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Title: Trading performance and market efficiency: Evidence from algorithmic trading
Authors: Syamala, Sudhakara Reddy
Wadhwa, Kavita
Keywords: Algorithmic trading
Intraday trading
Trading performance
Issue Date: 2020
Publisher: SCOPUS
Research in International Business and Finance
Elsevier Ltd
Series/Report no.: 54
Abstract: In India, National Stock Exchange directly identifies algorithmic trading participation. Algorithmic traders possess intraday market timing skills. Results are not motivated by extreme short-term signals or transitory price trading. Magnitude of market timing performance in cross-sectional group of traders shows that they earn profit across all the cases, and maximize while providing liquidity. Volume-weighted-average-price decomposition analysis reports algorithmic traders earn profits through intraday market timing performance for five-minute and one-minute intervals, and it is higher compared to short-term market timing performance across all trader groups. Order imbalance and price delay regressions show that algorithmic trading significantly improves price efficiency.
Description: Sudhakara Reddy Syamala, Finance and Control Group, Indian Institute of Management Calcutta, Kolkata, India; Kavita Wadhwa, Indian Institute of Foreign Trade (IIFT), India
ISSN/ISBN - 02755319
DOI - 10.1016/j.ribaf.2020.101283
Appears in Collections:Finance and Control

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