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Information Transmission between Financial Markets in Chicago and New York
5 references·2 citing·24 second hop
Information Transmission between Financial Markets in Chicago and New York (2012)Information Transmission between Financia…Low-Latency Trading (2011)Low-Latency TradingHigh Frequency Trading and Market Quality (2011)High Frequency Trading and Ma…Does Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…Intraday Price Formation in U.S. Equity Index Markets (2003)Intraday Price Formation in U…The United States Securities and Exchange Commission: 1942–1946 (1947)The United States Securities …The Value of a Millisecond: Harnessing Information in Fast, Fragmented Markets (2016)The Value of a Millisecond: H…Computerization of the Equity, Foreign Exchange, Derivatives, and Fixed‐Income Markets (2014)Computerization of the Equity…Bid, 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)High Frequency Trading and the New-Market Makers (2012)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)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)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)Risk, Return, and Equilibrium: Empirical Tests (1973)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Leverage and Volatility Feedback Effects in High-Frequency Data (2006)The Flash Crash: High-Frequency Trading in an Electronic Market (2011)The Flash Crash: High-Frequency Trading in an Electronic Market (2011)Corporate Bond Market Transaction Costs and Transparency (2007)Price Discovery in the U.S. Treasury Market: Automation vs. Intermediation (2012)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)Reducing the burden of US GAAP reconciliations by foreign companies listed in the United States: the key question of materiality (1999)Transatlantic banking crisis: analysis, rating, policy issues (2010)On the impact of jet fuel cost on airlines’ capacity choice: Evidence from the U.S. domestic markets (2018)Latency, Liquidity and Price Discovery (2011)Liquidity Cycles and Make/Take Fees in Electronic Markets (2012)High-Frequency Trading and Market Performance (2015)
this work references cited by second hop

References

  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 2011Low-Latency Trading880 cited
  • 2003Intraday Price Formation in U.S. Equity Index Markets502 cited
  • 2011High Frequency Trading and Market Quality204 cited
  • 1947The United States Securities and Exchange Commission: 1942–194660 cited

Cited by

  • 2016The Value of a Millisecond: Harnessing Information in Fast, Fragmented Markets27 cited
  • 2014Computerization of the Equity, Foreign Exchange, Derivatives, and Fixed‐Income Markets19 cited

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