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Essays on algorithmic trading /
Technological innovations are altering the traditional value chain in securities trading. Hitherto the order handling, i.e. the appropriate implementation of a general trading decision into particular orders, has been a core competence of brokers. Labeled as Algorithmic Trading, the automation of th...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Stuttgart :
Ibidem-Verlag,
2014.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Table of Contents; 1 Introduction; 1.1 Motivation and objective of the thesis; 1.2 Structure of the thesis; 2 Research Context: Securities Trading; 2.1 Value chain; 2.2 The role of Algorithmic Trading; 2.2.1 Purposes and users; 2.2.2 Benchmarks and strategies; 2.2.3 Stages of development; 2.2.4 Implications for market operators; 3 Research Approach and Methodology; 3.1 Quantitative Survey; 3.2 Literature Review; 3.3 Simulation of Financial Markets; 3.4 Empirical Analysis; 4 Main Results; 4.1 Paper 1: Investigating the adoption decision.
- 4.2 Paper 2: Theoretically assessing structural behavioral differences4.3 Paper 3: Assessing the impact on the market outcome by simulation; 4.4 Paper 4: Empirically assessing the impact on trading behavior; 5 Contribution to theory and practical implications; 5.1 Contribution to theory; 5.2 Practical implications; 6 Limitations and potential further research; 6.1 Limitations; 6.2 Future Research; References; Paper 1: Technological Innovationsin Securities Trading:The Adoption of Algorithmic Trading; 1 Introduction; 2 Related work; 3 Methodology; 4 Research Model; 4.1 Usage.
- 4.2 Intention to use4.3 Performance Expectancy; 4.4 Effort Expectancy; 4.5 Task-Technology Fit; 4.6 Technology Expertise; 5 Results; 5.1 Quality criteria of the measurement model; 5.1.1 Reflective constructs; 5.1.2 Formative construct; 5.2 Quality criteria of the structural model; 6 Conclusion; References; Paper 2: Is Algorithmic Trading distinctively different?; 1 Introduction; 2 Stylized traders in the literature; 3 What are algorithmic trading models doing?; 4 Why algorithmic trading models are different; 4.1 Are algorithmic trading models informed traders?
- 4.2 Are algorithmic trading models momentum traders?4.3 Are algorithmic trading models noise traders?; 4.4 What are algorithmic trading models after all?; 5 Conclusion; References; Paper 3: Assessing the impact of Algorithmic Trading on markets : A simulation approach ; 1 Introduction; 2 Related work; 2.1 Algorithmic Trading; 2.2 Simulation of financial markets; 3 The simulation model; 3.1 Behavior of Traders; 3.2 Parameterization; 4 Results obtained; 5 Conclusion and Outlook; References; Paper 4: The Behavior of Algorithmic Traders in Equity Markets
- Empirical Evidence from Xetra.
- 1 Introduction2 Related Work; 3 The Xetra Trading System; 3.1 Continuous Trading; 3.2 Call Auctions; 3.3 Trading Schedule; 3.4 Dataset and Methodology; 4 Results; 4.1 Continuous Trading; 4.2 Call Auctions; 5 Conclusion; References; Appendix; Deutsche Zusammenfassung / German Summary: Essays onAlgorithmic Trading; Inhaltsverzeichnis; 1 Einführung; 1.1 Motivation und Zielsetzung der Arbeit; 1.2 Aufbau der Arbeit; 2 Forschungskontext: Wertpapierhandel; 2.1 Wertschöpfungskette; 2.2 Die Bedeutung von Algorithmic Trading; 2.2.1 Einsatzzwecke und Nutzer; 2.2.2 Benchmarks und Strategien.