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Cited by 1,673

The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.

Does Algorithmic Trading Improve Liquidity?

Open access
HENDERSHOTT, TERRENCE, JONES, CHARLES M., MENKVELD, ALBERT J.·2011·The Journal of Finance
DOI 10.1111/j.1540-6261.2010.01624.x
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Abstract

Algorithmic trading (AT) has increased sharply over the past decade. Does it improve market quality, and should it be encouraged? We provide the first analysis of this question. The New York Stock Exchange automated quote dissemination in 2003, and we use this change in market structure that increases AT as an exogenous instrument to measure the causal effect of AT on liquidity. For large stocks in particular, AT narrows spreads, reduces adverse selection, and reduces trade‐related price discovery. The findings indicate that AT improves liquidity and enhances the informativeness of quotes.

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Metadata

Authors
HENDERSHOTT, T., JONES, C. M., & MENKVELD, A. J.
Venue
The Journal of Finance
Publisher
Wiley
Published
2011-01-06
Volume
66
Issue
1
Pages
1-33
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/j.1540-6261.2010.01624.x
OpenAlex
W2136019703
Cited by
1,673
References
1
FWCI
240.30
Type
journal article
Language
en
Open access
bronze

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CoChat. (2026). Citation check: Does Algorithmic Trading Improve Liquidity? https://app.cochat.ai/papers/10.1111/j.1540-6261.2010.01624.x
The paper
HENDERSHOTT, T., JONES, C. M., & MENKVELD, A. J. (2011). Does Algorithmic Trading Improve Liquidity? The Journal of Finance. https://doi.org/10.1111/j.1540-6261.2010.01624.x

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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.