PT  - JOURNAL ARTICLE
AU  - Frederick H. deB. Harris
TI  - The Effects of Algorithmic Trading on Security Market Quality
AID  - 10.3905/jot.2015.10.2.041
DP  - 2015 Mar 31
TA  - The Journal of Trading
PG  - 41--53
VI  - 10
IP  - 2
4099  - https://pm-research.com/content/10/2/41.short
4100  - https://pm-research.com/content/10/2/41.full
AB  - We estimate in a systems framework the effect of algorithmic trading (AT) on security market quality, defined to include market manipulation at the close, information leakage prior to price-sensitive announcements, and effective spreads. Using cancellation proxies to identify AT, we show that greater AT can reduce market manipulation and information leakage as well as spreads. The data cover all securities on the London Stock Exchange and on NYSE-Euronext Paris four years before and after Markets in Financial Instruments Directive 1 (MiFID1).TOPICS: Quantitative methods, exchanges/markets/clearinghouses, developed