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Equilibrium High Frequency Trading
13 references·11 citing·42 second hopsampled
Equilibrium High Frequency Trading (2011)Equilibrium High Frequency TradingLiquidity Cycles and Make/Take Fees in Electronic Markets (2012)Liquidity Cycles and Make/Tak…High Frequency Trading and Price Discovery (2012)High Frequency Trading and Pr…Financial Expertise as an Arms Race (2012)Financial Expertise as an Arm…Does Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…Complementarities, Multiplicity, and Supply Information (2009)Complementarities, Multiplici…Algorithmic Trading and Information (2009)Algorithmic Trading and Infor…Why Has CEO Pay Increased So Much? * (2008)Why Has CEO Pay Increased So …Technology and liquidity provision: The blurring of traditional definitions (2008)Technology and liquidity prov…Equilibrium in a Dynamic Limit Order Market (2005)Equilibrium in a Dynamic Limi…Market Making with Costly Monitoring: An Analysis of the SOES Controversy (2003)Market Making with Costly Mon…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Make-take decisions under high-frequency trading competition (2019)Make-take decisions under hig…Take Profit and Stop Loss Trading Strategies Comparison in Combination with an MACD Trading System (2018)Take Profit and Stop Loss Tra…Optimal taxation with rent-seeking (2016)Optimal taxation with rent-se…Option Trading Costs Are Lower than You Think (2015)Option Trading Costs Are Lowe…Gaussian process-based algorithmic trading strategy identification (2015)Gaussian process-based algori…Order-to-trade ratios and market liquidity (2014)Order-to-trade ratios and mar…Information Transmission between Financial Markets in Chicago and New York (2014)Information Transmission betw…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:…Algorithmic trading, the Flash Crash, and coordinated circuit breakers (2013)Algorithmic trading, the Flas…The Impacts of Automation and High Frequency Trading on Market Quality (2012)The Impacts of Automation and…Essays in Positive Economics. (1954)Inferring Trade Direction from Intraday Data (1991)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS (2012)Empirical evaluation of an automated intraday stock recommendation system incorporating both market data and textual news (2013)Improving financial trading decisions using deep Q-learning: Predicting the number of shares, action strategies, and transfer learning (2018)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)Continuous Auctions and Insider Trading (1985)The theory and practice of econometrics (1986)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Low-Latency Trading (2011)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)High-Frequency Trading and Price Discovery (2014)Performance Pay and Top-Management Incentives (1990)Corporate Ownership Around the World (1999)Corporate Governance and Equity Prices (2003)Inherited Control and Firm Performance (2006)Lost in translation? The effect of cultural values on mergers around the world (2012)The Rise of Market Power and the Macroeconomic Implications* (2020)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)ARCH modeling in finance (1992)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Two-sided markets: a progress report (2006)High-Frequency Trading and Market Performance (2015)Can Brokers Have It All? On the Relation between Make‐Take Fees and Limit Order Execution Quality (2016)Price, trade size, and information in securities markets (1987)A dynamic limit order market with fast and slow traders (2014)The Impact of Dark Trading and Visible Fragmentation on Market Quality (2014)On the Impossibility of Informationally Efficient Markets (1980)Speed, algorithmic trading, and market quality around U.S. macroeconomic news announcements (2012)News-driven return reversals: Liquidity provision ahead of earnings announcements (2014)Trading rules, competition for order flow and market fragmentation (2014)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)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

  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 2008Why Has CEO Pay Increased So Much? *1,822 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 2005Equilibrium in a Dynamic Limit Order Market439 cited
  • 2008Technology and liquidity provision: The blurring of traditional definitions279 cited
  • 2012Liquidity Cycles and Make/Take Fees in Electronic Markets200 cited
  • 2009Algorithmic Trading and Information184 cited
  • 2012High Frequency Trading and Price Discovery165 cited
  • 2009Complementarities, Multiplicity, and Supply Information149 cited
  • 2003Market Making with Costly Monitoring: An Analysis of the SOES Controversy131 cited
  • 2012Financial Expertise as an Arms Race130 cited

Cited by

  • 2016Optimal taxation with rent-seeking106 cited
  • 2014Information Transmission between Financial Markets in Chicago and New York73 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2013
High Frequency Traders: Taking Advantage of Speed
62 cited
  • 2014Order-to-trade ratios and market liquidity60 cited
  • 2013High Frequency Market Making: The Role of Speed44 cited
  • 2015Gaussian process-based algorithmic trading strategy identification43 cited
  • 2018Take Profit and Stop Loss Trading Strategies Comparison in Combination with an MACD Trading System35 cited
  • 2013Algorithmic trading, the Flash Crash, and coordinated circuit breakers31 cited
  • 2015Option Trading Costs Are Lower than You Think29 cited
  • 2012The Impacts of Automation and High Frequency Trading on Market Quality28 cited
  • 2019Make-take decisions under high-frequency trading competition27 cited