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High Frequency Quoting, Trading, and the Efficiency of Prices · Study

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PreprintHigh Frequency Quoting, Trading, and the Efficiency of Prices

JENNIFER S. CONRAD2013

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Preprintgreen2013

High Frequency Quoting, Trading, and the Efficiency of Prices

JENNIFER S. CONRAD · Sunil Wahal · Jin Xiang

96 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Stochastic processes and financial applications FinTech, Crowdfunding, Digital Finance

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References

2012The Econometrics of Financial Markets 2008Market Liquidity and Funding Liquidity 2011Does Algorithmic Trading Improve Liquidity?1981Optimal dealer pricing under transactions and return uncertainty 2005Market Liquidity and Funding Liquidity 1989The size and power of the variance ratio test in finite samples 2012Liquidity Measurement Problems in Fast, Competitive Markets: Expensive and Cheap Solutions 2013Algorithmic Trading and the Market for Liquidity

Cited by

2018Rent Seeking by Low-Latency Traders: Evidence from Trading on Macroeconomic Announcements 2016High-frequency Trading: Review of the Literature and Regulatory Initiatives around the World 2017Managerial Discretion in Accruals and Informational Efficiency

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2015High-frequency quoting, trading, and the efficiency of pricesarticle · 8 shared references 2014The Empirical Analysis of Liquidityarticle · 6 shared references 2016The Term Structure of Liquidity Provisionarticle · 5 shared references 2013High Frequency Quoting: Short-Term Volatility in Bids and Offersarticle · 4 shared references 2011Empirical cross-sectional asset pricing: a surveyarticle · 4 shared references 2013High Frequency Market Making: The Role of Speedpreprint · 4 shared references

Details

Year2013

Typepreprint

Published2013-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations96

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.2357122

openalex_workW2105299665

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