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Exchange-Traded Funds, Market Structure, and the Flash Crash
8 references·16 citing·49 second hop
Exchange-Traded Funds, Market Structure, and the Flash Crash (2012)Exchange-Traded Funds, Market Structure, …The Microstructure of the “Flash Crash”: Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading (2011)The Microstructure of the “Fl…The Flash Crash: High-Frequency Trading in an Electronic Market (2011)The Flash Crash: High-Frequen…Low-Latency Trading (2011)Low-Latency TradingIs market fragmentation harming market quality? (2011)Is market fragmentation harmi…Does Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…Automation, speed, and stock market quality: The NYSE's Hybrid (2011)Automation, speed, and stock …High-Frequency Trading, Stock Volatility, and Price Discovery (2010)High-Frequency Trading, Stock…The Dynamics of Leveraged and Inverse Exchange-Traded Funds (2009)The Dynamics of Leveraged and…Reshaping financial systems: The role of ICT in the diffusion of financial innovations – Recent evidence from European countries (2021)Reshaping financial systems: …The Efficient Market Hypothesis, the Financial Analysts Journal , and the Professional Status of Investment Management (2020)The Efficient Market Hypothes…The effect of ETFs on financial markets: a literature review (2020)The effect of ETFs on financi…Liquidity risk and exchange-traded fund returns, variances, and tracking errors (2020)Liquidity risk and exchange-t…The Flash Crash: A Cautionary Tale About Highly Fragmented Markets (2018)The Flash Crash: A Cautionary…Effects of lit and dark market fragmentation on liquidity (2017)Effects of lit and dark marke…Drawdown: From Practice to Theory and Back Again (2017)Drawdown: From Practice to Th…An Empirical Analysis of Market Segmentation on U.S. Equity Markets (2017)An Empirical Analysis of Mark…The Drift Burst Hypothesis (2016)The Drift Burst HypothesisShort Selling ETFs (2016)Short Selling ETFsDoes High-Frequency Trading Increase Systemic Risk? (2016)Does High-Frequency Trading I…A survey of network-based analysis and systemic risk measurement (2016)A survey of network-based ana…Intraday Share Price Volatility and Leveraged ETF Rebalancing (2015)Intraday Share Price Volatili…ICT Technologies and Financial Innovations: The Case of Exchange Traded Funds in Brazil, Japan, Mexico, South Korea and the United States (2014)ICT Technologies and Financia…High-frequency trading (2013)High-frequency tradingRock around the Clock : An agent-based model of low- and high-frequency trading (1991)Rock around the Clock : An ag…Option Pricing and Replication with Transactions Costs (1985)Path-Dependence of Leveraged ETF Returns (2010)The pricing and performance of leveraged exchange-traded funds (2010)Hedging demand and market intraday momentum (2021)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)Continuous Auctions and Insider Trading (1985)Inferring Trade Direction from Intraday Data (1991)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Liquidity Risk and Expected Stock Returns (2003)Limit order books (2013)News Trading and Speed (2015)An Empirical Evaluation of Accounting Income Numbers (1968)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)The Influence of Institutional Investors on Myopic R&D Investment Behavior (1998)A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS (2012)Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity and Trading Costs (2016)Fast and slow informed trading (2019)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)The Economics of High-Frequency Trading: Taking Stock (2016)Is the Electronic Open Limit Order Book Inevitable? (1994)High-Frequency Trading and Price Discovery (2014)Dark Pool Trading and Information Acquisition (2021)Market Fragmentation (2021)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)The General Theory of Employment, Interest and Money. (1936)Latency, Liquidity and Price Discovery (2011)Liquidity Cycles and Make/Take Fees in Electronic Markets (2012)Need for Speed? Exchange Latency and Liquidity (2017)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)The economics of networks (1996)Market microstructure: A survey (2000)Do Dark Pools Harm Price Discovery? (2013)Equilibrium fast trading (2015)High frequency market microstructure (2015)The equity premium: A puzzle (1985)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Smooth Trading with Overconfidence and Market Power (2013)Cultures of high-frequency trading: mapping the landscape of algorithmic developments in contemporary financial markets (2016)Disrupting Finance (2018)
this work references cited by second hop

References

  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 2011Low-Latency Trading880 cited
  • 2011Is market fragmentation harming market quality?578 cited
  • 2011The Microstructure of the “Flash Crash”: Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading389 cited
  • 2011The Flash Crash: High-Frequency Trading in an Electronic Market388 cited
  • 2011Automation, speed, and stock market quality: The NYSE's Hybrid281 cited
  • 2010High-Frequency Trading, Stock Volatility, and Price Discovery219 cited
  • 2009The Dynamics of Leveraged and Inverse Exchange-Traded Funds178 cited

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  • 2013High-frequency trading103 cited
  • 2017An Empirical Analysis of Market Segmentation on U.S. Equity Markets89 cited
  • 1991Rock around the Clock : An agent-based model of low- and high-frequency trading87 cited
  • 2014ICT Technologies and Financial Innovations: The Case of Exchange Traded Funds in Brazil, Japan, Mexico, South Korea and the United States83 cited
  • 2016The Drift Burst Hypothesis

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  • 2017Drawdown: From Practice to Theory and Back Again55 cited
  • 2020The Efficient Market Hypothesis, the Financial Analysts Journal , and the Professional Status of Investment Management43 cited
  • 2021Reshaping financial systems: The role of ICT in the diffusion of financial innovations – Recent evidence from European countries40 cited
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