{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,4]],"date-time":"2026-08-04T19:02:08Z","timestamp":1785870128619,"version":"3.56.0"},"reference-count":33,"publisher":"Springer Science and Business Media LLC","issue":"5","license":[{"start":{"date-parts":[[2013,8,6]],"date-time":"2013-08-06T00:00:00Z","timestamp":1375747200000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Inf Syst Front"],"published-print":{"date-parts":[[2013,11]]},"DOI":"10.1007\/s10796-013-9442-9","type":"journal-article","created":{"date-parts":[[2013,8,5]],"date-time":"2013-08-05T06:52:01Z","timestamp":1375685521000},"page":"873-888","source":"Crossref","is-referenced-by-count":10,"title":["The role of algorithmic trading systems on stock market efficiency"],"prefix":"10.1007","volume":"15","author":[{"given":"Ji-Yong","family":"Seo","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Sangmi","family":"Chai","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"297","published-online":{"date-parts":[[2013,8,6]]},"reference":[{"key":"9442_CR1","unstructured":"Allen, H., Hawkins, J, Sato, S (Eds.). (2001). Electronic trading and its implications for financial systems (Vol. 7). Bank for International Settlements."},{"key":"9442_CR2","doi-asserted-by":"crossref","first-page":"151","DOI":"10.1002\/(SICI)1096-9934(199804)18:2<151::AID-FUT2>3.0.CO;2-1","volume":"18","author":"A Antoniou","year":"1998","unstructured":"Antoniou, A., Holmes, P., & Priestley, R. (1998). The effect of stock index futures trading on stock index volatility. Journal of Futures Markets, 18, 151\u2013166.","journal-title":"Journal of Futures Markets"},{"key":"9442_CR3","doi-asserted-by":"crossref","unstructured":"Bakos, J. Y. (1991). A strategic analysis of electronic marketplaces. MIS Quarterly, 295\u2013310.","DOI":"10.2307\/249641"},{"key":"9442_CR4","doi-asserted-by":"crossref","unstructured":"Bollerslev, T. (1986). Generalized Autogressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307\u2013327.","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"9442_CR5","doi-asserted-by":"crossref","first-page":"281","DOI":"10.1016\/0304-405X(92)90037-X","volume":"31","author":"JY Campbell","year":"1992","unstructured":"Campbell, J. Y., & Hentschel, L. (1992). No news is good news: an asymmetric model of changing volatility in stock returns. Journal of Financial Economics, 31, 281\u2013318.","journal-title":"Journal of Financial Economics"},{"key":"9442_CR6","doi-asserted-by":"crossref","first-page":"21","DOI":"10.1016\/S1057-5219(99)00003-4","volume":"8","author":"QC Chu","year":"1999","unstructured":"Chu, Q. C., Hsieh, W. G., & Tse, Y. (1999). Price discovery on the S&P 500 index markets: an analysis of spot index, index futures, and SPDRs. International Review of Financial Analysis, 8, 21\u201334.","journal-title":"International Review of Financial Analysis"},{"key":"9442_CR7","doi-asserted-by":"crossref","first-page":"1693","DOI":"10.1287\/mnsc.43.12.1693","volume":"43","author":"EK Clemons","year":"1997","unstructured":"Clemons, E. K., & Weber, B. W. (1997). Information technology and screen-based securities trading: pricing the stock and pricing the trade. Management Science, 43, 1693\u20131708.","journal-title":"Management Science"},{"key":"9442_CR8","unstructured":"Economist. (2007, March 10). Dodgy tickers-stock exchanges. Economist."},{"key":"9442_CR9","doi-asserted-by":"crossref","unstructured":"Edwards, F. R. (1988). Does the Futures Trading Increase Stock Market Volatility? Financial Analysts Journal, 44(2), 63\u201369.","DOI":"10.2469\/faj.v44.n1.63"},{"key":"9442_CR10","doi-asserted-by":"crossref","unstructured":"Glosten, L. R., Jagannathan, R., & Runkle, D. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance, 48(1779\u20131801).","DOI":"10.1111\/j.1540-6261.1993.tb05128.x"},{"key":"9442_CR11","doi-asserted-by":"crossref","unstructured":"Gorton, G., & Pennacchi, G. (1993). Security baskets and index-linked securities. Journal of Business, 66(1\u201327).","DOI":"10.1086\/296591"},{"key":"9442_CR12","doi-asserted-by":"crossref","first-page":"213","DOI":"10.1111\/j.1468-0084.1986.mp48003002.x","volume":"48","author":"CWJ Granger","year":"1986","unstructured":"Granger, C. W. J. (1986). Developments in the study of cointegrated economic variables. Oxford Bulletin of Economics and Statistics, 48, 213\u2013228.","journal-title":"Oxford Bulletin of Economics and Statistics"},{"key":"9442_CR13","unstructured":"Gsell, M., & Gomber, P. (2009). Algorithmic trading engines versus human traders - Do they behave different in securities markets? Paper presented at the ECIS."},{"issue":"4","key":"9442_CR14","doi-asserted-by":"crossref","first-page":"337","DOI":"10.1080\/01449299008924248","volume":"9","author":"YS Gupta","year":"1990","unstructured":"Gupta, Y. S., & Mccoy, G. (1990). Information technology and securities market. Behaviour & Information Technology, 9(4), 337\u2013349.","journal-title":"Behaviour & Information Technology"},{"issue":"1","key":"9442_CR15","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1111\/j.1540-6261.2010.01624.x","volume":"66","author":"T Hendershott","year":"2011","unstructured":"Hendershott, T., Jones, C. M., & Menkveld, A. J. (2011). Does algorithmic trading improve liquidity? Journal of Finance, 66(1), 1\u201333.","journal-title":"Journal of Finance"},{"issue":"6","key":"9442_CR16","doi-asserted-by":"crossref","first-page":"2955","DOI":"10.1111\/j.1540-6261.2005.00822.x","volume":"60","author":"PK Jain","year":"2005","unstructured":"Jain, P. K. (2005). Financial market design and the equity premium: electronic versus floor trading. Journal of Finance, 60(6), 2955\u20132985.","journal-title":"Journal of Finance"},{"key":"9442_CR17","doi-asserted-by":"crossref","first-page":"231","DOI":"10.1016\/0165-1889(88)90041-3","volume":"12","author":"S Johansen","year":"1988","unstructured":"Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12, 231\u2013254.","journal-title":"Journal of Economic Dynamics and Control"},{"key":"9442_CR18","doi-asserted-by":"crossref","first-page":"1551","DOI":"10.2307\/2938278","volume":"59","author":"S Johansen","year":"1991","unstructured":"Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica, 59, 1551\u20131580.","journal-title":"Econometrica"},{"key":"9442_CR19","doi-asserted-by":"crossref","first-page":"383","DOI":"10.1111\/j.1468-0084.1992.tb00008.x","volume":"54","author":"S Johansen","year":"1992","unstructured":"Johansen, S. (1992). Determination of cointegration rank in the presence of a linear trend. Oxford Bulletin of Economics and Statistics, 54, 383\u2013397.","journal-title":"Oxford Bulletin of Economics and Statistics"},{"issue":"1","key":"9442_CR20","doi-asserted-by":"crossref","first-page":"273","DOI":"10.1111\/j.1540-6261.2008.01316.x","volume":"63","author":"S Kaniel","year":"2008","unstructured":"Kaniel, S., & Titman, S. (2008). Individual investor trading and stock returns. Journal of Finance, 63(1), 273\u2013310.","journal-title":"Journal of Finance"},{"issue":"1","key":"9442_CR21","doi-asserted-by":"crossref","first-page":"127","DOI":"10.1080\/10864415.1996.11518279","volume":"1","author":"HG Lee","year":"1996","unstructured":"Lee, H. G., & Clark, T. H. (1996). Impacts of the electronic marketplace on transaction cost and market structure. International Journal of Electronic Commerce, 1(1), 127\u2013149.","journal-title":"International Journal of Electronic Commerce"},{"issue":"3\u20134","key":"9442_CR22","doi-asserted-by":"crossref","first-page":"243","DOI":"10.1016\/S1042-4431(98)00044-4","volume":"8","author":"M Martens","year":"1998","unstructured":"Martens, M. (1998). Price discovery in high and low volatility periods: open outcry versus electronic trading. Journal of International Financial Markets, Institutions and Money, 8(3\u20134), 243\u2013260.","journal-title":"Journal of International Financial Markets, Institutions and Money"},{"key":"9442_CR23","doi-asserted-by":"crossref","unstructured":"Martin, J. D., & Senchack, A. J. (1991). Index Futures, Program Trading, and the covariability of the major market index stocks. Journal of Futures Markets, 11(1), 95\u2013111.","DOI":"10.1002\/fut.3990110110"},{"issue":"1","key":"9442_CR24","doi-asserted-by":"crossref","first-page":"29","DOI":"10.1016\/S1058-3300(97)90013-6","volume":"6","author":"F Maurice","year":"1997","unstructured":"Maurice, F., & William, C. (1997). Market efficiency before and after the introduction of electronic trading at the Toronto stock exchange. Review of Financial Economics, 6(1), 29\u201356.","journal-title":"Review of Financial Economics"},{"issue":"5","key":"9442_CR25","doi-asserted-by":"crossref","first-page":"457","DOI":"10.1002\/fut.3990100503","volume":"10","author":"J Moser","year":"1990","unstructured":"Moser, J., & Helms, B. (1990). An examination of basis risk due to estimation. Journal of Futures Markets, 10(5), 457\u2013467.","journal-title":"Journal of Futures Markets"},{"key":"9442_CR26","doi-asserted-by":"crossref","unstructured":"Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: a New Approach. Econometrica, 59(2), 347\u2013370.","DOI":"10.2307\/2938260"},{"key":"9442_CR27","unstructured":"Rime, D. (2003). New electronic trading systems in foreign exchange markets. New Economy Handbook, 469\u2013504."},{"key":"9442_CR28","doi-asserted-by":"crossref","first-page":"887","DOI":"10.1002\/fut.20112","volume":"24","author":"RW So","year":"2004","unstructured":"So, R. W., & Tse, Y. (2004). Price discovery in the Hang Seng index markets: index, futures, and the tracker fund. Journal of Futures Markets, 24, 887\u2013907.","journal-title":"Journal of Futures Markets"},{"key":"9442_CR29","doi-asserted-by":"crossref","first-page":"17","DOI":"10.1093\/rfs\/4.1.17","volume":"4","author":"A Subrahmanyam","year":"1991","unstructured":"Subrahmanyam, A. (1991). A theory of trading in stock index futures. Review of Financial Studies, 4, 17\u201351.","journal-title":"Review of Financial Studies"},{"issue":"8","key":"9442_CR30","doi-asserted-by":"crossref","first-page":"713","DOI":"10.1002\/fut.1802","volume":"21","author":"Y Tse","year":"2001","unstructured":"Tse, Y., & Zabotina, T. V. (2001). Transaction costs and market quality: open outcry versus electronic trading. Journal of Futures Markets, 21(8), 713\u2013735.","journal-title":"Journal of Futures Markets"},{"issue":"2","key":"9442_CR31","doi-asserted-by":"crossref","first-page":"29","DOI":"10.1080\/07421222.1999.11518244","volume":"16","author":"BW Weber","year":"1999","unstructured":"Weber, B. W. (1999). Next-generation trading in futures markets: a comparison of open outcry and order matching systems. Journal of Management Information Systems, 16(2), 29\u201345.","journal-title":"Journal of Management Information Systems"},{"issue":"4","key":"9442_CR32","doi-asserted-by":"crossref","first-page":"728","DOI":"10.1016\/j.dss.2004.10.006","volume":"41","author":"BW Weber","year":"2006","unstructured":"Weber, B. W. (2006). Adoption of electronic trading at the international securities exchange. Decision Support Systems, 41(4), 728\u2013746.","journal-title":"Decision Support Systems"},{"key":"9442_CR33","unstructured":"Yoo, I. (2009, Jan 4.). The mega impact of algorithmic trading in spot and future market in Korea. Money Today."}],"container-title":["Information Systems Frontiers"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10796-013-9442-9.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s10796-013-9442-9\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10796-013-9442-9","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,5,31]],"date-time":"2019-05-31T00:36:22Z","timestamp":1559262982000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s10796-013-9442-9"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2013,8,6]]},"references-count":33,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2013,11]]}},"alternative-id":["9442"],"URL":"https:\/\/doi.org\/10.1007\/s10796-013-9442-9","relation":{},"ISSN":["1387-3326","1572-9419"],"issn-type":[{"value":"1387-3326","type":"print"},{"value":"1572-9419","type":"electronic"}],"subject":[],"published":{"date-parts":[[2013,8,6]]}}}