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Trading by numbers

Trading by numbers

Source: Investment Technology Group

The cost of algorithmic trading: a first look at comparative performance by ITG managing director Ian Domowitz and director Henry Yegerman

The ITG study evaluated over 2.5 million orders, consisting of about 10 billion shares (valued at over $80 billion) traded in 2004, from more than 40 institutions.

Researchers looked not only at the performance of algorithmic trading versus non-algorithmic trading but also compared the performance of different algorithmic systems offered by six unidentified brokers.

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