EconStor >
Goethe-Universität Frankfurt am Main >
Center for Financial Studies (CFS), Universität Frankfurt a. M.  >
CFS Working Paper Series, Universität Frankfurt a. M. >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/43245
  
Title:Analysis of binary trading patterns in Xetra PDF Logo
Authors:Maurer, Kai-Oliver
Schäfer, Carsten
Issue Date:2010
Series/Report no.:CFS Working Paper 2010/12
Abstract:This paper proposes the Shannon entropy as an appropriate one-dimensional measure of behavioural trading patterns in financial markets. The concept is applied to the illustrative example of algorithmic vs. non-algorithmic trading and empirical data from Deutsche Börse's electronic cash equity trading system, Xetra. The results reveal pronounced differences between algorithmic and non-algorithmic traders. In particular, trading patterns of algorithmic traders exhibit a medium degree of regularity while non-algorithmic trading tends towards either very regular or very irregular trading patterns.
Subjects:Financial Markets
Electronic Markets
Algorithmic Trading
Order Entry
Equity Trading
Information Theory
Entropy Measure
JEL:C40
D0
G14
G15
G20
Persistent Identifier of the first edition:urn:nbn:de:hebis:30-78648
Document Type:Working Paper
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

Files in This Item:
File Description SizeFormat
630565058.pdf254.3 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/43245

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.