Algorithmic Trading Advantages

Algorithmic trading systems provide a number of advantages over traditional methods, including 1. Increased capacity Computerized algorithms have much more powerful computational capabilities to handle computationally intensive processes. 2. Decreased costs Commissions for electronic trading tend to be significantly lower than other types of trades. 3. Real-time feedback and control Algorithmic trading provides better feedback mechanisms than traditional trading methods. The ability of the...

Literature Review

The most important studies covering the momentum effect in stock markets are those of Jegadeesh and Titman (1993, 2001). These authors find significant abnormal returns for intermediate investment horizons of up to one year. Recently, Shen, Szakmary, and Sharma (2007), Miffre and Rallis (2007), and Pirrong (2005) found abnormal returns in futures markets for the momentum strategy. Shen et al. (2007) and Miffre and Rallis (2007) studied the momentum effect in commodity futures markets. Miffre...

The Impact Of Algorithmic Trading On The Market

Algorithmic trading research is in its beginning stage. The following is a summary of the more prominent articles on this subject. Almgren and Lorenz (2007) provide an overview of the evolution of algorithmic trading systems over time. The first generation of algorithmic strategies aims to meet benchmarks generated by the market itself. The benchmarks are largely independent from the actual securities order. Examples of this strategy are the volume-weighted average price (VWAP) or an average of...

Introduction

This chapter explores the profitability of simple technical rules in the Athens Exchange Market ASE and particularly for the FTSE ASE 20 index. The FTSE ASE 20 is the most important index of the ASE and represents the 20 companies with the largest capitalization. The technical trading rules that we use to evaluate the profitability of technical analysis against the buy and hold strategy benchmark are variations of the simple moving average rule. Technical analysis forecasts the future direction...

Costs And Benefits Of Limit Order Trading

The order placement strategy depends on the relative merits and costs of limit orders and market orders Harris, 1998 . Let us first consider the costs and benefits from placing limit orders. Limit order traders bear two types of risks and costs Handa and Schwartz, 1996 . First, the risk of adverse informational change is known as ex-post regret or winner's curse. This risk materializes when the market price moves against the limit order trader. Bearish news may cause the price of the stock to...

Gerasimos Rompotis

Background on the Moving Averages 157 Data 161 Trading with the Exponentially chapter 12 SHAREHOLDER DEMANDS AND THE Policy Purposes for Derivative Actions 173 Standing to Sue Derivatively 178 Futility Excuses the Demand Requirement 179 Futility, Director Independence, and Business part III EXCHANGE-TRADED FUND STRATEGIES 187 chapter 13 LEVERAGED EXCHANGE-TRADED FUNDS AND THEIR TRADING chapter 14 ON THE IMPACT OF EXCHANGE-TRADED FUNDS OVER NOISE TRADING EVIDENCE FROM Vasileios Kallinterakis and...

Contributors

Mohamed El Hedi Arouri is an associate professor of finance at the University of Orleans, France and a researcher at EDHEC Business School in France. He holds a master's degree in economics and a Ph.D. in finance from the University of Paris X Nanterre. His research focuses on the cost of capital, stock market integration, and international portfolio choice. He has published articles in refereed journals such as the International Journal of Business and Finance Research, Frontiers of Finance...