---
title: Intraday Profitability in Algorithmic Trading
url: https://www.ml-quant.com/papers/repec/eee-ecmode-v-128-y-2023-i-c-s0264999323003334/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323003334
source_url: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fwww.sciencedirect.com%2Fscience%2Farticle%2Fpii%2FS0264999323003334%3Bh%3Drepec%3Aeee%3Aecmode%3Av%3A128%3Ay%3A2023%3Ai%3Ac%3As0264999323003334
featured: 2023-10-12
citations: unknown
topic: Trading, Microstructure & Execution
---


# Intraday Profitability in Algorithmic Trading

A study reveals that algorithmic traders profit while non-algorithmic traders lose, with market volatility causing contrasting trading behaviors.

- Source: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fwww.sciencedirect.com%2Fscience%2Farticle%2Fpii%2FS0264999323003334%3Bh%3Drepec%3Aeee%3Aecmode%3Av%3A128%3Ay%3A2023%3Ai%3Ac%3As0264999323003334
- Identifier: RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323003334
- Released: 2023-10-12
- First featured: Quant Letter No. 20 (2023-10-12): https://www.ml-quant.com/issues/2023-10-12/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Trading, Microstructure & Execution

## Related

- [FAST: Efficient Action Tokenization for Vision-Language-Action Models](https://www.ml-quant.com/papers/arxiv/2501.09747/): A new tokenization scheme, Frequency-space Action Sequence Tokenization (FAST), has been proposed for robot actions, facilitating the training of vision-language action policies for complex and high-frequency tasks.
- [Deep Reinforcement Learning for Active High Frequency Trading](https://www.ml-quant.com/papers/arxiv/2101.07107/): A new Deep Reinforcement Learning framework has been developed for high frequency stock trading, showing potential for profitable long-term strategies.
- [Non-uniformly sampled simulated price impact of an order-book](https://www.ml-quant.com/papers/arxiv/2310.06079/): Order Book Simulation: The paper expands a numerical method to simulate the spread of financial market orders, showing the price impact of flash limit-orders and market orders, and advocates for non-uniform sampling in diffusive dynamics simulations.
- [Statistical arbitrage portfolio construction based on preference relations](https://www.ml-quant.com/papers/doi/10-1016-j-eswa-2023-121906/): The article suggests a new method for portfolio construction using preference relation graphs, which can improve the performance of statistical arbitrage methods by reconciling contradictory trading signals.
- [Robust Algorithmic Trading in a Generalized Lattice Market](https://www.ml-quant.com/papers/arxiv/2310.11023/): The article presents a new robust trading paradigm, multi-double linear policies, within a generalized lattice market model, demonstrating its effectiveness using data from the top 30 S&P 500 companies.
- [Uncovering Market Disorder and Liquidity Trends Detection](https://www.ml-quant.com/papers/arxiv/2310.09273/): The article proposes a new method to detect significant changes in liquidity in an order-driven market using a market liquidity model and Marked Hawkes processes, validated with real market data.
