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Algorithmic Trading at Bucharest Stock Exchange

Author

Listed:
  • Adrian Victor SANDITA

    (University of Craiova Faculty of Economics and Business Administration)

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.

Suggested Citation

  • Adrian Victor SANDITA, 2015. "Algorithmic Trading at Bucharest Stock Exchange," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, vol. 1(17), pages 113-121, December.
    • Handle: RePEc:aio:fpvfcf:v:1:y:2015:i:17:p:113-121
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    File URL: http://feaa.ucv.ro/FPV/017-013.pdf
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    References listed on IDEAS

    as
    1. Hendershott, Terrence & Riordan, Ryan, 2013. "Algorithmic Trading and the Market for Liquidity," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(4), pages 1001-1024, August.
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    More about this item

    Keywords

    Algorithmic trading; Multi Agent Systems; Information management; Bucharest Stock Exchange;
    All these keywords.

    JEL classification:

    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • C81 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Microeconomic Data; Data Access

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