Algorithmic trading and market quality: Evidence from the Taiwan index futures market
研究了算法交易者（外资机构与自营公司）在不同市场条件下对台湾股指期货市场质量与价格发现的影响，发现其策略性行为在稳定时提供流动性、波动时需求流动性，但整体不损害市场质量。
Abstract This study examines the effects of different algorithmic traders on market quality and the price discovery process, considering the impact of different trading strategies and market conditions. Algorithmic foreign institutions and proprietary firms act strategically, by monitoring market conditions. During stable market conditions, they supply liquidity, and this strategic activity both improves price efficiency and increases fundamental volatility. In more turbulent market conditions, algorithmic foreign institutions and proprietary firms instead demand liquidity, and their trading activity leads to an increase in price efficiency and a decrease in excessive volatility. Overall, algorithmic trades do not harm market quality.