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
| Verfasserangaben: | Kai-Oliver MaurerORCiDGND, Carsten Schäfer |
|---|---|
| URN: | urn:nbn:de:hebis:30-78648 |
| Titel des übergeordneten Werkes (Deutsch): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2010,12 |
| Schriftenreihe (Bandnummer): | CFS working paper series (2010, 12) |
| Dokumentart: | Arbeitspapier |
| Sprache: | Englisch |
| Jahr der Fertigstellung: | 2010 |
| Jahr der Erstveröffentlichung: | 2010 |
| Veröffentlichende Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Datum der Freischaltung: | 19.08.2010 |
| Freies Schlagwort / Tag: | Algorithmic Trading; Electronic Markets; Entropy Measure; Equity Trading; Financial Markets; Information Theory; Order Entry |
| GND-Schlagwort: | Xetra-Handelssystem; Handel; Struktur |
| HeBIS-PPN: | 226436977 |
| Institute: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
| DDC-Klassifikation: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Lizenz (Deutsch): |  Deutsches Urheberrecht |
