haku: @indexterm Algorithms / yhteensä: 403
viite: 1 / 403
« edellinen | seuraava »
| 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. |
« edellinen | seuraava »
SCIMA