Algorithmic Trading and Efficiency of the Stock Market in Poland
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 pr...
| Main Authors: | , , |
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| Format: | Article |
| Language: | deu |
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Lodz University Press
2021-06-01
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| Series: | Finanse i Prawo Finansowe |
| Subjects: | |
| Online Access: | https://czasopisma.uni.lodz.pl/fipf/article/view/10048 |
| _version_ | 1818580281547816960 |
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| author | Rafał Jóźwicki Paweł Trippner Karolina Kłos |
| author_facet | Rafał Jóźwicki Paweł Trippner Karolina Kłos |
| author_sort | Rafał Jóźwicki |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-16T07:15:06Z |
| format | Article |
| id | doaj.art-85ee378b5a524ed2bf6ee8b3f2a69e64 |
| institution | Directory Open Access Journal |
| issn | 2391-6478 2353-5601 |
| language | deu |
| last_indexed | 2024-12-16T07:15:06Z |
| publishDate | 2021-06-01 |
| publisher | Lodz University Press |
| record_format | Article |
| series | Finanse i Prawo Finansowe |
| spelling | doaj.art-85ee378b5a524ed2bf6ee8b3f2a69e642022-12-21T22:39:47ZdeuLodz University PressFinanse i Prawo Finansowe2391-64782353-56012021-06-01230758510.18778/2391-6478.2.30.059947Algorithmic Trading and Efficiency of the Stock Market in PolandRafał Jóźwicki0https://orcid.org/0000-0002-4346-4046Paweł Trippner1https://orcid.org/0000-0003-1060-517XKarolina Kłos2University of Lodz, Institute of FinanceUniversity of Social Sciences, Institute of FinanceOwner of Finance and Insurance CenterThe 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.https://czasopisma.uni.lodz.pl/fipf/article/view/10048algorithmic tradingmarket efficiencytrading systeminvestingtechnical analysis |
| spellingShingle | Rafał Jóźwicki Paweł Trippner Karolina Kłos Algorithmic Trading and Efficiency of the Stock Market in Poland Finanse i Prawo Finansowe algorithmic trading market efficiency trading system investing technical analysis |
| title | Algorithmic Trading and Efficiency of the Stock Market in Poland |
| title_full | Algorithmic Trading and Efficiency of the Stock Market in Poland |
| title_fullStr | Algorithmic Trading and Efficiency of the Stock Market in Poland |
| title_full_unstemmed | Algorithmic Trading and Efficiency of the Stock Market in Poland |
| title_short | Algorithmic Trading and Efficiency of the Stock Market in Poland |
| title_sort | algorithmic trading and efficiency of the stock market in poland |
| topic | algorithmic trading market efficiency trading system investing technical analysis |
| url | https://czasopisma.uni.lodz.pl/fipf/article/view/10048 |
| work_keys_str_mv | AT rafałjozwicki algorithmictradingandefficiencyofthestockmarketinpoland AT pawełtrippner algorithmictradingandefficiencyofthestockmarketinpoland AT karolinakłos algorithmictradingandefficiencyofthestockmarketinpoland |