Intraday periodicity in algorithmic trading

John Paul Broussard, Andrei Nikiforov

Forskningsoutput: TidskriftsbidragArtikelVetenskapligPeer review

7 Citeringar (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.
Referentgranskad vetenskaplig tidskriftJournal of International Financial Markets, Institutions & Money
Sidor (från-till)196-204
Antal sidor9
StatusPublicerad - 2014
MoE-publikationstypA1 Originalartikel i en vetenskaplig tidskrift


  • 512 Företagsekonomi


Fördjupa i forskningsämnen för ”Intraday periodicity in algorithmic trading”. Tillsammans bildar de ett unikt fingeravtryck.

Citera det här