111 research outputs found
Algorithmic Trading and Information
We examine algorithmic trades (AT) and their role in the price discovery
process in the 30 DAX stocks on the Deutsche Boerse. AT liquidity demand
represents 52% of volume and AT supplies liquidity on 50% of volume. AT
act strategically by monitoring the market for liquidity and deviations
of price from fundamental value. AT consume liquidity when it is cheap
and supply liquidity when it is expensive. AT contribute more to the
efficient price by placing more efficient quotes and AT demanding
liquidity to move the prices towards the efficient price
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