Over recent years, the ability to execute huge baskets of stocks with apparent ease has been a key factor in the growth of portfolio trading globally. This growth has in turn provided the climate in which a variety of algorithmic trading models have evolved.
This growth has in turn provided the climate in which a variety of algorithmic trading models have evolved. Algorithmic trading hubs can now be found in every sizeable brokerage — and they continue to push transaction costs down to the limits imposed by market microstructure, and lack of alpha forecasts.
This process has resulted in changing seasonality characteristics, and in the evolution of microstructure itself. We study some novel, previously unreported aspects of these changes in this paper. A review, and further material, can be found in [4], [5], [2], [3].
Download
Seasonality, Microstructure and Market Evolution: An Algorithmic Perspective
