Algorithmic Trading and Market Quality: International Evidence
研究了2001至2011年间42个股票市场中算法交易对市场质量的影响，发现算法交易平均改善了流动性和信息效率，但增加了短期波动，并降低了买方机构投资者的执行成本。
Abstract We study the effect of algorithmic trading (AT) on market quality between 2001 and 2011 in 42 equity markets around the world. We use an exchange colocation service that increases AT as an exogenous instrument to draw causal inferences about AT on market quality. On average, AT improves liquidity and informational efficiency but increases short-term volatility. Importantly, AT also lowers execution shortfalls for buy-side institutional investors. Our results are surprisingly consistent across markets and thus across a wide range of AT environments. We further document that the beneficial effect of AT is stronger in large stocks than in small stocks.