Algorithmic Trading at Bucharest Stock Exchange

Adrian Victor Sandita
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Adrian Victor Sandita: University of Craiova Faculty of Economics and Business Administration

Finante - provocarile viitorului (Finance - Challenges of the Future), 2015, vol. 1, issue 17, 113-121

Abstract: Very conservative estimates indicate that over 40% of transactions on the stock exchanges in the United States are based on automatically generated orders. Such systems are designed to do algorithmic trading on the basis of a predefined set of rules that determine the composition of the portfolio and the moment in which the purchases and sales of securities are done. Applying highly diverse trading strategies, algorithmic trading systems ultimately aim to maximize profit and minimize risk taking. Algorithmic trading on the Bucharest Stock Exchange is still in its incipient phase. Now, automated trading systems are used only for participants who act as Market Makers for the actions of a few issuers. Estimates indicate a volume of algorithmic trading on the Bucharest Stock Exchange of under 1% of its total transactions. This paper aims to describe a general way that algorithmic trading systems can be connected to the Bucharest Stock Exchange and to present some of our results in the implementation of such a system.

Keywords: Algorithmic trading; Multi Agent Systems; Information management; Bucharest Stock Exchange (search for similar items in EconPapers)
JEL-codes: C41 C81 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:aio:fpvfcf:v:1:y:2015:i:17:p:113-121

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