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Liquidity commonality and high frequency trading: Evidence from the French stock market
16 references·0 citing·44 second hopsampled
Liquidity commonality and high frequency trading: Evidence from the French stock market (2019)Liquidity commonality and high frequency …The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)The Flash Crash: High‐Frequen…High-Frequency Trading and Price Discovery (2014)High-Frequency Trading and Pr…Understanding commonality in liquidity around the world (2011)Understanding commonality in …The Illiquidity of Corporate Bonds (2011)The Illiquidity of Corporate …Does Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…Stock Market Declines and Liquidity (2010)Stock Market Declines and Liq…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Momentum and post-earnings-an…Asset pricing with liquidity risk (2005)Asset pricing with liquidity …An Empirical Analysis of Stock and Bond Market Liquidity (2004)An Empirical Analysis of Stoc…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Equilibrium and welfare in markets with financially constrained arbitrageurs (2002)Equilibrium and welfare in ma…Common factors in prices, order flows, and liquidity (2001)Common factors in prices, ord…Commonality in liquidity (2000)Commonality in liquidityIntraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)The Limits of Arbitrage (1995)Credit Cycles (1997)Contagion as a Wealth Effect (2001)Deciphering the Liquidity and Credit Crunch 2007-08 (2008)A Macroprudential Approach to Financial Regulation (2011)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)The theory and practice of econometrics (1986)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Inferring Trade Direction from Intraday Data (1991)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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Realized Variance and Market Microstructure Noise (2006)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (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)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Liquidity and leverage (2008)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Asset pricing and the bid-ask spread (1986)The Relation Between Price Changes and Trading Volume: A Survey (1987)Order imbalance, liquidity, and market returns (2002)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Liquidity and Market Efficiency (2007)Risk, Return, and Equilibrium: Empirical Tests (1973)Market Liquidity and Trading Activity (2001)Market liquidity as a sentiment indicator (2004)Do liquidity measures measure liquidity?☆ (2009)
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References

  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 2000Commonality in liquidity1,748 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 2002Equilibrium and welfare in markets with financially constrained arbitrageurs1,196 cited
  • 2014High-Frequency Trading and Price Discovery1,168 cited
  • 2001Common factors in prices, order flows, and liquidity1,067 cited
  • 2005Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk1,008 cited
  • 2011The Illiquidity of Corporate Bonds989 cited
  • 2004An Empirical Analysis of Stock and Bond Market Liquidity900 cited
  • 2017The Flash Crash: High‐Frequency Trading in an Electronic Market794 cited
  • 2011Understanding commonality in liquidity around the world723 cited
  • 2010Stock Market Declines and Liquidity

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