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High Frequency Traders and Asset Prices · Study

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PreprintHigh Frequency Traders and Asset Prices

Jakša Cvitanić2010

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Preprintgreen2010

High Frequency Traders and Asset Prices

Jakša Cvitanić · Andrei Kirilenko

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

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Financial Markets and Investment Strategies Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

1999Order flow composition and trading costs in a dynamic limit order market 2005Limit Order Book as a Market for Liquidity 1998Price Dynamics in Limit Order Markets 2009A Dynamic Model of the Limit Order Book 2010A Stochastic Model for Order Book Dynamics 2008High-frequency trading in a limit order book 2005Equilibrium in a Dynamic Limit Order Market 2000Competing Mechanisms in a Common Value Environment

Cited by

2013Modelling Asset Prices for Algorithmic and High-Frequency Trading 2013High Frequency Traders: Taking Advantage of Speed 2013OR Forum—The Cost of Latency in High-Frequency Trading 2013High Frequency Market Making: The Role of Speed 2012The Race to Zero 2017High Frequency Market Making: Implications for Liquidity 2015Market Fairness: The Poor Country Cousin of Market Efficiency

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2013Market Microstructure Design and Flash Crashes: A Simulation Approacharticle · 10 shared references 2010High Frequency Traders and Asset Pricespreprint · 9 shared references 2017Trading networksarticle · 8 shared references 2005Optimal Trading Strategy and Supply/Demand Dynamicspreprint · 7 shared references 2008Limit Order Markets: A Surveychapter · 7 shared references 2007Working Orders in Limit Order Markets and Floor Exchangesarticle · 7 shared references

Details

Year2010

Typepreprint

Published2010-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations84

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.1569067

openalex_workW2145229117

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2019High-frequency trading: a literature review