The causal impact of algorithmic trading on market quality

Nidhi Aggarwal, Susan Thomas · 2014 · IGIDR Working Paper 2014-023

IntermediateHFTEmpiricalFree to read

Uses the introduction of co-location at NSE as a natural experiment. Stocks with more algorithmic trading show lower liquidity costs, less order imbalance and fewer extreme intraday price moves.

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At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: HFT
Data needed: L3/MBO (order-level) Set what data you have
Themes: HFT & market design
Assets: Equities
Market: India

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Cite

@misc{aggarwal2014causal,
  author = {Aggarwal, Nidhi and Thomas, Susan},
  title = {{The causal impact of algorithmic trading on market quality}},
  howpublished = {IGIDR Working Paper 2014-023},
  year = {2014},
  url = {https://econpapers.repec.org/RePEc:ind:igiwpp:2014-023}
}

Aggarwal, N., & Thomas, S. (2014). The causal impact of algorithmic trading on market quality. IGIDR Working Paper 2014-023. https://econpapers.repec.org/RePEc:ind:igiwpp:2014-023