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High Frequency Market Making: Implications for Liquidity
16 references·6 citing·33 second hop
High Frequency Market Making: Implications for Liquidity (2017)High Frequency Market Making: Implication…The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)The Flash Crash: High‐Frequen…The Economics of High-Frequency Trading: Taking Stock (2016)The Economics of High-Frequen…News Trading and Speed (2015)News Trading and SpeedEquilibrium fast trading (2015)Equilibrium fast tradingRise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)Rise of the Machines: Algorit…Price pressures (2014)Price pressuresHigh-Frequency Trading and Price Discovery (2014)High-Frequency Trading and Pr…The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)The High-Frequency Trading Ar…High Frequency Trading and the New-Market Makers (2012)High Frequency Trading and th…The Microstructure of the “Flash Crash”: Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading (2011)The Microstructure of the “Fl…Low-Latency Trading (2011)Low-Latency TradingDoes Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…Technology and liquidity provision: The blurring of traditional definitions (2008)Technology and liquidity prov…High-frequency trading in a limit order book (2008)High-frequency trading in a l…Optimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …Dealership market (1980)Dealership marketThe great crypto crash in September 2018: why did the cryptocurrency market collapse? (2023)The great crypto crash in Sep…When Bigger is Better: The Impact of a Tiny Tick Size on Undercutting Behavior (2022)When Bigger is Better: The Im…The Impact of High-Frequency Trading on Modern Securities Markets (2022)The Impact of High-Frequency …Make-take decisions under high-frequency trading competition (2019)Make-take decisions under hig…Subsidizing Liquidity with Wider Ticks: Evidence from the Tick Size Pilot Study (2017)Subsidizing Liquidity with Wi…Order Exposure in High Frequency Markets (2017)Order Exposure in High Freque…The Cost of Transacting (1968)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests (1989)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Liquidity and Market Efficiency (2007)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)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)Liquidity and stock returns: An alternative test (1998)Over-the-Counter Markets (2004)On estimating the expected return on the market (1980)Market Liquidity and Funding Liquidity (2008)High frequency market microstructure (2015)The Behavior of Stock-Market Prices (1965)Flow Toxicity and Liquidity in a High-frequency World (2012)Algorithmic Trading and the Market for Liquidity (2013)Artificial intelligence and machine learning in finance: A bibliometric review (2022)Continuous Auctions and Insider Trading (1985)Trading and Arbitrage in Cryptocurrency Markets (2018)Machine behaviour (2019)Inferring Trade Direction from Intraday Data (1991)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)On the Impossibility of Informationally Efficient Markets (1980)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)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)Risk and Return in High Frequency Trading (2014)Algorithmic Trading and Market Quality: International Evidence (2020)
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References

  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 2014High-Frequency Trading and Price Discovery1,168 cited
  • 1980Dealership market965 cited
  • 2013The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response886 cited
  • 2011Low-Latency Trading880 cited
  • 2012High Frequency Trading and the New-Market Makers807 cited
  • 2017The Flash Crash: High‐Frequency Trading in an Electronic Market794 cited
  • 2014Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market606 cited
  • 2015Equilibrium fast trading536 cited
  • 2008High-frequency trading in a limit order book496 cited
  • 2011The Microstructure of the “Flash Crash”: Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading389 cited
  • 2015News Trading and Speed305 cited
  • 2016The Economics of High-Frequency Trading: Taking Stock294 cited
  • 2014Price pressures291 cited
  • 2008Technology and liquidity provision: The blurring of traditional definitions

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279 cited

Cited by

  • 2022When Bigger is Better: The Impact of a Tiny Tick Size on Undercutting Behavior31 cited
  • 2023The great crypto crash in September 2018: why did the cryptocurrency market collapse?29 cited
  • 2019Make-take decisions under high-frequency trading competition27 cited
  • 2022The Impact of High-Frequency Trading on Modern Securities Markets23 cited
  • 2017Order Exposure in High Frequency Markets22 cited
  • 2017Subsidizing Liquidity with Wider Ticks: Evidence from the Tick Size Pilot Study20 cited