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首页> 外文期刊>Applied Economics >A Game of Hide-and-Seek between Proprietary and Buy-Side Algorithmic Traders: Causal links with Market Quality
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A Game of Hide-and-Seek between Proprietary and Buy-Side Algorithmic Traders: Causal links with Market Quality

机译：专有和买边算法交易商之间的隐藏和寻求游戏：具有市场质量的因果关系

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摘要

This paper classifies Algorithmic Traders (ATs) as Proprietary Algorithmic Traders (PATs) and Buy-side Algorithmic Traders (BATs) and examines their dynamic relationship with market quality, using data from the National Stock Exchange (NSE), India. We find that the two categories of traders cause a differential impact on market quality measures and vice versa. BATs' order placement improves liquidity by narrowing the quoted spread, while PATs' and BATs' cancellation worsens liquidity by widening the quoted spread. PATs' order placement increases the price impact but reduces the realized spread, whereas their cancellation increases the realized spread. Furthermore, when the quoted spread increases, ATs increase their order placement and cancellation. When the realized spread increases, PATs cancel less of their orders. Contrarily, when the price impact increases, PATs' participation (both order placement and cancellation) and BATs' cancellation increase. Besides, we provide new evidence that among the ATs, order placement of BATs crowds out that of PATs, but not vice versa.
机译：本文将算法交易员（ATS）分类为专有算法交易员（PATS）和买边算法交易员（蝙蝠），并使用来自印度国家证券交易所（NSE）的数据来检查其与市场质量的动态关系。我们发现两类交易员对市场质量措施产生差异影响，反之亦然。蝙蝠的订单放置通过缩小报价的传播来提高流动性，而PATS'和蝙蝠的取消通过加宽引用的传播来恶化流动性。 PATS的订单放置增加了价格影响，但降低了实现的传播，而他们的取消会增加实现的传播。此外，当引用的扩展增加时，ATS增加了顺序放置和取消。当实现的传播增加时，PATS取消了他们的订单少。相反，当价格影响增加时，拍拍的参与（秩序安置和取消）和蝙蝠的取消增加。此外，我们提供了新的证据，其中包括蝙蝠的订单，蝙蝠的命令占据拍摄，但不反之亦然。

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