represent its worthiness if it is completed before the deadline. For example, consider a stock trading system of an investment consulting company that allows customers to make their orders of the stocks, each customer may set a deadline for the completion of the order transaction. The commission of the company is a percent (say 3%) of the dealed stock price for each transaction. From the standp...

Acquisition announcements generate predictable movements in the price of the acquirer’s stock. For example, post-announcement returns are typically negative for high Tobin’s q acquirers, stock transactions, and foreign targets, but positive for private equity-backed private targets. Pre-announcement trading of acquirer’s stock is more likely to be attributable to insider trading when the pre-an...

Being equipped with a unique high-frequency dataset that enables us to precisely identify algorithmic trading (i.e. computergenerated) activity, we provide strong evidence that algorithmic trading does not exceedingly increases volatility, at least not more than human traders do. Our empirical analyses cover several potential reasons why algorithmic trading could increase volatility. For exampl...

In this paper, we discuss different concepts for transforming professional trading mechanisms for the increasing market of private investors. Different perspectives of this fundamental change in capital markets are discussed. The driver of these changes is IT: technological progress provides new ways for private investors to participate actively in the capital markets in order to take advantage...

After exchanges and alternative trading venues have introduced electronic execution mechanisms worldwide, the focus of the securities trading industry shifted to the use of fully electronic trading engines by banks, brokers and their institutional customers. These Algorithmic Trading engines enable order submissions without human intervention based on quantitative models applying historical and...

a r t i c l e i n f o In this work we propose a simple market model where some features of the Specialist System are analyzed. In particular, the specialist's obligation to display bid/ask quotes on the book within the bounds imposed by the Exchange is considered. The proposed model allows to analyze the effects of the specialist's interventions on the short term dynamics of bid/ask prices and ...

Most stock markets are characterized by a number of parallel operating trading systems which interact intensively with each other. Usually, smaller trading platforms take the leading domestic main market as a benchmark in the price discovery process and for closing open trading positions. But what happens if the smaller trading systems suddenly have to act without this benchmark platform? We ex...

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 ...

Information technology plays a major role to support the process of securities trading. Tactical trading decisions can be implemented more efficiently by gaining access to alternative trading systems, which provide access to additional liquidity and potentially better execution prices. This paper explores the business value provided by to so-called dark pools of liquidity, which can be accessed...