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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: CFS Working Paper ; No. 2010/12

Classification and Topics

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

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Maurer, Kai-Oliver ; Schäfer, Carsten
• Event: Veröffentlichung
• (who): Goethe University Frankfurt, Center for Financial Studies (CFS)
• (where): Frankfurt a. M.
• (when): 2010

Further information

• Handle: http://hdl.handle.net/10419/43245
• URN: urn:nbn:de:hebis:30-78648
• Last update: 10.03.2025, 11:45 AM CET