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

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 )

Journal: Finance and credit, #20, 2017

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.


Analyzing the impact of terrorist attacks on stock index dynamics

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

Mikhalev A.G. National Research University Higher School of Economics, Moscow, Russian Federation ( agmikhalev@edu.hse.ru )

Journal: Finance and credit, #10, 2017

Subject The article considers the features of terrorist attacks, which have an impact on stock indices. It analyzes 117 terrorist attacks committed in different countries for 1988–2016.
Objectives The aim is to assess the impact of terrorist attacks on stock index dynamics. It will enable market agents make better decisions and avoid excessive losses, reduce negative reaction of the market in general, and help the national financial system minimize adverse consequences of terrorist attacks.
Methods We employ historical-logical, graphical, statistical methods and a comparative analysis to describe the impact of different features of terrorist attacks on the dynamics of stock indices. We also systematize analytical information in this sphere of knowledge.
Results The findings show that the impact of terrorist attacks on stock index dynamics depends on various factors, namely, number of victims, level of country's economic development, day of terrorist attack, etc. We found out that the market trend before a terrorist attack has a significant influence on stock index movement after the attack. The impact of terrorist attacks on different industries is different.
Conclusions In many cases, terrorist attacks seriously affect the dynamics of stock indices. However, the influence is often insignificant and impermanent. Therefore, investors should refrain from ill-judged financial decision to avoid losses. The findings may be useful for investors, market-makers and other market participants.


Analyzing the Impact of Terrorist Attacks on Stock Index Dynamics

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

Mikhalev A.G. National Research University Higher School of Economics, Moscow, Russian Federation ( agmikhalev@edu.hse.ru )

Journal: Digest Finance, #2, 2017

Importance The article considers the features of terrorist attacks, which have an impact on stock indices. It analyzes 117 terrorist attacks committed in different countries within 1988–2016.
Objectives The research assesses how terrorist attacks influence stock index trends. It will enable market agents make better decisions and avoid excessive losses, reduce negative reaction of the market in general, and help the national financial system minimize the adverse consequences of terrorist attacks.
Methods We employ historical-logical, graphical, statistical methods and a comparative analysis to describe an impact of different aspects of terrorist attacks on the dynamics of stock indices. We also systematize analytical information in this area.
Results The findings show that the impact of terrorist attacks on stock index dynamics depends on various factors, i.e. the number of victims, level of country’s economic development, day of terrorist attack, etc. We found out that the market trend before a terrorist attack had a significant influence on stock index movement after the attack. Terrorist attacks influence industries in a different way.
Conclusions and Relevance Terrorist attacks mostly have a dramatic impact on the dynamics of stock indices. However, the influence is often insignificant and impermanent. Therefore, investors should refrain from ill-judged financial decisions to avoid losses. The findings may be useful for investors, market makers and other market participants.


Developing the algorithmic trading in global financial markets: Causes, tendencies and perspectives

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 )

Journal: Finance and credit, #9, 2017

Subject The article analyzes programs of State regulators and stock exchanges, which spur the new market segment development, namely, algorithmic trading. It investigates legislative and technological measures applied in the leading global financial markets.
Objectives Studying the world markets' experience in incentives for algorithmic trading development allows assessing general prospects for this method of operation on the exchange. Understanding the general nature of applied measures and instruments may lead to introducing the best practices in the domestic stock market.
Methods We analyzed relevant legislation, internal rules of stock exchanges, experts' opinions, and systematized analytical information in this sphere.
Results In the course of the research we demonstrated that adopted legislative and technological measures contributed to successful development of the algorithmic trading segment. Their specifics show the interest of regulators and exchanges in further development of algorithmic trading.
Conclusions The observed nature of measures to boost algorithmic trading demonstrates a general tendency of stock markets' transfer to total automation of trading based on robot systems. The regulatory measures applied to this segment tend to have a significant positive effect on its development. As a result, we may expect further development of algorithmic trading and, consequently, strengthening its impact on market trading. The findings may be used by specialists of regulatory organizations, exchanges, employees of investment and brokerage firms that employ algorithmic systems for stock market trading.


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