TY - JOUR T1 - Algorithmic Trading and Fragmentation JF - The Journal of Trading SP - 18 LP - 28 DO - 10.3905/jot.2017.12.4.018 VL - 12 IS - 4 AU - Archana Jain AU - Chinmay Jain AU - Christine X. Jiang Y1 - 2017/09/30 UR - https://pm-research.com/content/12/4/18.abstract N2 - Prior studies on algorithmic trading (AT) have mostly focused on a single exchange. The authors use a public dataset provided by the Securities and Exchange Commission (SEC) covering all major U.S. exchanges to study the impact of AT and its fragmentation on market liquidity. Using a proxy of AT derived from trade to order volume ratio, they find that AT concentrated on a single exchange improves liquidity. However, AT fragmentation onto multiple exchanges is associated with deterioration in liquidity. Their findings suggest a market-making as well as predatory role of AT and have policy implications.TOPICS: Statistical methods, exchanges/markets/clearinghouses ER -