@article {Jain18, author = {Archana Jain and Chinmay Jain and Christine X. Jiang}, title = {Algorithmic Trading and Fragmentation}, volume = {12}, number = {4}, pages = {18--28}, year = {2017}, doi = {10.3905/jot.2017.12.4.018}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Prior studies on algorithmic trading (AT) have mostly focused on a single exchange. The authors use a public dataset provided by the Securities and Exchange Commission (SEC) covering all major U.S. exchanges to study the impact of AT and its fragmentation on market liquidity. Using a proxy of AT derived from trade to order volume ratio, they find that AT concentrated on a single exchange improves liquidity. However, AT fragmentation onto multiple exchanges is associated with deterioration in liquidity. Their findings suggest a market-making as well as predatory role of AT and have policy implications.TOPICS: Statistical methods, exchanges/markets/clearinghouses}, issn = {1559-3967}, URL = {https://jot.pm-research.com/content/12/4/18}, eprint = {https://jot.pm-research.com/content/12/4/18.full.pdf}, journal = {The Journal of Trading (Retired)} }