TY - JOUR T1 - Algorithmic Activity on Xetra JF - The Journal of Trading SP - 74 LP - 86 DO - 10.3905/JOT.2009.4.3.074 VL - 4 IS - 3 AU - Markus Gsell Y1 - 2009/06/30 UR - https://pm-research.com/content/4/3/74.abstract N2 - As successful algorithmic trading systems constitute a priceless value to their operators, their procedures of trading are kept secret and only little is known about their adaptation behavior to current market developments.Based on a unique dataset provided by Deutsche Börse AG the activity of computerized traders is analyzed.As the dataset provides high-precision timestamps a thorough analysis of submission, deletion and execution activities is enabled.Being able to distinguish algorithmic and non-algorithmic orders, empirical evidence on the different structures of algorithmic and non-algorithmic order flow is presented.TOPICS: Statistical methods, quantitative methods, security analysis and valuation ER -