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Algorithmic trading, the Flash Crash, and coordinated circuit breakers
16 references·0 citing·40 second hopsampled
Algorithmic trading, the Flash Crash, and coordinated circuit breakers (2013)Algorithmic trading, the Flash Crash, and…High Frequency Trading and Its Impact on Market Quality (2018)High Frequency Trading and It…Do Dark Pools Harm Price Discovery? (2013)Do Dark Pools Harm Price Disc…High Frequency Trading and the New-Market Makers (2012)High Frequency Trading and th…High Frequency Trading and Price Discovery (2012)High Frequency Trading and Pr…The Flash Crash: High-Frequency Trading in an Electronic Market (2011)The Flash Crash: High-Frequen…The Flash Crash: High-Frequency Trading in an Electronic Market (2011)The Flash Crash: High-Frequen…Recent trends in trading activity and market quality (2011)Recent trends in trading acti…Low-Latency Trading (2011)Low-Latency TradingDoes Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…Trading strategies during circuit breakers and extreme market movements (2004)Trading strategies during cir…Multidimensional Uncertainty and Herd Behavior in Financial Markets (1998)Multidimensional Uncertainty …Circuit Breakers and Market Volatility: A Theoretical Perspective (1994)Circuit Breakers and Market V…Transactional risk, market crashes, and the role of circuit breakers (1993)Transactional risk, market cr…Stock Market Crashes and the Performance of Circuit Breakers: Empirical Evidence (1993)Stock Market Crashes and the …Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close (1992)Trading Halts and Market Acti…Transactional Risk, Market Crashes, and the Role of Circuit Breakers (1991)Transactional Risk, Market Cr…On the Impossibility of Informationally Efficient Markets (1980)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)A Simple Model of Herd Behavior (1992)Does herding behavior exist in Chinese stock markets? (2005)Information Uncertainty and Expected Returns (2005)Manipulation and the Allocational Role of Prices (2008)A Theory of Intraday Patterns: Volume and Price Variability (1988)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)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)The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange (2003)Liquidity and Financial Market Stability (2010)The General Theory of Employment, Interest and Money. (1936)Expected stock returns and volatility (1987)Why Does Stock Market Volatility Change Over Time? (1989)Trading and Liquidity on the Tokyo Stock Exchange: A Bird's Eye View (1994)Strategic trading, asymmetric information and heterogeneous prior beliefs (1998)The cross-section of intraday and overnight returns (2021)On estimating the expected return on the market (1980)Market Liquidity and Funding Liquidity (2008)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)High frequency market microstructure (2015)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)Liquidity Risk and Expected Stock Returns (2003)The Microstructure of the “Flash Crash”: Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading (2011)Limit order books (2013)News Trading and Speed (2015)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Liquidity Measurement Problems in Fast, Competitive Markets: Expensive and Cheap Solutions (2012)High-Frequency Trading (2011)Very fast money: High-frequency trading on the NASDAQ (2013)Fact or friction: Jumps at ultra high frequency (2014)The Impact of Dark Trading and Visible Fragmentation on Market Quality (2014)Dark trading and price discovery (2015)Price Discovery without Trading: Evidence from Limit Orders (2019)
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References

  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 2011Low-Latency Trading880 cited
  • 2012High Frequency Trading and the New-Market Makers807 cited
  • 1998Multidimensional Uncertainty and Herd Behavior in Financial Markets748 cited
  • 2011Recent trends in trading activity and market quality473 cited
  • 2011The Flash Crash: High-Frequency Trading in an Electronic Market388 cited
  • 2011The Flash Crash: High-Frequency Trading in an Electronic Market327 cited
  • 2013Do Dark Pools Harm Price Discovery?309 cited
  • 1994Circuit Breakers and Market Volatility: A Theoretical Perspective259 cited
  • 1992Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close187 cited
  • 2004Trading strategies during circuit breakers and extreme market movements182 cited
  • 2012High Frequency Trading and Price Discovery165 cited
  • 1991Transactional Risk, Market Crashes, and the Role of Circuit Breakers157 cited
  • 1993Stock Market Crashes and the Performance of Circuit Breakers: Empirical Evidence145 cited
  • 1993Transactional risk, market crashes, and the role of circuit breakers142 cited

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2018
High Frequency Trading and Its Impact on Market Quality
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