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Rent Seeking by Low-Latency Traders: Evidence from Trading on Macroeconomic Announcements
16 references·4 citing·33 second hop
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References

  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 1989New Indexes of Coincident and Leading Economic Indicators1,795 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 2014High-Frequency Trading and Price Discovery1,168 cited
  • 2001Economic News and Bond Prices: Evidence from the U.S. Treasury Market896 cited
  • 2013The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response886 cited
  • 2011Low-Latency Trading880 cited
  • 2008Presidential Address: The Cost of Active Investing862 cited
  • 2012High Frequency Trading and the New-Market Makers807 cited
  • 2017The Flash Crash: High‐Frequency Trading in an Electronic Market794 cited
  • 1993Stock Prices, News, and Business Conditions675 cited
  • 2014Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market606 cited
  • 2015Equilibrium fast trading536 cited
  • 2003Intraday Price Formation in U.S. Equity Index Markets502 cited
  • 2011Recent trends in trading activity and market quality

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473 cited

Cited by

  • 2019First to “Read” the News: News Analytics and Algorithmic Trading55 cited
  • 2020Market efficiency in real time: Evidence from low latency activity around earnings announcements51 cited
  • 2019Big data in finance: Evidence and challenges32 cited
  • 2021The Calendar Effects of the Idiosyncratic Volatility Puzzle: A Tale of Two Days?28 cited