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The Provision of Liquidity by High‐Frequency Participants
16 references·8 citing·37 second hop
The Provision of Liquidity by High‐Frequency Participants (2014)The Provision of Liquidity by High‐Freque…Very fast money: High-frequency trading on the NASDAQ (2013)Very fast money: High-frequen…Algorithmic Trading and the Market for Liquidity (2013)Algorithmic Trading and the M…High Frequency Trading and the New-Market Makers (2012)High Frequency Trading and th…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…Low-Latency Trading (2011)Low-Latency TradingEquity Trading in the 21st Century (2011)Equity Trading in the 21st Ce…Does Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…Technology and liquidity provision: The blurring of traditional definitions (2008)Technology and liquidity prov…High-frequency trading in a limit order book (2008)High-frequency trading in a l…Empirical Analysis of Limit Order Markets (2004)Empirical Analysis of Limit O…Order aggressiveness in limit order book markets (2002)Order aggressiveness in limit…Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong (2001)Limit Orders, Depth, and Vola…The costs and determinants of order aggressiveness (2000)The costs and determinants of…An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …The Cost of Transacting (1968)The Cost of TransactingStock liquidity, financial constraints, and innovation in Chinese SMEs (2024)Stock liquidity, financial co…High‐frequency trading: Definition, implications, and controversies (2021)High‐frequency trading: Defin…Forecasting Financial Markets Using High-Frequency Trading Data: Examination with Strongly Typed Genetic Programming (2019)Forecasting Financial Markets…Algorithmic and high frequency trading in Asia-Pacific, now and the future (2018)Algorithmic and high frequenc…Multiple markets, algorithmic trading, and market liquidity (2016)Multiple markets, algorithmic…Front‐Running Scalping Strategies and Market Manipulation: Why Does High‐Frequency Trading Need Stricter Regulation? (2016)Front‐Running Scalping Strate…The fall of high-frequency trading: A survey of competition and profits (2015)The fall of high-frequency tr…CANCELING LIQUIDITY (2015)CANCELING LIQUIDITYBid, 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)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)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)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)High-Frequency Trading and Price Discovery (2014)Time and the Process of Security Price Adjustment (1992)Optimal execution strategies in limit order books with general shape functions (2009)Limit order books (2013)Optimal dealer pricing under transactions and return uncertainty (1981)Market microstructure theory (1995)Buy Low Sell High: A High Frequency Trading Perspective (2011)Dealing with the inventory risk: a solution to the market making problem (2012)Handbook of the Economics of Finance (2013)Recent advances in reinforcement learning in finance (2023)Liquidity Risk and Expected Stock Returns (2003)The Microstructure of the “Flash Crash”: Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading (2011)News Trading and Speed (2015)Essays in Positive Economics. (1954)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)The Diversity of High Frequency Traders (2012)Algorithmic Trading and Market Quality: International Evidence (2020)Information Effects on the Bid-Ask Spread (1983)Commonality in liquidity (2000)Market Liquidity and Trading Activity (2001)Market microstructure: A survey (2000)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)High-Frequency Trading (2011)Fact or friction: Jumps at ultra high frequency (2014)
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References

  • 1968The Cost of Transacting1,909 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 2011Low-Latency Trading880 cited
  • 2012High Frequency Trading and the New-Market Makers807 cited
  • 2008High-frequency trading in a limit order book496 cited
  • 2013Algorithmic Trading and the Market for Liquidity418 cited
  • 2002Order aggressiveness in limit order book markets409 cited
  • 2011The Flash Crash: High-Frequency Trading in an Electronic Market388 cited
  • 2011The Flash Crash: High-Frequency Trading in an Electronic Market327 cited
  • 2000The costs and determinants of order aggressiveness320 cited
  • 2001Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong308 cited
  • 2013Very fast money: High-frequency trading on the NASDAQ303 cited
  • 2011Equity Trading in the 21st Century294 cited
  • 2008Technology and liquidity provision: The blurring of traditional definitions279 cited
  • 2004Empirical Analysis of Limit Order Markets

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235 cited

Cited by

  • 2016Multiple markets, algorithmic trading, and market liquidity46 cited
  • 2021High‐frequency trading: Definition, implications, and controversies42 cited
  • 2016Front‐Running Scalping Strategies and Market Manipulation: Why Does High‐Frequency Trading Need Stricter Regulation?32 cited
  • 2015CANCELING LIQUIDITY32 cited
  • 2019Forecasting Financial Markets Using High-Frequency Trading Data: Examination with Strongly Typed Genetic Programming27 cited
  • 2015The fall of high-frequency trading: A survey of competition and profits25 cited
  • 2018Algorithmic and high frequency trading in Asia-Pacific, now and the future24 cited
  • 2024Stock liquidity, financial constraints, and innovation in Chinese SMEs18 cited