Algorithmic trading in turbulent markets
Does Algorithmic Trading (AT) exacerbate price swings in turbulent markets? We find that stocks with high AT experience less price drops (surges) on days when the market declines (increases) for more than 2%. This result is consistent with the view that AT minimizes price pressures and mitigates tra...
- Autores:
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 2020
- Institución:
- Universidad de Bogotá Jorge Tadeo Lozano
- Repositorio:
- Expeditio: repositorio UTadeo
- Idioma:
- eng
- OAI Identifier:
- oai:expeditiorepositorio.utadeo.edu.co:20.500.12010/12136
- Acceso en línea:
- https://doi.org/10.1016/j.pacfin.2020.101358
http://hdl.handle.net/20.500.12010/12136
- Palabra clave:
- Algorithmic trading
Order imbalance
Turbulent markets
Volume-weighted average price
Price swing
Síndrome respiratorio agudo grave
COVID-19
SARS-CoV-2
Coronavirus
- Rights
- License
- Acceso restringido
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| dc.title.spa.fl_str_mv |
Algorithmic trading in turbulent markets |
| title |
Algorithmic trading in turbulent markets |
| spellingShingle |
Algorithmic trading in turbulent markets Algorithmic trading Order imbalance Turbulent markets Volume-weighted average price Price swing Síndrome respiratorio agudo grave COVID-19 SARS-CoV-2 Coronavirus |
| title_short |
Algorithmic trading in turbulent markets |
| title_full |
Algorithmic trading in turbulent markets |
| title_fullStr |
Algorithmic trading in turbulent markets |
| title_full_unstemmed |
Algorithmic trading in turbulent markets |
| title_sort |
Algorithmic trading in turbulent markets |
| dc.subject.spa.fl_str_mv |
Algorithmic trading Order imbalance Turbulent markets Volume-weighted average price Price swing |
| topic |
Algorithmic trading Order imbalance Turbulent markets Volume-weighted average price Price swing Síndrome respiratorio agudo grave COVID-19 SARS-CoV-2 Coronavirus |
| dc.subject.lemb.spa.fl_str_mv |
Síndrome respiratorio agudo grave COVID-19 SARS-CoV-2 Coronavirus |
| description |
Does Algorithmic Trading (AT) exacerbate price swings in turbulent markets? We find that stocks with high AT experience less price drops (surges) on days when the market declines (increases) for more than 2%. This result is consistent with the view that AT minimizes price pressures and mitigates transitory pricing errors. Further analyses show that the net imbalances of AT liquidity demand and supply orders have smaller price impacts compared to non-AT net order imbalances and algorithmic traders reduce their price pressure by executing their trades based on the prevailing volume-weighted average prices. |
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2020 |
| dc.date.accessioned.none.fl_str_mv |
2020-08-24T14:47:14Z |
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2020-08-24T14:47:14Z |
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2020 |
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Artículo |
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http://purl.org/coar/resource_type/c_6501 |
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http://purl.org/coar/resource_type/c_6501 |
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https://doi.org/10.1016/j.pacfin.2020.101358 |
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http://hdl.handle.net/20.500.12010/12136 |
| dc.identifier.doi.spa.fl_str_mv |
https://doi.org/10.1016/j.pacfin.2020.101358 |
| url |
https://doi.org/10.1016/j.pacfin.2020.101358 http://hdl.handle.net/20.500.12010/12136 |
| dc.language.iso.spa.fl_str_mv |
eng |
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eng |
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http://purl.org/coar/access_right/c_f1cf |
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Acceso restringido |
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Acceso restringido http://purl.org/coar/access_right/c_f1cf |
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27 páginas |
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text/html |
| dc.publisher.spa.fl_str_mv |
Pacific-Basin Finance Journal |
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reponame:Expeditio Repositorio Institucional UJTL instname:Universidad de Bogotá Jorge Tadeo Lozano |
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2020-08-24T14:47:14Z2020-08-24T14:47:14Z2020https://doi.org/10.1016/j.pacfin.2020.101358http://hdl.handle.net/20.500.12010/12136https://doi.org/10.1016/j.pacfin.2020.101358Does Algorithmic Trading (AT) exacerbate price swings in turbulent markets? We find that stocks with high AT experience less price drops (surges) on days when the market declines (increases) for more than 2%. This result is consistent with the view that AT minimizes price pressures and mitigates transitory pricing errors. Further analyses show that the net imbalances of AT liquidity demand and supply orders have smaller price impacts compared to non-AT net order imbalances and algorithmic traders reduce their price pressure by executing their trades based on the prevailing volume-weighted average prices.27 páginastext/htmlengPacific-Basin Finance Journalreponame:Expeditio Repositorio Institucional UJTLinstname:Universidad de Bogotá Jorge Tadeo LozanoAlgorithmic tradingOrder imbalanceTurbulent marketsVolume-weighted average pricePrice swingSíndrome respiratorio agudo graveCOVID-19SARS-CoV-2CoronavirusAlgorithmic trading in turbulent marketsArtículohttp://purl.org/coar/resource_type/c_6501Acceso restringidohttp://purl.org/coar/access_right/c_f1cfZhou, HaoKalev, Petko S.Frino, AlexORIGINALCaptura.PNGCaptura.PNGVer portadaimage/png99261https://expeditiorepositorio.utadeo.edu.co/bitstream/20.500.12010/12136/1/Captura.PNGbcd00b5f289f97de59148a234a8cbab0MD51open accessAlgorithmic-trading-in-turbulent-markets_2020_Pacific-Basin-Finance-Journal.pdfAlgorithmic-trading-in-turbulent-markets_2020_Pacific-Basin-Finance-Journal.pdfArtículo reservadoapplication/pdf3158916https://expeditiorepositorio.utadeo.edu.co/bitstream/20.500.12010/12136/3/Algorithmic-trading-in-turbulent-markets_2020_Pacific-Basin-Finance-Journal.pdf39bed1c725cb7aa1bd338fb5480773dbMD53embargoed access|||2200-08-24LICENSElicense.txtlicense.txttext/plain; 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