This paper documents a stark periodicity in intraday volume and in the number of trades. We find activity in both variables spikes by about 20% at regular intervals of 5 or 10. min throughout the trading day. We speculate this activity is either the result of algorithmic trading influenced by human traders/programmers' behavioral bias to transact on round time marks, or the result of optimizing algorithms choosing to concentrate their trades in time to take advantage of lower costs. We find evidence supporting the former, not the latter. Measures of transaction costs show no significant change during these spikes. Amihud's measure of price impact also shows no discernable pattern. Additional research is needed to more carefully explain this recurring phenomenon.
|Peer-reviewed scientific journal||Journal of International Financial Markets, Institutions & Money|
|Number of pages||9|
|Publication status||Published - 2014|
|MoE publication type||A1 Journal article - refereed|
- 512 Business and Management
Broussard, J. P., & Nikiforov, A. (2014). Intraday periodicity in algorithmic trading. Journal of International Financial Markets, Institutions & Money, 30(1), 196-204. https://doi.org/10.1016/j.intfin.2014.03.001