+7 925 966 4690, 9am6pm (GMT+3), Monday – Friday
ИД «Финансы и кредит»

JOURNALS

  

FOR AUTHORS

  

SUBSCRIBE

    
Finance and Credit
 

The impact of algorithmic trading on sustainable development of world stock markets

Vol. 23, Iss. 20, MAY 2017

PDF  Article PDF Version

Received: 5 April 2017

Received in revised form: 20 April 2017

Accepted: 11 May 2017

Available online: 29 May 2017

Subject Heading: Securities market

JEL Classification: G10, G14, G15

Pages: 1184-1195

https://doi.org/10.24891/fc.23.20.1184

Volodin S.N. National Research University – Higher School of Economics, Moscow, Russian Federation
svolodin@hse.ru

Yakubov A.P. National Research University – Higher School of Economics, Moscow, Russian Federation
apyakubov@edu.hse.ru

Subject The article analyzes in detail the most significant cases of algorithmic systems’ impact on market mechanisms and trading participants.
Objectives Our goal is to study the specifics of the influence of algorithmic trading segment on sustainable development of stock markets.
Methods We review relevant stock market statistics, laws and regulations, and opinion of stock market experts; systematize analytical, scientific and practical information in the area under investigation.
Results The study shows that algorithmic trading exerts a significant impact on stock index movements, market liquidity and efficiency, and also on some other indicators characterizing the sustainable market development.
Conclusions The impact of algorithmic trading segment on stock markets is quite negative. Even today it gives rise to concern of market specialists and State regulators. Meanwhile, the current legislative and technological measures fail to provide a deterrent effect on the revealed negative aspects of algorithmic trading. Therefore, its adverse impact may increase in the near future.

Keywords: stock market, algorithmic trading, sustainable development, risk

References:

  1. Caivano V. The Impact of High-Frequency Trading on Volatility. Evidence from the Italian market. CONSOB Working Paper, 2015, no. 80. Available at: Link
  2. Chaboud A., Chiquoine B., Hjalmarsson E., Vega C. Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market. The Journal of Finance, 2014, vol. 69, no. 5, pp. 2045–2084. doi: 10.1111/jofi.12186
  3. Hendershott T., Jones C., Menkveld A. Does Algorithmic Trading Improve Liquidity? The Journal of Finance, 2011, vol. 66, no. 1, pp. 1–33. doi: 10.1111/j.1540-6261.2010.01624.x
  4. Hendershott T., Riordan R. Algorithmic Trading and the Market for Liquidity. Journal of Financial and Quantitative Analysis, 2013, vol. 48, no. 4, pp. 1001–1024. doi: 10.1017/S0022109013000471
  5. Brogaard J., Hendershott T., Riordan R. High-Frequency Trading and Price Discovery. SSRN Working Paper, 2013. Available at: Link
  6. Gerig A. High-Frequency Trading Synchronizes Prices in Financial Markets. U.S. Securities and Exchange Commission, DERA Working Paper Series, 2015. Available at: Link
  7. Tvardovskii V. [Trends in algorithmic trading in Russia]. Materialy 3-ei Vserossiiskoi konferentsii po algoritmicheskoi torgovle [Proc. 3rd Rus. Conf. Algorithmic Trading]. Available at: Link (In Russ.)
  8. Owano N. Study Links Ultrafast Machine Trading with Risk of Crash. Available at: Link
  9. Zhang F. High-Frequency Trading, Stock Volatility, and Price Discovery. SSRN Working Paper, 2010. Available at: Link
  10. Bergsten M., Sandahl J.F. Algorithmic Trading in the Foreign Exchange Market. Sveriges Riksbank Economic Review, 2013, no. 1, pp. 1–15. Available at: Link
  11. Ivlev S. [Internal and external risks in algorithmic trading]. Materialy konferentsii po algoritmicheskoi torgovle Moscow ALGO-2014 [Proc. Conf. on Algorithmic Trading Moscow ALGO 2014]. Available at: Link
  12. Jones C. What Do We Know About High-Frequency Trading? Columbia Business School Research Paper, 2013, no. 13-11. Available at: Link##
  13. Maiorov S. [Algorithmic trading: Pros and cons]. Birzhevoe obozrenie = Market Review, 2010, no. 1, pp. 9–16. Available at: Link (In Russ.)
  14. Lauricella T., Patterson S., Benoit D. Trading Firm IPO Fizzles in Seconds. Wall Street Journal, 2012. Available at: Link
  15. Krasin Yu. [Evolution of stock trading: From Jesse Livermore to trading robots, or is there a place for individual investor in the contemporary stock market?]. Rynok tsennykh bumag = Securities Market, 2013, no. 8. Available at: Link. (In Russ.)
  16. Goldstein M., Kumar P., Graves F. Computerized and High-Frequency Trading. The Financial Review, 2014, vol. 49, no. 2, pp. 177–202.
  17. Regan M. Robots Are Eating Your Retirement. Bloomberg, 2016. Available at: Link

View all articles of issue

 

ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

Journal current issue

Vol. 30, Iss. 3
March 2024

Archive