 1 | 0.70 |
| Michael Siering | 3 | 71 | 10.51 |