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- W3125476327 abstract "Does Algorithmic Trading (AT) exacerbate price swings in turbulent markets? We find that stocks with high AT experience less price drops (surges) on days when the market declines (increases) for more than 2%. This result is consistent with the view that AT minimizes price pressures and mitigates transitory pricing errors. Further analyses show that the net imbalances of AT liquidity demand and supply orders have smaller price impacts compared to non-AT net order imbalances and algorithmic traders reduce their price pressure by executing their trades based on the prevailing volume-weighted average prices." @default.
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- W3125476327 date "2020-09-01" @default.
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- W3125476327 title "Algorithmic trading in turbulent markets" @default.
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- W3125476327 doi "https://doi.org/10.1016/j.pacfin.2020.101358" @default.
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