RT Journal Article
SR Electronic
T1 The Effects of Algorithmic Trading on Security Market Quality
JF The Journal of Trading
FD Institutional Investor Journals
SP 41
OP 53
DO 10.3905/jot.2015.10.2.041
VO 10
IS 2
A1 Frederick H. deB. Harris
YR 2015
UL https://pm-research.com/content/10/2/41.abstract
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