Analysis of binary trading patterns in Xetra

Arbeitspapier

This paper proposes the Shannon entropy as an appropriate one-dimensional measure of behavioural trading patterns in financial markets. The concept is applied to the illustrative example of algorithmic vs. non-algorithmic trading and empirical data from Deutsche Börse's electronic cash equity trading system, Xetra. The results reveal pronounced differences between algorithmic and non-algorithmic traders. In particular, trading patterns of algorithmic traders exhibit a medium degree of regularity while non-algorithmic trading tends towards either very regular or very irregular trading patterns.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: CFS Working Paper ; No. 2010/12

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Econometric and Statistical Methods: Special Topics: General ; Information and Market Efficiency; Event Studies; Insider Trading ; International Financial Markets ; Financial Institutions and Services: General
• Thema: Financial Markets ; Electronic Markets ; Algorithmic Trading ; Order Entry ; Equity Trading ; Information Theory ; Entropy Measure ; Wertpapierhandel ; Anlageverhalten ; Informationsverbreitung ; Entropie ; Aktienmarkt ; Elektronisches Handelssystem ; Schätzung ; Deutschland

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Maurer, Kai-Oliver ; Schäfer, Carsten
• Ereignis: Veröffentlichung
• (wer): Goethe University Frankfurt, Center for Financial Studies (CFS)
• (wo): Frankfurt a. M.
• (wann): 2010

Weitere Informationen

• Handle: http://hdl.handle.net/10419/43245
• URN: urn:nbn:de:hebis:30-78648
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ