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An Empirical Analysis of Order Dynamics in a High Frequency Trading Environment

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  • Breuer

Abstract

Arne Breuer analysiert in dieser Dissertation die neuesten Entwicklungen auf den Kapitalmärkten. Das Marktgeschehen wird seit einigen Jahren nicht mehr durch menschliche Händler bestimmt, sondern durch zunehmend komplexe und schnelle computerbasierte Handelsalgorithmen. Marktbeobachter stimmen darin überein, dass mehr als die Hälfte des Handelsvolumens an den großen Handelsplätzen NYSE, Nasdaq und Xetra durch diese neuen Akteure generiert wird. Die Algorithmen ändern dabei die Marktstruktur; Wissenschaft und Praxis stellen sich nun der Aufgabe, die Auswirkungen der sich ändernden Paradigmen zu analysieren. Arne Breuer leistet hierzu einen Beitrag, indem er die Orderstrukturen an der US-Amerikanischen Börse Nasdaq auf Milli- und Mikrosekundenbasis analysiert und so einen Einblick in die verborgene Welt der Algotrader bietet.

Suggested Citation

  • Breuer (ed.), 0. "An Empirical Analysis of Order Dynamics in a High Frequency Trading Environment," Studienreihe der Stiftung Kreditwirtschaft an der Universität Hohenheim, Duncker & Humblot GmbH, Berlin, edition 1, volume 49, number vwpe635.
    • Handle: RePEc:dah:sskssk:vwpe635
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    More about this item

    Keywords

    Add Message; Add Order; Algorithmic Trading; Algotrader; computerbasierte Handelsalgorithmen;
    All these keywords.

    JEL classification:

    • E00 - Macroeconomics and Monetary Economics - - General - - - General

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