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Sub-Penny and Queue-Jumping
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Sub-Penny and Queue-Jumping (2013)Sub-Penny and Queue-JumpingSecurities and Exchange Commission (SEC) (2018)Securities and Exchange Commi…Should we be afraid of the dark? Dark trading and market quality (2016)Should we be afraid of the da…Dark pool trading strategies, market quality and welfare (2016)Dark pool trading strategies,…Dark trading and price discovery (2015)Dark trading and price discov…The Impact of Dark Trading and Visible Fragmentation on Market Quality (2014)The Impact of Dark Trading an…High-Frequency Trading and Price Discovery (2014)High-Frequency Trading and Pr…The Diversity of High Frequency Traders (2012)The Diversity of High Frequen…Low-Latency Trading (2011)Low-Latency TradingEquity Trading in the 21st Century (2011)Equity Trading in the 21st Ce…A Dynamic Model of the Limit Order Book (2009)A Dynamic Model of the Limit …Limit Order Book as a Market for Liquidity (2005)Limit Order Book as a Market …Equilibrium in a Dynamic Limit Order Market (2005)Equilibrium in a Dynamic Limi…Trade Execution Costs and Market Quality after Decimalization (2003)Trade Execution Costs and Mar…Order flow composition and trading costs in a dynamic limit order market (1999)Order flow composition and tr…Price Dynamics in Limit Order Markets (1998)Price Dynamics in Limit Order…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…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)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)Estimating the components of the bid/ask spread (1988)Differences of Opinion Make a Horse Race (1993)Continuous Auctions and Insider Trading (1985)Price, trade size, and information in securities markets (1987)How Markets Slowly Digest Changes in Supply and Demand (2009)A Stochastic Model for Order Book Dynamics (2010)Optimal trading strategy and supply/demand dynamics (2012)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)Mean reversion in stock prices (1988)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Recent trends in trading activity and market quality (2011)Have capital market anomalies attenuated in the recent era of high liquidity and trading activity? (2014)On the Impossibility of Informationally Efficient Markets (1980)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)The Cost of Transacting (1968)High frequency market microstructure (2015)PRACTITIONERS’ CORNER: Computing Robust Standard Errors for Within‐groups Estimators * (1987)Liquidity and Market Structure (1988)Does Algorithmic Trading Improve Liquidity? (2011)Very fast money: High-frequency trading on the NASDAQ (2013)News Trading and Speed (2015)Algorithmic Trading and Market Quality: International Evidence (2020)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Informed traders and limit order markets (2009)The Flash Crash: High-Frequency Trading in an Electronic Market (2011)Do Dark Pools Harm Price Discovery? (2013)
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References

  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 2014High-Frequency Trading and Price Discovery1,168 cited
  • 2011Low-Latency Trading880 cited
  • 1999Order flow composition and trading costs in a dynamic limit order market673 cited
  • 2005Limit Order Book as a Market for Liquidity614 cited
  • 1998Price Dynamics in Limit Order Markets597 cited
  • 2009A Dynamic Model of the Limit Order Book567 cited
  • 2003Trade Execution Costs and Market Quality after Decimalization512 cited
  • 2005Equilibrium in a Dynamic Limit Order Market439 cited
  • 2012The Diversity of High Frequency Traders425 cited
  • 2011Equity Trading in the 21st Century294 cited
  • 2015Dark trading and price discovery202 cited
  • 2014The Impact of Dark Trading and Visible Fragmentation on Market Quality201 cited
  • 2016Should we be afraid of the dark? Dark trading and market quality133 cited
  • 2016Dark pool trading strategies, market quality and welfare131 cited
  • 2018Securities and Exchange Commission (SEC)127 cited

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