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High-Frequency Trading and Its Impact on Markets
8 references·2 citing·42 second hop
High-Frequency Trading and Its Impact on Markets (2014)High-Frequency Trading and Its Impact on …High-frequency trading : new realities for traders, markets and regulators (2013)High-frequency trading : new …The Volume Clock: Insights into theHigh-Frequency Paradigm (2012)The Volume Clock: Insights in…Flow Toxicity and Liquidity in a High-frequency World (2012)Flow Toxicity and Liquidity i…The Microstructure of the “Flash Crash”: Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading (2011)The Microstructure of the “Fl…What Is a Quote? (2010)What Is a Quote?Nerds on Wall Street: math, machines, and wired markets (2010)Nerds on Wall Street: math, m…Is Information Risk a Determinant of Asset Returns? (2002)Is Information Risk a Determi…Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…An Entropy Approach to Measure the Dynamic Stock Market Efficiency (2022)An Entropy Approach to Measur…The fall of high-frequency trading: A survey of competition and profits (2015)The fall of high-frequency tr…Short Selling and the Price Discovery Process (2012)Algorithmic Trading and the Market for Liquidity (2013)Flash boys: a Wall Street revolt (2014)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Market Liquidity and Funding Liquidity (2008)High frequency market microstructure (2015)The Economics of High-Frequency Trading: Taking Stock (2016)Why Do Individual Investors Disregard Accounting Information? The Roles of Information Awareness and Acquisition Costs (2017)Common stock repurchases (1981)Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism? (1999)Does Algorithmic Trading Improve Liquidity? (2011)60 Years of portfolio optimization: Practical challenges and current trends (2013)Dynamic Trading with Predictable Returns and Transaction Costs (2013)Order dynamics: Recent evidence from the NYSE (2007)Technology and liquidity provision: The blurring of traditional definitions (2008)The Manipulator's Poker: Order-Based Manipulation in the Chinese Stock Market (2014)Dark Data. Some Methodological Issues in Finance (2016)Price, trade size, and information in securities markets (1987)Time and the Process of Security Price Adjustment (1992)Liquidity, Information, and Infrequently Traded Stocks (1996)Fact or friction: Jumps at ultra high frequency (2014)What's Not There: Odd Lots and Market Data (2014)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Oxford Dictionary of National Biography (2004)Abrupt rise of new machine ecology beyond human response time (2013)Microstructure in the Machine Age (2020)Deep learning in the stock market—a systematic survey of practice, backtesting, and applications (2022)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)Media Coverage and the Cross‐section of Stock Returns (2009)… and the Cross-Section of Expected Returns (2015)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Approximate entropy as a measure of system complexity. (1991)The Econometrics of Financial Markets (1997)Conflicting Codes and Codings: How Algorithmic Trading Is Reshaping Financial Regulation (2010)Federal Market Information Technology in the Post Flash Crash Era: Roles for Supercomputing (2011)Relating news analytics to stock returns (2011)Sparse Coding-Inspired Optimal Trading System for HFT Industry (2015)All That Glitters Is Not Gold: Comparing Backtest and Out-of-Sample Performance on a Large Cohort of Trading Algorithms (2016)High‐frequency trading: Definition, implications, and controversies (2021)
this work references cited by second hop

References

  • 2002Is Information Risk a Determinant of Asset Returns?1,862 cited
  • 2001Optimal execution of portfolio transactions1,598 cited
  • 2012Flow Toxicity and Liquidity in a High-frequency World573 cited
  • 2011The Microstructure of the “Flash Crash”: Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading389 cited
  • 2012The Volume Clock: Insights into theHigh-Frequency Paradigm124 cited
  • 2010Nerds on Wall Street: math, machines, and wired markets46 cited
  • 2013High-frequency trading : new realities for traders, markets and regulators43 cited
  • 2010What Is a Quote?39 cited

Cited by

  • 2022An Entropy Approach to Measure the Dynamic Stock Market Efficiency33 cited
  • 2015The fall of high-frequency trading: A survey of competition and profits25 cited

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