The role of algorithmic trading in stock liquidity and commonality in electronic limit order markets

Moriyasu, Hiroshi; Wee, Marvin; Yu, Jing

doi:10.1016/j.pacfin.2018.04.004

Cited by 13 publications

(5 citation statements)

References 67 publications

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“…Algoritminės prekybos apibrėžimai svyruoja nuo labai bendro apibrėžimo kaip kompiuterinės prekybos, valdomos algoritmų, iki gana specifinės -kaip algoritminėje prekyboje kompiuteriai tiesiogiai sąveikauja su prekybos platformomis ir pateikia pavedimus be tiesioginio žmogaus įsikišimo. Kompiuteriai labai dažnai stebi rinkos duomenis ir galbūt kitą informaciją ir, remdamiesi įmontuotu algoritmu, siunčia prekybos instrukcijas, dažnai per milisekundę, naudodami daugybę algoritmų (Moriyasu et al, 2018).…”

Section: Ateities Sandorių Rinkos Teoriniai Aspektaiunclassified

Investavimas Į Ateities Sandorius Naudojant Monte Carlo Ir Sharpo Metodus

Maknickienė

Žolnerovičiūtė

2020

Lietuvos Jaunųjų Mokslininkų Konferencija „Mokslas – Lietuvos Ateitis”

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Pasaulinė išvestinių finansinių priemonių rinka yra dinamiškai augantis finansų rinkos segmentas. Nauji finansiniai produktai daro ekonominius santykius sudėtingesniais ir atsiranda naujų finansinių naujovių poreikis. Atsiranda pasaulinė tinklo ekonomika, kuri remiasi elektroninėmis jos veikimo sistemomis, per kelias sekundes perkelia milijardus dolerių į kitas rinkas. Ateities sandorių augimo dinamika pasaulyje per pastaruosius metus rodo, kad ši finansų rinkos dalis sparčiai vystosi. Maži transakcijų kaštai bei lengvas šių priemonių panaudojimas suteikia investuotojams daug galimybių kryptingai planuoti pinigų srautus bei siekti norimos grąžos. Dėl šios priežasties labai svarbu išanalizuoti ir tinkamai įvertinti ateities išvestinių sandorių galimas kainų kitimo kryptis ir tendencijas. Tam darbe sujungti du algoritmai, kaip paramos sistema investuotojui: prognozuojantis Monte Carlo metodas, kuris rodo atskirų instrumentų kitimo tendencijas, leidžia įžvelgti pirkimo ir pardavimo signalus, rinkos aktyvumą ir pasyvumą bei pasirinkti įėjimo į rinką laiką, kad prekyba būtų pelninga; kitas – optimizuojantis, leidžiantis sudaryti efektyvų portfelį, Sharpo metodas. Pasitelkiant šiais algoritminiais metodais bei jų rezultatais prognozuojamos ateities sandorių kainos ir sudaromas investicinis portfelis su tikėtina grąža ir mažesne rizika.

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Section: Ateities Sandorių Rinkos Teoriniai Aspektaiunclassified

Investavimas Į Ateities Sandorius Naudojant Monte Carlo Ir Sharpo Metodus

Maknickienė

Žolnerovičiūtė

2020

Lietuvos Jaunųjų Mokslininkų Konferencija „Mokslas – Lietuvos Ateitis”

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“…We selected the turnover (in currency) for each sampled stock on a given day as a proxy for trading activity, as detailed below. This yardstick was regularly used as a trading activity/liquidity proxy in prior studies such as Chordia et al (2001), Glaser and Weber (2007) and Moriyasu et al (2018). Indeed, Lo and Wang (2000) contended that share turnover is the most suitable indicator of trading activity, and it yields the clearest insights if two-fund separation theorem holds.…”

Section: Determinants Of Securities Trading Activitymentioning

confidence: 99%

The Determinants of Securities Trading Activity: Evidence from Four European Equity Markets

Camilleri

Galea

2019

SSRN Journal

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Purpose-The purpose of this paper is to obtain new empirical evidence about the connections between equity trading activity and five possible liquidity determinants: market capitalisation, dividend yield, earnings yield, company growth and the distinction between recently listed firms as opposed to more established ones. Design/methodology/approach-The authors use a sample of 172 stocks from four European markets and estimate models using the entire sample data and different sub-samples to check the relative importance of the above determinants. The authors also conduct a factor analysis to reclassify the variables into a more succinct framework. Findings-The evidence suggests that market capitalisation is the most important trading activity determinant, and the number of years listed ranks thereafter. Research limitations/implications-The positive relation between trading activity and market capitalisation is in line with prior literature, while the findings relating to the other determinants offer further empirical evidence which is a worthy addition in view of the contradictory results in prior research. Practical implications-This study is of relevance to practitioners who would like to understand the cross-sectional variation in stock liquidity at a more detailed level. Originality/value-The originality of the paper rests on two important grounds: the authors focus on trading turnover rather than on other liquidity proxies, since the former is accepted as an important determinant of the liquidity-generation process, and the authors adopt a rigorous approach towards checking the robustness of the results by considering various sub-sample configurations.

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Section: Datamentioning

confidence: 99%

The determinants of securities trading activity: evidence from four European equity markets

Camilleri

Galea²

2019

JCMS

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Purpose The purpose of this paper is to obtain new empirical evidence about the connections between equity trading activity and five possible liquidity determinants: market capitalisation, dividend yield, earnings yield, company growth and the distinction between recently listed firms as opposed to more established ones. Design/methodology/approach The authors use a sample of 172 stocks from four European markets and estimate models using the entire sample data and different sub-samples to check the relative importance of the above determinants. The authors also conduct a factor analysis to re-classify the variables into a more succinct framework. Findings The evidence suggests that market capitalisation is the most important trading activity determinant, and the number of years listed ranks thereafter. Research limitations/implications The positive relation between trading activity and market capitalisation is in line with prior literature, while the findings relating to the other determinants offer further empirical evidence which is a worthy addition in view of the contradictory results in prior research. Practical implications This study is of relevance to practitioners who would like to understand the cross-sectional variation in stock liquidity at a more detailed level. Originality/value The originality of the paper rests on two important grounds: the authors focus on trading turnover rather than on other liquidity proxies, since the former is accepted as an important determinant of the liquidity-generation process, and the authors adopt a rigorous approach towards checking the robustness of the results by considering various sub-sample configurations.

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The role of algorithmic trading in stock liquidity and commonality in electronic limit order markets

Cited by 13 publications

References 67 publications

Investavimas Į Ateities Sandorius Naudojant Monte Carlo Ir Sharpo Metodus

Investavimas Į Ateities Sandorius Naudojant Monte Carlo Ir Sharpo Metodus

The Determinants of Securities Trading Activity: Evidence from Four European Equity Markets

The determinants of securities trading activity: evidence from four European equity markets

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