Intraday periodicity in algorithmic trading

Article


Broussard, J. and Nikiforov, A. 2014. Intraday periodicity in algorithmic trading. Journal of International Financial Markets, Institutions and Money. 30, pp. 196-204. https://doi.org/10.1016/j.intfin.2014.03.001
TypeArticle
TitleIntraday periodicity in algorithmic trading
AuthorsBroussard, J. and Nikiforov, A.
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.

PublisherElsevier
JournalJournal of International Financial Markets, Institutions and Money
ISSN1042-4431
Publication dates
Print10 Mar 2014
Publication process dates
Deposited03 May 2016
Accepted01 Mar 2014
Output statusPublished
Digital Object Identifier (DOI)https://doi.org/10.1016/j.intfin.2014.03.001
LanguageEnglish
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