Algorithmic trading and liquidity: Long term evidence from Austria
作者： Roland Mestel , Michael Murg , Erik Theissen
DOI: 10.1016/J.FRL.2018.01.004
关键词:
摘要: Abstract We analyze the relation between algorithmic trading and liquidity using a novel data set from Austrian equity market. Our sample covers almost 4.5 years, it identifies market share of at stock-day level, comes that has hitherto not been analyzed. address endogeneity problem an instrumental variables approach. results indicate increase in causes reduction quoted effective spreads while depth price impacts are unaffected. They consistent with traders on average acting as makers.
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