Electronic Markets and Trading Algorithms

Journal of Trading, Forthcoming

Posted: 23 Aug 2011 Last revised: 8 Mar 2012

See all articles by Sunil Wahal

Sunil Wahal

Arizona State University (ASU) - Finance Department

Date Written: August 22, 2011

Abstract

Academics attempt to understand the consequences of fragmentation, electronic markets and trading algorithms. Practitioners, by necessity, devise ever-improving trading algorithms to achieve their trading objectives. This paper is a bridge of sorts. I use the structural approach developed in decades of research on price formation to illuminate modern electronic trading practices and algorithms. I argue that despite the constantly changing trading landscape driven by technology improvements, the economic tradeoffs embedded in trading algorithms are, for all intents and purposes, not different from manual trading. All that has changed is the implementation.

Keywords: Trading Algorithms, High Frequency Trading, Dark Pools

JEL Classification: G10, G14

Suggested Citation

Wahal, Sunil, Electronic Markets and Trading Algorithms (August 22, 2011). Journal of Trading, Forthcoming, Available at SSRN: https://ssrn.com/abstract=1914498 or http://dx.doi.org/10.2139/ssrn.1914498

Sunil Wahal (Contact Author)

Arizona State University (ASU) - Finance Department ( email )

W. P. Carey School of Business
PO Box 873906
Tempe, AZ 85287-3906
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
787
PlumX Metrics