Algorithmic Trading and the Market for Liquidity
Algorithmic Trading and the Market for Liquidity
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DOI：
10.1017/s0022109013000471
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发表时间：
2013-08-01
影响因子：
3.9
通讯作者：
Riordan, Ryan
中科院分区：
文献类型：
--
作者：
Hendershott, Terrence;Riordan, Ryan
我们研究了算法交易者（AT）在2008年1月德意志交易所30只德国Aktien指数股票的流动性供给和需求中的作用。AT代表了52%的市场订单量和64%的不可销售的限价订单量。AT比人类交易员更积极地监控市场流动性。AT在流动性便宜时消耗流动性（即，当买卖报价窄时），并在昂贵时提供流动性。当点差较窄时，AT不太可能提交新订单，不太可能取消订单，更有可能启动交易。AT对事件的反应更快，当价差很大时反应更快。
We examine the role of algorithmic traders (ATs) in liquidity supply and demand in the 30 Deutscher Aktien Index stocks on the Deutsche Boerse in Jan. 2008. ATs represent 52% of market order volume and 64% of nonmarketable limit order volume. ATs more actively monitor market liquidity than human traders. ATs consume liquidity when it is cheap (i.e., when the bid-ask quotes are narrow) and supply liquidity when it is expensive. When spreads are narrow ATs are less likely to submit new orders, less likely to cancel their orders, and more likely to initiate trades. ATs react more quickly to events and even more so when spreads are wide.