Judgment Day: Algorithmic Trading Around the Swiss Franc Cap Removal

نویسندگان

چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Speed, algorithmic trading, and market quality around macroeconomic news announcements

This paper documents that speed is crucially important for high-frequency trading strategies based on U.S. macroeconomic news releases. Using order-level data on the highly liquid S&P 500 ETF traded on NASDAQ from January 6, 2009 to December 12, 2011, we find that a delay of 300 ms or more significantly reduces returns of news-based trading strategies. This reduction is greater for high impact ...

متن کامل

Intention-Disguised Algorithmic Trading

We propose a general model underlying the problem of designing trading strategies that leak no information to frontrunners and other exploiters. We study major scenarios in the market and design a family of algorithms that can be proven to leak no information in important scenarios. These algorithms can serve as building blocks for more challenging real-world scenarios beyond our current scope....

متن کامل

Algorithmic Trading and Information

We examine algorithmic trades (AT) and their role in the price discovery process in the 30 DAX stocks on the Deutsche Boerse in January 2008. AT liquidity demand represents 52% of volume and AT supplies liquidity on 50% of volume. AT act strategically by monitoring the market for liquidity and deviations of price from fundamental value. AT consume liquidity when it is cheap and supply liquidity...

متن کامل

Technological Innovations in Securities Trading: The Adoption of Algorithmic Trading

Technological innovations currently alter the traditional value chain in securities trading. Investment companies that used to buy trading services from their brokers are now enabled by technology to emulate core competencies of their brokers themselves. To investigate the adoption decision regarding one of those new technologies – Algorithmic Trading – a survey among the top European buy-side ...

متن کامل

Does Algorithmic Trading Improve Liquidity

Does Algorithmic Trading Improve Liquidity? Algorithmic trading has sharply increased over the past decade. Equity market liquidity has improved as well. Are the two trends related? For a recent five-year panel of New York Stock Exchange (NYSE) stocks, we use a normalized measure of electronic message traffic as a proxy for algorithmic liquidity supply and trace the associations between liquidi...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Social Science Research Network

سال: 2022

ISSN: ['1556-5068']

DOI: https://doi.org/10.2139/ssrn.4113004