haku: @indexterm ALGORITHMS / yhteensä: 403
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Tekijä: | Prix, J. Loistl, O. Huetl, M. |
Otsikko: | Algorithmic trading patterns in Xetra orders |
Lehti: | European Journal of Finance
2007 : OCT/DEC, VOL. 13:7-8, p. 717-739 |
Asiasana: | investment banks markets trading algorithms stock exchanges Germany |
Kieli: | eng |
Tiivistelmä: | In investment banking, "Algorithmic trading" (here as: A-T.), that is, computerized trading controlled by algorithms, has got a fashionable term. This paper explores a set of Xetra order data to find traces of A-T. by studying the lifetimes of cancelled orders. There are systematic patterns found in the submission and cancellation of certain Xetra orders, indicating the activity of A-T. The trading patterns observed might be interpreted as fishing for profitable roundtrips. |
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