Algorithmic trading and market quality: International evidence
We study the effect of algorithmic trading (AT) on market quality between 2001 and 2011 in 42 equity markets around the world. We use an exchange colocation service that increases AT as an exogenous instrument to draw causal inferences about AT on market quality. On average, AT improves liquidity an...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2020
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/6685 https://ink.library.smu.edu.sg/context/lkcsb_research/article/7684/viewcontent/AT_Sep2019_sv.pdf |
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| Institution: | Singapore Management University |
| Language: | English |