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Auctions as algorithms
9 references·14 citing·44 second hop
Auctions as algorithms (1994)Auctions as algorithmsTrading Mechanisms in Securities Markets (1992)Trading Mechanisms in Securit…Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market (1991)Volatility, Efficiency, and T…Liquidity , Trading Rules and Electronic Trading Systems . (1990)Liquidity , Trading Rules and…Market Making and the Changing Structure of the Securities Industry (1985)Market Making and the Changin…Market Behavior in a Clearing House (1982)Market Behavior in a Clearing…Queues with paired customers (1981)Queues with paired customersStructural Organization of Secondary Markets: Clearing Frequency, Dealer Activity and Liquidity Risk (1979)Structural Organization of Se…Market microstructure (1976)Market microstructureAssembly-like queues (1973)Assembly-like queuesNight trading and market quality: Evidence from Chinese and US precious metal futures markets (2020)Night trading and market qual…High Frequency Asymptotics for the Limit Order Book (2016)High Frequency Asymptotics fo…Measuring the liquidity part of volume (2014)Measuring the liquidity part …Zero intelligence in economics and finance (2012)Zero intelligence in economic…On the hidden side of liquidity (2011)On the hidden side of liquidi…The virtues and vices of equilibrium and the future of financial economics (2008)The virtues and vices of equi…A market-clearing role for inefficiency on a limit order book (2008)A market-clearing role for in…Markets come to bits: Evolution, computation and markomata in economic science (2007)Markets come to bits: Evoluti…The contribution of market makers to liquidity and efficiency of options trading in electronic markets (2005)The contribution of market ma…Open Sesame: Alternative Opening Algorithms in Securities Markets (2001)Open Sesame: Alternative Open…The Effects of Trading Methods on Volatility and Liquidity: Evidence from the Taiwan Stock Exchange (1999)The Effects of Trading Method…Asymmetric information and the bid-ask spread: an empirical comparison between automated order execution and open outcry auction (1999)Asymmetric information and th…Order flow and the bid-ask spread: An empirical probability model of screen-based trading (1997)Order flow and the bid-ask sp…Automating the Price Discovery Process: Some International Comparisons and Regulatory Implications (1992)Automating the Price Discover…The assignment game I: The core (1971)Dealership market (1980)Optimal Auction Design (1981)The Trading Decision and Market Clearing Under Transaction Price Uncertainty (1985)Market microstructure and securities values: (2001)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Asset pricing and the bid-ask spread (1986)U.K. and U.S. Trading of British Cross-Listed Stocks: An Intraday Analysis of Market Integration (1996)Is There Private Information in the FX Market? The Tokyo Experiment (1998)The Cross-Section of Expected Trading Activity (2006)General competitive analysis (1971)The spandrels of San Marco and the Panglossian paradigm: a critique of the adaptationist programme (1979)Taxonomic definitions in social science, with firms, markets and institutions as case studies (2018)The Economy as an Evolving Complex System II (2018)The Democratization of Artificial Intelligence (2019)Imaginary failure: RegTech in finance (2022)The theory of queues with a single server (1952)Multiple channel queues in heavy traffic. I (1970)Multiple channel queues in heavy traffic. II: sequences, networks, and batches (1970)Queueing theory in manufacturing: A survey (1999)Brownian Models of Performance and Control (2013)On the Dynamic Control of Matching Queues (2014)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)An Evolutionary Theory of Economic Change. (1983)ECONOMIC NETWORKS: WHAT DO WE KNOW AND WHAT DO WE NEED TO KNOW? (2009)Factor markets, actors, and affordances (2016)The prevalence of chaotic dynamics in games with many players (2018)An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)Market Structure and the Intraday Pattern of Bid-Ask Spreads for NASDAQ Securities (1995)Internet-Based Virtual Stock Markets for Business Forecasting (2003)Price Discovery without Trading: Evidence from Limit Orders (2019)Does a Large Minimum Price Variation Encourage Order Exposure (1996)The Dynamics of Discrete Bid and Ask Quotes (1999)The information content of the limit order book: evidence from NYSE specialist trading decisions (2004)Daily and Intradaily Tests of European Put-Call Parity (1995)Liquidity Externalities and Adverse Selection: Evidence from Trading after Hours (2004)Trades, quotes, inventories, and information (1988)Tests of microstructural hypotheses in the foreign exchange market (1995)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Price discovery in securities markets (1986)Impacts of the Electronic Marketplace on Transaction Cost and Market Structure (1996)The Double Auction Market Institution: A Survey (2018)
this work references cited by second hop

References

  • 1976Market microstructure555 cited
  • 1992Trading Mechanisms in Securities Markets356 cited
  • 1991Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market306 cited
  • 1990Liquidity , Trading Rules and Electronic Trading Systems .203 cited
  • 1982Market Behavior in a Clearing House184 cited
  • 1979Structural Organization of Secondary Markets: Clearing Frequency, Dealer Activity and Liquidity Risk174 cited
  • 1973Assembly-like queues170 cited
  • 1985Market Making and the Changing Structure of the Securities Industry139 cited
  • 1981Queues with paired customers69 cited

Cited by

  • 2008The virtues and vices of equilibrium and the future of financial economics157 cited
  • 2007Markets come to bits: Evolution, computation and markomata in economic science128 cited
  • 2012Zero intelligence in economics and finance63 cited
  • 1999The Effects of Trading Methods on Volatility and Liquidity: Evidence from the Taiwan Stock Exchange48 cited
  • 2011On the hidden side of liquidity45 cited
  • 2001Open Sesame: Alternative Opening Algorithms in Securities Markets41 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2016High Frequency Asymptotics for the Limit Order Book36 cited
  • 1992Automating the Price Discovery Process: Some International Comparisons and Regulatory Implications36 cited
  • 2008A market-clearing role for inefficiency on a limit order book34 cited
  • 2020Night trading and market quality: Evidence from Chinese and US precious metal futures markets34 cited
  • 2014Measuring the liquidity part of volume33 cited
  • 1997Order flow and the bid-ask spread: An empirical probability model of screen-based trading32 cited
  • 2005The contribution of market makers to liquidity and efficiency of options trading in electronic markets31 cited
  • 1999Asymmetric information and the bid-ask spread: an empirical comparison between automated order execution and open outcry auction26 cited