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Title: Algorithmic Trading and Information
Authors: Hendershott, Terrence - University of California at Berkeley
Riordan, Ryan - Karlsruhe Institute of Technology
Issue Date: 2009
Series/Report no.: Net Institute Working Paper;09-08
Abstract: 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.
Appears in Collections:NET Institute Working Papers Series

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