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Algorithmic and High-Frequency Trading Strategies: A Literature Review

Alexandru Mandes ()
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Alexandru Mandes: University of Giessen

MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)

Abstract: The advances in computer and communication technologies have created new opportunities for improving, extending the application of or even developing new trading strategies. Transformations have been observed both at the level of investment decisions, as well as at the order execution layer. This review paper describes how traditional market participants, such as market-makers and order anticipators, have been reshaped and how new trading techniques relying on ultra-low-latency competitive advantage, such as electronic “front running”, function. Also, the natural conflict between liquidity-consumers and liquidity-suppliers has been taken to another level, due to the proliferation of algorithmic trading and electronic liquidity provision strategies.

Keywords: algorithmic trading; high-frequency trading; electronic market making (search for similar items in EconPapers)
JEL-codes: C10 C61 C63 G19 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2016
New Economics Papers: this item is included in nep-cmp and nep-mst
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http://www.uni-marburg.de/fb02/makro/forschung/mag ... 6/25-2016_mandes.pdf First 201625 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:mar:magkse:201625

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