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Seeking and Hiding Fundamental Information in Order Flows
16 references·0 citing·38 second hop
Seeking and Hiding Fundamental Information in Order Flows (2015)Seeking and Hiding Fundamental Informatio…The Economics of High-Frequency Trading: Taking Stock (2016)The Economics of High-Frequen…News Trading and Speed (2015)News Trading and SpeedMeasuring skill in the mutual fund industry (2015)Measuring skill in the mutual…Equilibrium fast trading (2015)Equilibrium fast tradingHigh-Frequency Trading and Price Discovery (2014)High-Frequency Trading and Pr…Flash boys: a Wall Street revolt (2014)Flash boys: a Wall Street rev…The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)The High-Frequency Trading Ar…Market-Based Corrective Actions (2009)Market-Based Corrective Actio…Episodic Liquidity Crises: Cooperative and Predatory Trading (2007)Episodic Liquidity Crises: Co…Predatory Trading (2005)Predatory TradingTrading and Exchanges: Market Microstructure for Practitioners (2002)Trading and Exchanges: Market…Public Disclosure and Dissimulation of Insider Trades (2001)Public Disclosure and Dissimu…Imperfect Competition among Informed Traders (2000)Imperfect Competition among I…Long-Lived Private Information and Imperfect Competition (1992)Long-Lived Private Informatio…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Information Effects on the Bid-Ask Spread (1983)Network externalities, competition, and compatibility (1985)Liquidity and Market Structure (1988)Secondary Trading Costs in the Municipal Bond Market (2006)Liquidity in Asset Markets With Search Frictions (2009)The Online Advertising Industry: Economics, Evolution, and Privacy (2009)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Investment analysis and price formation in securities markets (1995)Presidential Address: Liquidity and Price Discovery (2003)Institutional Investors and the Informational Efficiency of Prices (2009)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)On the Impossibility of Informationally Efficient Markets (1980)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)The Private and Social Value of Information and the Reward to Inventive Activity (1978)The Diversity of High Frequency Traders (2012)Big data in finance and the growth of large firms (2018)Green credit policy and corporate access to bank loans in China: The role of environmental disclosure and green innovation (2021)On Persistence in Mutual Fund Performance (1997)Scale and skill in active management (2014)Assessing asset pricing models using revealed preference (2015)Investor flows and fragility in corporate bond funds (2017)Essays in Positive Economics (1954)Liquidity Risk and Expected Stock Returns (2003)Optimal execution strategies in limit order books with general shape functions (2009)Dynamic Trading with Predictable Returns and Transaction Costs (2013)Systemic Risk and Stability in Financial Networks (2013)Noise Trader Risk in Financial Markets (1990)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)Trading and Arbitrage in Cryptocurrency Markets (2018)Machine behaviour (2019)High-Frequency Trading and Market Performance (2015)Does Algorithmic Trading Reduce Information Acquisition? (2017)Do High-Frequency Traders Anticipate Buying and Selling Pressure? (2020)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 2014High-Frequency Trading and Price Discovery1,168 cited
  • 2013The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response886 cited
  • 2015Measuring skill in the mutual fund industry816 cited
  • 1992Long-Lived Private Information and Imperfect Competition802 cited
  • 2005Predatory Trading588 cited
  • 2015Equilibrium fast trading536 cited
  • 2002Trading and Exchanges: Market Microstructure for Practitioners517 cited
  • 2014Flash boys: a Wall Street revolt444 cited
  • 2000Imperfect Competition among Informed Traders329 cited
  • 2015News Trading and Speed305 cited
  • 2001Public Disclosure and Dissimulation of Insider Trades303 cited
  • 2016The Economics of High-Frequency Trading: Taking Stock294 cited
  • 2009Market-Based Corrective Actions278 cited
  • 2007Episodic Liquidity Crises: Cooperative and Predatory Trading271 cited

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