Opis

• Tytuł:
  Algorithmic Trading and Efficiency of the Stock Market in Poland
• Twórca:
  Jóźwicki, Rafał;
  Trippner, Paweł;
  Kłos, Karolina
• Współtwórca:
  Jóźwicki, Rafał - University of Lodz, Institute of Finance;
  Trippner, Paweł - University of Social Sciences, Institute of Finance;
  Kłos, Karolina - Owner of Finance and Insurance Center;
  Jóźwicki, Rafał - rafal.jozwicki@uni.lodz.pl;
  Trippner, Paweł - ptrippner@san.edu.pl;
  Kłos, Karolina - ptrippner@san.edu.pl
• Opis:
  The aim of the article is to investigate the impact of algorithmic trading on the returns obtained in the context of market efficiency theory. The research hypothesis is that algorithmic trading can contribute to a better rate of return than when using passive investment strategies. Technological progress can be observed in many different aspects of our lives, including investing in capital markets where we can see changes resulting from the spread of new technologies.The methodology used in this paper consists in confronting a sample trading system based on classical technical analysis tools with a control strategy consisting in buying securities at the beginning of the test period and holding them until the end of this period.The results obtained confirm the validity of the theory of information efficiency of the capital market, as the active investment strategy based on algorithmic trading did not yield better results than the control strategy.
• Dostępność obiektu:
  Dostęp otwarty
• Prawa: https://creativecommons.org/licenses/by-nc-nd/4.0
• Data:
  2021.07.23;
  2021.06.30
• Typ:
  Article
• Język:
  angielski
• Format:
  application/pdf
• Wydawca:
  Wydawnictwo Uniwersytetu Łódzkiego
• Relacja:
  Finanse i Prawo Finansowe;30;
  2
• Temat i słowa kluczowe:
  algorithmic trading;
  market efficiency;
  trading system;
  investing;
  technical analysis
• Identyfikator:
  2391-6478;
  http://hdl.handle.net/11089/38166 ;
  2353-5601;
  10.18778/2391-6478.2.30.05
• Dostawca danych:
  Repozytorium Uniwersytetu Łódzkiego
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