TY  - UNPD
A1  - Maurer, Kai-Oliver
A1  - Schäfer, Carsten
T1  - Analysis of binary trading patterns in Xetra
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2010,12
N2  - 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. JEL Classification: C40, D0, G14, G15, G20
T3  - CFS working paper series - 2010, 12 
KW  - Financial Markets
KW  - Electronic Markets
KW  - Algorithmic Trading
KW  - Order Entry
KW  - Equity Trading
KW  - Information Theory
KW  - Entropy Measure
KW  - Xetra-Handelssystem
KW  - Handel
KW  - Struktur
Y1  - 2010
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/7905
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-78648
ER  -