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Analysis of binary trading patterns in Xetra
- 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
Author: | Kai-Oliver MaurerORCiDGND, Carsten Schäfer |
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URN: | urn:nbn:de:hebis:30-78648 |
Parent Title (German): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2010,12 |
Series (Serial Number): | CFS working paper series (2010, 12) |
Document Type: | Working Paper |
Language: | English |
Year of Completion: | 2010 |
Year of first Publication: | 2010 |
Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
Release Date: | 2010/08/19 |
Tag: | Algorithmic Trading; Electronic Markets; Entropy Measure; Equity Trading; Financial Markets; Information Theory; Order Entry |
GND Keyword: | Xetra-Handelssystem; Handel; Struktur |
HeBIS-PPN: | 226436977 |
Institutes: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
Sammlungen: | Universitätspublikationen |
Licence (German): | Deutsches Urheberrecht |