Intraday periodicity in algorithmic trading

John Paul Broussard, Andrei Nikiforov

Research output: Contribution to journalArticleScientificpeer-review

7 Citations (Scopus)


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.
Original languageEnglish
Peer-reviewed scientific journalJournal of International Financial Markets, Institutions & Money
Issue number1
Pages (from-to)196-204
Number of pages9
Publication statusPublished - 2014
MoE publication typeA1 Journal article - refereed


  • 512 Business and Management


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