Algorithmic Trading: The Intelligent Trading Systems and Its Impact on Trade Size

作者：

Highlights：

• With rise in algorithmic trading efficiency the trade size decreases significantly.

• Algorithmic trading efficiency leads to decline in trade sizes for small-cap stocks.

• Our study uses direct identification of Algorithmic Trading instead of proxy.

• The trade size decline indicates improved liquidity.

• Results encourage the use of Algorithmic Trading in emerging order-driven markets.

摘要

•With rise in algorithmic trading efficiency the trade size decreases significantly.•Algorithmic trading efficiency leads to decline in trade sizes for small-cap stocks.•Our study uses direct identification of Algorithmic Trading instead of proxy.•The trade size decline indicates improved liquidity.•Results encourage the use of Algorithmic Trading in emerging order-driven markets.

论文关键词：Algorithmic trading,Algorithmic trading efficiency,Market quality,Emerging markets,Market microstructure,Size effect,Trade size

论文评审过程：Received 26 January 2021, Revised 12 April 2022, Accepted 18 April 2022, Available online 25 April 2022, Version of Record 26 April 2022.

论文官网地址：https://doi.org/10.1016/j.eswa.2022.117279