PT - JOURNAL ARTICLE AU - Archana Jain AU - Chinmay Jain AU - Christine X. Jiang TI - Algorithmic Trading and Fragmentation AID - 10.3905/jot.2017.12.4.018 DP - 2017 Sep 30 TA - The Journal of Trading PG - 18--28 VI - 12 IP - 4 4099 - https://pm-research.com/content/12/4/18.short 4100 - https://pm-research.com/content/12/4/18.full AB - 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