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Theoretical and Practical Aspects of Algorithmic Trading

Jan Fränkle

Abstract

At today's stock markets, most of the trading volume is traded electronically. Thus, also many market participants execute their order flow automatically with the help of trading algorithms. Hence, several important aspects concerning algorithmic trading are discussed. One of the main topics of the current work is the measurement and the analysis of the market impact of transactions performed by a trading algorithm. Another main topic is a model to predict the intraday trading volume.

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Key concepts: Algorithmic trading, High-frequency trading, Alternative trading system, Computer science, Volume (thermodynamics), Electronic trading, Dark liquidity, Pairs trade