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- Publisher
- Springer Journals
- Copyright
- Copyright © The Author(s), under exclusive licence to Springer Japan KK, part of Springer Nature 2021
- ISSN
- 1387-2834
- eISSN
- 1573-6946
- DOI
- 10.1007/s10690-021-09353-5
- Publisher site
- See Article on Publisher Site
Abstract
Algorithmic Trading (AT) has been despised by retail traders and market regulators for its speed. AT has taken the hit for creating un-intended volatility and hampering the market quality due to skepticism of quote-stuffing and front-running, however in reality the evidence pertaining to ill impacts of AT are yet to be found. This study takes a step in the direction to decriminalize algorithmic trading and give AT it’s due towards improvement in market quality. This study uses direct identification of AT from Indian Stock Market (National Stock Exchange, NSE) and uses Order-to-Trade Ratio (OTR) as a measure of AT efficiency and paves the way for regulators and traders to come forward and appreciate the positive impact of AT on market quality.
Journal
Asia-Pacific Financial Markets – Springer Journals
Published: Sep 1, 2022
Keywords: Algorithmic trading; Algorithmic trading efficiency; High frequency trading; HFT; Market quality; Emerging markets; Market microstructure; Order-to-trade ratio; G10; G14; G15