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- W2335910033 abstract "Using a unique data set from NASDAQ OMX Nordic, the present paper studies the impact of algorithmic trading activity on market properties. Analyzing the activity of liquidity suppliers and liquidity takers provides causal identification between market properties and trading activity. This paper presents a method for algorithmic trading impact analysis that does not rely on exogenous events. I find that the joint activity of algorithmic trading participants has no harmful effect on market properties. In addition, the distinction of market participants by traders’ price list preferences allows answering the question: is it big or small participants that are following market properties? Acknowledgements: The author would like to thank Frank Hatheway, Henrik Husman and staff of the NASDAQ OMX Nordic research group, particularly Jakob Hallmer and Petter Dahlstrom, for their help and data provision. I appreciate Niklas Ahlgen, Timo Korkeamaki, Juha Joenvaara and Terrence Hendershott for fruitful discussions and comments. I gratefully acknowledge the financial support from the NASDAQ OMX Nordic Foundation and the Ella and Georg Ehrnrooth Foundation." @default.
- W2335910033 created "2016-06-24" @default.
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- W2335910033 date "2016-04-11" @default.
- W2335910033 modified "2023-09-27" @default.
- W2335910033 title "Essays on Algorithmic Trading" @default.
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