This bibliometric analysis aims to comprehensively map and analyse the field of algorithmic
finance research, examining 1,184 publications published between 2001 and 2023 after …

We propose a high-frequency rebalancing algorithm (HFRA) and compare its performance
with periodic rebalancing (PR) and threshold rebalancing (TR) strategies. PR refers to the …

The widespread adoption of information technology has fundamentally transformed the way
information is processed in the financial market. One such technological advancement is …

Much of the liquidity supply in modern markets comes from algorithmic traders (ATs).
Prompted by concerns of fragility induced by such voluntary market making, we examine …

Understanding liquidity and liquidity risk is essential for effective risk management. We
investigate liquidity spillover effects among ETFs that track the S&P sectors. In particular …

The symmetric trading algorithm (STA) and asymmetric trading algorithm (ATA) are
proposed, and a step-by-step pseudo code of proposed algorithms are presented. Utilizing a …

We examine the impact of intraday tracking error—deviations in Exchange Traded Fund
(ETF) prices from indicative Net Asset Values—on liquidity. We find that intraday tracking …

Exchange-traded funds (ETFs) have revolutionized the investment universe since their
inception in 1993. They are indubitably one of the most successful investment structures in …

Thematic strategies have gained a lot of traction and popularity since the world economy
underwent a massive transformation caused by an impactful macro event. Analysts and …

A review of the prior innovations in exchange-traded funds (ETFs), including arbitrage
trading, price discovery processes, short selling, hedging, and leveraged ETFs. An …