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High Frequency Traders and Asset Prices
11 references·13 citing·38 second hopsampled
High Frequency Traders and Asset Prices (2010)High Frequency Traders and Asset PricesA Stochastic Model for Order Book Dynamics (2010)A Stochastic Model for Order …A Dynamic Model of the Limit Order Book (2009)A Dynamic Model of the Limit …High-frequency trading in a limit order book (2008)High-frequency trading in a l…Working Orders in Limit Order Markets and Floor Exchanges (2007)Working Orders in Limit Order…Limit Order Book as a Market for Liquidity (2005)Limit Order Book as a Market …Equilibrium in a Dynamic Limit Order Market (2005)Equilibrium in a Dynamic Limi…Liquidity-Based Competition for Order Flow (2003)Liquidity-Based Competition f…Limit Order Book as a Market for Liquidity (2001)Limit Order Book as a Market …Competing Mechanisms in a Common Value Environment (2000)Competing Mechanisms in a Com…Order flow composition and trading costs in a dynamic limit order market (1999)Order flow composition and tr…Price Dynamics in Limit Order Markets (1998)Price Dynamics in Limit Order…High-frequency trading: a literature review (2019)High-frequency trading: a lit…High Frequency Market Making: Implications for Liquidity (2017)High Frequency Market Making:…Market Fairness: The Poor Country Cousin of Market Efficiency (2015)Market Fairness: The Poor Cou…OR Forum—The Cost of Latency in High-Frequency Trading (2013)OR Forum—The Cost of Latency …Modelling Asset Prices for Algorithmic and High-Frequency Trading (2013)Modelling Asset Prices for Al…Market Microstructure Design and Flash Crashes: A Simulation Approach (2013)Market Microstructure Design …High-Frequency-Trading (2013)High-Frequency-TradingHigh Frequency Trading with Speed Hierarchies (2013)High Frequency Trading with S…High Frequency Traders: Taking Advantage of Speed (2013)High Frequency Traders: Takin…High Frequency Market Making: The Role of Speed (2013)High Frequency Market Making:…The Race to Zero (2012)The Race to ZeroHigh Frequency Trading (2012)High Frequency TradingThe Cost of Latency (2011)The Cost of LatencyBid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Estimating the components of the bid/ask spread (1988)Differences of Opinion Make a Horse Race (1993)Continuous Auctions and Insider Trading (1985)Price, trade size, and information in securities markets (1987)How Markets Slowly Digest Changes in Supply and Demand (2009)Optimal trading strategy and supply/demand dynamics (2012)Information Effects on the Bid-Ask Spread (1983)A Theory of Intraday Patterns: Volume and Price Variability (1988)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)Adverse Selection and Competitive Market Making: Empirical Evidence from a Limit Order Market (2001)A simulation analysis of the microstructure of double auction markets* (2002)Optimal Trading Strategy and Supply/Demand Dynamics (2005)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Equilibrium in Competitive Insurance Markets: An Essay on the Economics of Imperfect Information (1976)Optimal Auction Design (1981)The Economics of Multidimensional Screening (2010)Strategic Supply Function Competition With Private Information (2011)Overcoming Adverse Selection: How Public Intervention Can Restore Market Functioning (2012)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)The Cost of Transacting (1968)High frequency market microstructure (2015)Applied Probability and Queues (1987)Applied Probability and Queues (2003)Limit order books (2013)Price Dynamics in a Markovian Limit Order Market (2013)Universal features of price formation in financial markets: perspectives from deep learning (2019)The Effect of a Closing Call Auction on Market Quality and Trading Strategies (2010)How do designated market makers create value for small-caps? (2013)How efficiency shapes market impact (2013)Informed traders and limit order markets (2009)The Flash Crash: High-Frequency Trading in an Electronic Market (2011)Do Dark Pools Harm Price Discovery? (2013)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1999Order flow composition and trading costs in a dynamic limit order market673 cited
  • 2005Limit Order Book as a Market for Liquidity614 cited
  • 1998Price Dynamics in Limit Order Markets597 cited
  • 2009A Dynamic Model of the Limit Order Book567 cited
  • 2010A Stochastic Model for Order Book Dynamics506 cited
  • 2008High-frequency trading in a limit order book496 cited
  • 2005Equilibrium in a Dynamic Limit Order Market439 cited
  • 2000Competing Mechanisms in a Common Value Environment353 cited
  • 2003Liquidity-Based Competition for Order Flow230 cited
  • 2007Working Orders in Limit Order Markets and Floor Exchanges98 cited
  • 2001Limit Order Book as a Market for Liquidity98 cited

Cited by

  • 2013Modelling Asset Prices for Algorithmic and High-Frequency Trading82 cited
  • 2013High Frequency Traders: Taking Advantage of Speed62 cited
  • 2013OR Forum—The Cost of Latency in High-Frequency Trading56 cited
  • 2013High Frequency Market Making: The Role of Speed44 cited
  • 2012The Race to Zero

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42 cited
  • 2017High Frequency Market Making: Implications for Liquidity39 cited
  • 2015Market Fairness: The Poor Country Cousin of Market Efficiency34 cited
  • 2019High-frequency trading: a literature review32 cited
  • 2012High Frequency Trading31 cited
  • 2013High Frequency Trading with Speed Hierarchies30 cited
  • 2013Market Microstructure Design and Flash Crashes: A Simulation Approach28 cited
  • 2013High-Frequency-Trading28 cited
  • 2011The Cost of Latency28 cited