The authors discuss an advancement in algorithmic trading called block indication, also
known as contingent or conditional orders. This concept implies the sending of non-binding …

Financial markets perform many functions, but principal among them is to bring together
buyers and sellers and to provide a mechanism for price discovery. Information technology …

In this article, we use execution data from the Goldman Sachs algorithmic trading desk to
compare the performance of VWAP and shortfall algorithms. Our analysis shows that the two …

The widespread use of algorithmic trading has led to the question of whether the most
suitable algorithm is always being used. We propose a practical framework to help traders …

Technological innovations are altering the traditional value chain in securities trading.
Hitherto the order handling, ie the appropriate implementation of a general trading decision …

The authors examine transaction costs associated with algorithmic trading, based on a
sample of 2.5 million orders, of which one million are executed via algorithmic means. The …

The US equity exchange market is organized as a National Market System, enforcing price
priority across exchanges, but otherwise allowing competition for order flow among …

Financial markets continue to see an increase in the share of trades executed by algorithmic
trading systems. A key component of an efficient algorithmic trading system is its ability to …

With the advent of “smart” algorithmic trading systems driven in part by more transparent
data offerings from market venues, information leakage from order placement is the …

Automated trading systems play an increasingly important role in equity markets. The
challenge of trading large order volumes and baskets is often met today with automated …