Does Algorithmic Trading Improve Liquidity

By Terrence Hendershott, Charles M. Jones, Albert J. Menkveld. 2011

1,540 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/10880a09af0ab428ed82154ecdb76fed1d1e22da

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Citations in the corpus

Liquidity Cycles and Make/Take Fees in Electronic Markets (2013, neutral): “Hendershott et al. (2011) find empirically that this change reduced the average bid-ask spread, as predicted by our model.”
High frequency trading and the new market makers (2013, background): “, Ho and Stoll, 1981). Hendershott and Menkveld (2011) show that in an ongoing market a risk-averse intermediary trades off staying one more time unit on a nonzero position and suffer the price risk versus subsidizing traffic to get out of the nonzero position.”
Need for Speed? Exchange Latency and Liquidity (2016, background): “For example, Hendershott, Jones, and Menkveld (2011) document that algorithmic trading causally reduces the bid-ask spread.”
High Frequency Quoting, Trading, and the Efficiency of Prices (2015, result): “These results are in contrast to those reported by Hendershott et al. (2011) who report increases in realized spreads between 2001-2005, suggesting that liquidity providers (at least temporarily) earned greater revenues after the advent of autoquoting.”
Quantifying the High-Frequency Trading "Arms Race" (2021, positive): “…decomposition suggested by Glosten (1987), which is widely used in the microstructure literature (e.g., Glosten and Harris 1988; Hasbrouck 1991a, 1991b; Stoll 2000; Hendershott, Jones, and Menkveld 2011), to separately incorporate price impact from latency arbitrage races and nonrace trading.”
High Frequency Trading (2014, positive): “5 In doing so, we rely on evidence gathered from discussions with market participants and from empirical studies (Hendershott, Jones and Menkveld (2010), Hendershoot and Riordan (2009), Chaboud et al (2009), Brogaard (2010) and Kirilenko et al (2010)).”
A Dynamic Limit Order Market with Fast and Slow Traders (2014, positive): “This is consistent with the the enourmous growth in message traffi c in electronic markets as documented e.g. in Hendershott et al. (2011).”
Dark Trading and Price Discovery (2015, result): “This is similar to the approach used in other studies, such as Hendershott, Jones, and Menkveld (2011), except that our instruments contain only time-series variation because they affect all stocks at the same points in time.”
High Frequency Trading and Price Discovery (2014, background): “Biais and Woolley (2011) survey research on ATs and HFTs. ATs have been shown to increase liquidity (Hendershott, Jones, and Menkveld (2011) and Boehmer, Fong, and Wu (2012)) and price efficiency through arbitrage strategies (Chaboud, Chiquoine, Hjalmarsson, and Vega (2013)).5 Our results are…”