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

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Metadaten
Author:Kai-Oliver MaurerORCiDGND, Carsten Schäfer
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):License LogoDeutsches Urheberrecht