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dc.contributor.authorGomber, Peteren_US
dc.contributor.authorGsell, Markusen_US
dc.date.accessioned2009-08-07en_US
dc.date.accessioned2010-12-15T09:21:40Z-
dc.date.available2010-12-15T09:21:40Z-
dc.date.issued2009en_US
dc.identifier.piurn:nbn:de:hebis:30-63808-
dc.identifier.urihttp://hdl.handle.net/10419/43202-
dc.description.abstractAfter 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 real-time market data. Although there is a widespread discussion on the pros and cons of Algorithmic Trading and on its impact on market volatility and market quality, little is known on how algorithms actually place their orders in the market and whether and in which respect this differs form other order submissions. Based on a dataset that for the first time includes a specific flag to enable the identification of orders submitted by Algorithmic Trading engines, the paper investigates the extent of Algorithmic Trading activity and specifically their order placement strategies in comparison to human traders in the Xetra trading system. It is shown that Algorithmic Trading has become a relevant part of overall market activity and that Algorithmic Trading engines fundamentally differ from human traders in their order submission, modification and deletion behavior as they exploit real-time market data and latest market movements.en_US
dc.language.isoengen_US
dc.publisherCenter for Financial Studies Frankfurt, Mainen_US
dc.relation.ispartofseriesCFS Working Paper 2009/10en_US
dc.subject.jelD0en_US
dc.subject.ddc330en_US
dc.subject.keywordElectronic Marketsen_US
dc.subject.keywordAlgorithmic Tradingen_US
dc.subject.keywordOrder Submissionen_US
dc.subject.keywordSecurities Tradingen_US
dc.subject.stwWertpapierhandelen_US
dc.subject.stwElektronisches Handelssystemen_US
dc.subject.stwBörsenmakleren_US
dc.subject.stwVergleichen_US
dc.subject.stwAuftragsabwicklungen_US
dc.subject.stwDeutschlanden_US
dc.titleAlgorithmic trading engines versus human traders: Do they behave different in securities markets?en_US
dc.typeWorking Paperen_US
dc.identifier.ppn606241728en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfswop:200910-
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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