Abstract:Being provided with a unique high-frequency dataset, we are able to show by means of an empirical analysis that computer-based traders, i.e. Algorithmic Trading (AT) engines, behave significantly different from human traders with regard to their order cancellation behaviour. Furthermore, given exactly this difference we point out that the application of well-established "traditional" liquidity measurement methods may no longer be unequivocally applicable in today's electronic markets. At least those liquidity … Show more
Set email alert for when this publication receives citations?
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.