Algorithmic Trading and Efficiency of the Stock Market in Poland

Rafał Jóźwicki; Paweł Trippner; Karolina Kłos

doi:10.18778/2391-6478.2.30.05

Authors

Rafał Jóźwicki University of Lodz, Institute of Finance https://orcid.org/0000-0002-4346-4046
Paweł Trippner University of Social Sciences, Institute of Finance https://orcid.org/0000-0003-1060-517X
Karolina Kłos Owner of Finance and Insurance Center

DOI:

https://doi.org/10.18778/2391-6478.2.30.05

Keywords:

algorithmic trading, market efficiency, trading system, investing, technical analysis

Abstract

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.

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