Intraday periodicity in algorithmic trading

Broussard, John Paul and Nikiforov, Andrei (2014) Intraday periodicity in algorithmic trading. Journal of International Financial Markets, Institutions & Money, 30 . pp. 196-204. ISSN 1042-4431 (doi:10.1016/j.intfin.2014.03.001)

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Abstract

This paper documents a stark periodicity in intraday volume and in the number of trades. We find activity in both variables spikes by about 20% at regular intervals of 5 or 10 min throughout the trading day. We speculate this activity is either the result of algorithmic trading influenced by human traders/programmers’ behavioral bias to transact on round time marks, or the result of optimizing algorithms choosing to concentrate their trades in time to take advantage of lower costs. We find evidence supporting the former, not the latter. Measures of transaction costs show no significant change during these spikes. Amihud’s measure of price impact also shows no discernable pattern. Additional research is needed to more carefully explain this recurring phenomenon.

Item Type: Article
Research Areas: A. > Business School > Accounting and Finance
Item ID: 19686
Useful Links:
Depositing User: Bernadett Dunn
Date Deposited: 03 May 2016 15:27
Last Modified: 30 May 2019 18:27
URI: https://eprints.mdx.ac.uk/id/eprint/19686

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