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Do Proprietary Algorithmic Traders Withdraw Liquidity During Market Stress? · Study

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ArticleDo Proprietary Algorithmic Traders Withdraw Liquidity During Market Stress?

Samarpan Nawn2017

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Articlegreen2017

Do Proprietary Algorithmic Traders Withdraw Liquidity During Market Stress?

Samarpan Nawn · Ashok Banerjee

20 citations·0/0 files stored·Financial Management

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1995What To Do (and Not to Do) with Time-Series Cross-Section Data 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market 1987Mean Reversion in Stock Prices: Evidence and Implications 2011Does Algorithmic Trading Improve Liquidity?2014High-Frequency Trading and Price Discovery 2002Order imbalance, liquidity, and market returns 2011Low-Latency Trading 2005Predicting volatility: getting the most out of return data sampled at different frequencies

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2020Limit order books: a systematic review of literature

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2017Order Exposure in High Frequency Marketspreprint · 16 shared references 2020Limit order books: a systematic review of literaturereview · 16 shared references 2018Algorithmic and high frequency trading in Asia-Pacific, now and the futurearticle · 15 shared references 2020High-Frequency Trading and Systemic Risk: A Structured Review of Findings and Policiesarticle · 15 shared references 2017The Competitive Landscape of High-Frequency Trading Firmsarticle · 14 shared references 2013High Frequency Trading with Speed Hierarchiespreprint · 14 shared references

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Year2017

Typearticle

Published2017-01-01

VenueFinancial Management

ISSN-L0046-3892

Languageen

Citations20

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1111/fima.12238

openalex_workW2807981427

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