FRIDAY SEMINAR
Date: 27th March 2026
Time: 04:00PM
VENUE:
MS TEAMS LINK
Join:
https://teams.microsoft.com/meet/44961754258560?p=Tc4cQ9rDGoTj027OR2
Meeting ID:
449 617 542 585 60
Passcode:
nC3UT9eC
Speaker:
Dr. Devika Arumugam
Asst Professor,
IIM, Indore
Title: “Trading in the Shadows: can Algo Trading amplify intraday tail risk?”
Brief Bio: Dr. Devika Arumugam is an Assistant Professor in the Finance and Accounting area at the Indian Institute of Management Indore and has been awarded the Young Faculty Research Chair for 2024. Her doctoral work at the Indian Institute of Technology Madras focused on algorithmic trading and its impact on market quality. She was also a Fulbright Scholar and Visiting Researcher at Emory University’s Goizueta Business School, USA, where she conducted research on high-frequency trading. Her academic interests lie in market microstructure, high-frequency finance, and algorithmic trading, with an emphasis on how technology and data reshape trading behavior and market efficiency.
ABSTRACT: This study delves into the bidirectional link between Algorithmic Trading and intraday tail risk. It reveals that both Proprietary and Agency Algorithmic Traders (ATs), through their order placements and cancellations, contribute to lowering intraday tail risk. Interestingly, this relationship is two-sided: tail risk reduces order activity across trader types. While order placements by all ATs (Proprietary, Agency, and Retail ATs) decrease with rising tail risk, only Agency ATs’ cancellations exhibit the same trend. These findings reveal heterogeneity in risk sensitivities and trading responses among ATs.
ALL ARE WELCOME