Advancing the Field of Quantitative Finance
formerly the IAFE

Event: Does Algorithmic Trading Improve Liquidity?
Date: November 10, 2010
Time: 5:00 Registration and Coffee Reception
5:30 - Event
Location:
PricewaterhouseCoopers

300 Madison Avenue
New York

International Association of Financial Engineers presents

An IAFE Members Only Tutorial

Does Algorithmic Trading Improve Liquidity?

November 10, 2010
5:00 Registration and Coffee Reception
5:30-6:30 Event

IAFE Practitioner and Academic Members - FREE

Non-Members - $25

(Student level registrations will not be accepted)

PricewaterhouseCoopers

300 Madison Avenue

New York

Presented by

Albert J. Menkveld

VU University Amsterdam

Tinbergen Institute - Tinbergen Institute Amsterdam (TIA)

Does Algorithmic Trading Improve Liquidity?
Terrence Hendershott, Charles M. Jones, Albert J. Menkveld

 

Algorithmic trading has sharply increased over the past decade. Does it improve market quality, and should it be encouraged? We provide the first analysis of this question. The NYSE automated quote dissemination in 2003, and we use this change in market structure that increases algorithmic trading as an exogenous instrument to measure the causal effect of algorithmic trading on liquidity. For large stocks in particular, algorithmic trading narrows spreads, reduces adverse selection, and reduces trade-related price discovery. The findings indicate that algorithmic trading improves liquidity and enhances the informativeness of quotes.

 

This event is only open to IAFE Practitioner and Academic level members.  No Student member registrations will be accepted.

Registration for this event has closed