Algorithmic Trading and Fragmentation

Active trading in etfs: The role of high-frequency algorithmic trading

A Jain, C Jain, CX Jiang - Financial Analysts Journal, 2021 - Taylor & Francis
In the study reported here, we explored high-frequency algorithmic trading and its effect on
exchange-traded funds (ETFs). Using the cancel rate, the trade-to-order ratio, percentage …
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Do algorithmic traders improve liquidity when information asymmetry is high?

A Jain, C Jain, RB Khanapure - Quarterly Journal of Finance, 2021 - World Scientific
Hendershott et al.(2011, Does Algorithmic Trading Improve Liquidity? Journal of Finance 66,
1–33) show that algorithmic traders improve liquidity in equity markets. An equally important …
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