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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
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| Title: | | Analysis of binary trading patterns in Xetra  |
| 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 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CFS Working Paper Series, Universität Frankfurt a. M.
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