Does Algorithmic Trading Improve Liquidity?

Terrence Hendershott, Charles M. Jones, Albert J. Menkveld · 2011 · The Journal of Finance

BeginnerHFTEmpirical

Using the NYSE autoquote rollout as a natural experiment, algorithmic trading narrows spreads and makes quotes more informative.

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At a glance

Level: Beginner: No prior microstructure or stochastic calculus needed
Horizon: HFT
Data needed: Trades, L1 quotes Set what data you have
Themes: HFT & market design
Assets: Equities
Market: US

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Cite

@article{hendershott2011does,
  author = {Hendershott, Terrence and Jones, Charles M. and Menkveld, Albert J.},
  title = {{Does Algorithmic Trading Improve Liquidity?}},
  journal = {The Journal of Finance},
  year = {2011},
  doi = {10.1111/j.1540-6261.2010.01624.x}
}

Hendershott, T., Jones, C. M., & Menkveld, A. J. (2011). Does Algorithmic Trading Improve Liquidity? The Journal of Finance. https://doi.org/10.1111/j.1540-6261.2010.01624.x