dc.creator | Zhou, Hao | |
dc.creator | Kalev, Petko S. | |
dc.creator | Frino, Alex | |
dc.date.accessioned | 2020-08-24T14:47:14Z | |
dc.date.accessioned | 2022-09-23T18:46:21Z | |
dc.date.available | 2020-08-24T14:47:14Z | |
dc.date.available | 2022-09-23T18:46:21Z | |
dc.date.created | 2020-08-24T14:47:14Z | |
dc.identifier | https://doi.org/10.1016/j.pacfin.2020.101358 | |
dc.identifier | http://hdl.handle.net/20.500.12010/12136 | |
dc.identifier | https://doi.org/10.1016/j.pacfin.2020.101358 | |
dc.identifier.uri | http://repositorioslatinoamericanos.uchile.cl/handle/2250/3507116 | |
dc.description.abstract | 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. | |
dc.language | eng | |
dc.publisher | Pacific-Basin Finance Journal | |
dc.rights | info:eu-repo/semantics/embargoedAccess | |
dc.rights | Acceso restringido | |
dc.source | reponame:Expeditio Repositorio Institucional UJTL | |
dc.source | instname:Universidad de Bogotá Jorge Tadeo Lozano | |
dc.subject | Algorithmic trading | |
dc.subject | Order imbalance | |
dc.subject | Turbulent markets | |
dc.subject | Volume-weighted average price | |
dc.subject | Price swing | |
dc.title | Algorithmic trading in turbulent markets | |