PT  - JOURNAL ARTICLE
AU  - Kai-Oliver Maurer
AU  - Carsten Schäfer
TI  - Analysis of Binary Trading Patterns in Xetra
AID  - 10.3905/jot.2011.6.1.046
DP  - 2010 Dec 31
TA  - The Journal of Trading
PG  - 46--60
VI  - 6
IP  - 1
4099  - https://pm-research.com/content/6/1/46.short
4100  - https://pm-research.com/content/6/1/46.full
AB  - Maurer and Schäfer propose the Shannon entropy as an appropriate one-dimensional measure of behavioral trading patterns in financial markets. The concept is applied to the illustrative example of algorithmic versus non-algorithmic trading and empirical data from the Deutsche Börse electronic cash equity trading system, Xetra. The results reveal pronounced differences between algorithmic and non-algorithmic traders. In particular, trading patterns of algorithmic traders exhibit a medium degree of regularity, while nonalgorithmic trading tends towards either very regular or very irregular trading patterns.TOPICS: Statistical methods, in markets