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The Cost of Latency
16 references·1 citing·42 second hop
The Cost of Latency (2011)The Cost of LatencyThe Flash Crash: High‐Frequency Trading in an Electronic Market (2017)The Flash Crash: High‐Frequen…The Flash Crash: High-Frequency Trading in an Electronic Market (2011)The Flash Crash: High-Frequen…Low-Latency Trading (2011)Low-Latency TradingDoes Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…Technology and liquidity provision: The blurring of traditional definitions (2008)Technology and liquidity prov…Empirical Market Microstructure (2007)Empirical Market Microstructu…Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…Adverse Selection and Competitive Market Making: Empirical Evidence from a Limit Order Market (2001)Adverse Selection and Competi…Optimal Dynamic Order Submission Strategies in Some Stylized Trading Problems (1998)Optimal Dynamic Order Submiss…Optimal control of execution costs (1998)Optimal control of execution …Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …The implementation shortfall (1988)The implementation shortfallLiquidity and Market Structure (1988)Liquidity and Market StructureOption Pricing and Replication with Transactions Costs (1985)Option Pricing and Replicatio…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Information Effects on the Bid-Ask Spread (1983)Information Effects on the Bi…Reducing Transaction Costs with Low-Latency Trading Algorithms (2015)Reducing Transaction Costs wi…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Price, trade size, and information in securities markets (1987)The Relation Between Price Changes and Trading Volume: A Survey (1987)Measuring the Information Content of Stock Trades (1991)Theory of rational option pricing (2005)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)A Theory of Intraday Patterns: Volume and Price Variability (1988)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)High Frequency Trading and the New-Market Makers (2012)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)Common stock repurchases (1981)Continuous Auctions and Insider Trading (1985)Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism? (1999)60 Years of portfolio optimization: Practical challenges and current trends (2013)Dynamic Trading with Predictable Returns and Transaction Costs (2013)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Common factors in prices, order flows, and liquidity (2001)Stealth-trading: Which traders' trades move stock prices? (2001)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)A Theory of Auctions and Competitive Bidding (1982)Order flow composition and trading costs in a dynamic limit order market (1999)Presidential Address: Friction (2000)Inferring Trade Direction from Intraday Data (1991)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)High-Frequency Trading and Price Discovery (2014)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)The Valuation of Uncertain Income Streams and the Pricing of Options (1976)European Option Pricing with Transaction Costs (1993)Pricing and hedging derivative securities in markets with uncertain volatilities (1995)Rollover Risk and Credit Risk (2012)The Cost of Transacting (1968)Liquidity and stock returns: An alternative test (1998)A New Estimate of Transaction Costs (1999)Commonality in liquidity (2000)Flow Toxicity and Liquidity in a High-frequency World (2012)Risk and Return in High Frequency Trading (2014)Algorithmic Trading and Market Quality: International Evidence (2020)
this work references cited by second hop

References

  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 2001Optimal execution of portfolio transactions1,598 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 1998Optimal control of execution costs1,056 cited
  • 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
  • 1985Option Pricing and Replication with Transactions Costs915 cited
  • 2011Low-Latency Trading880 cited
  • 2017The Flash Crash: High‐Frequency Trading in an Electronic Market794 cited
  • 1988The implementation shortfall441 cited
  • 2007Empirical Market Microstructure430 cited
  • 2011The Flash Crash: High-Frequency Trading in an Electronic Market388 cited
  • 1998Optimal Dynamic Order Submission Strategies in Some Stylized Trading Problems281 cited
  • 2008Technology and liquidity provision: The blurring of traditional definitions279 cited
  • 2001Adverse Selection and Competitive Market Making: Empirical Evidence from a Limit Order Market

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  • 2015Reducing Transaction Costs with Low-Latency Trading Algorithms27 cited