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- W4386574844 abstract "This study examines the intraday profitability and interactions among Buy-side Algorithmic Traders (BATs), High-Frequency Traders (HFTs) and Non-Algorithmic Traders (NATs). When all trades are considered, ATs gain, and NATs lose. Demanding liquidity benefits all traders, with BATs outperforming HFTs. HFTs and NATs lose while providing liquidity, but BATs gain. Intraday timing efficiency increases NATs' trading but not ATs'. Market volatility triggers opposing trading behaviors; As volatility increases, BATs retreat while HFTs intensify trading, possibly driven by opposing hedging and speculative motives, respectively. BATs and HFTs exhibit within-group positive probabilities with their order imbalances. An increase in BATs' order imbalance decreases the likelihood of HFTs’ trading." @default.
- W4386574844 created "2023-09-10" @default.
- W4386574844 creator A5033430898 @default.
- W4386574844 date "2023-11-01" @default.
- W4386574844 modified "2023-09-27" @default.
- W4386574844 title "Algorithmic trading: Intraday profitability and trading behavior" @default.
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- W4386574844 doi "https://doi.org/10.1016/j.econmod.2023.106521" @default.
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