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A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS
16 references·16 citing·39 second hopsampled
A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS (2012)A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TR…The Flash Crash: High-Frequency Trading in an Electronic Market (2011)The Flash Crash: High-Frequen…Low-Latency Trading (2011)Low-Latency TradingHigh-Frequency Trading (2011)High-Frequency TradingDoes Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…Automation, speed, and stock market quality: The NYSE's Hybrid (2011)Automation, speed, and stock …High-Frequency Trading, Stock Volatility, and Price Discovery (2010)High-Frequency Trading, Stock…ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)ASSET PRICE BUBBLES IN INCOMP…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…The Mathematics of Arbitrage (2005)The Mathematics of ArbitrageStochastic Integration and Differential Equations. Second Edition. (2005)Stochastic Integration and Di…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Hedging and Portfolio Optimization in Financial Markets with a Large Trader (2003)Hedging and Portfolio Optimiz…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The fundamental theorem of as…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…Market Manipulation, Bubbles, Corners, and Short Squeezes (1992)Market Manipulation, Bubbles,…A new sociology of humans and machines (2024)A new sociology of humans and…Stock market volatility: a systematic review (2023)Stock market volatility: a sy…High frequency trading and comovement in financial markets (2019)High frequency trading and co…The Competitive Landscape of High-Frequency Trading Firms (2017)The Competitive Landscape of …Bubbles in hybrid markets: How expectations about algorithmic trading affect human trading (2017)Bubbles in hybrid markets: Ho…Price discovery and the cross-section of high-frequency trading (2016)Price discovery and the cross…How Prevalent and Profitable are Latency Arbitrage Opportunities on U.S. Stock Exchanges? (2016)How Prevalent and Profitable …Does High-Frequency Trading Increase Systemic Risk? (2016)Does High-Frequency Trading I…OR Forum—The Cost of Latency in High-Frequency Trading (2013)OR Forum—The Cost of Latency …High Frequency Trading in the Korean Index Futures Market (2013)High Frequency Trading in the…High Frequency Traders: Taking Advantage of Speed (2013)High Frequency Traders: Takin…High Frequency Quoting: Short-Term Volatility in Bids and Offers (2013)High Frequency Quoting: Short…An ecological perspective on the future of computer trading (2013)An ecological perspective on …The Volume Clock: Insights into theHigh-Frequency Paradigm (2012)The Volume Clock: Insights in…The Volume Clock: Insights into the High Frequency Paradigm (2012)The Volume Clock: Insights in…Rock around the Clock : An agent-based model of low- and high-frequency trading (1991)Rock around the Clock : An ag…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)High Frequency Trading and the New-Market Makers (2012)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)Martingales and stochastic integrals in the theory of continuous trading (1981)Price, trade size, and information in securities markets (1987)Price Manipulation and Quasi-Arbitrage (2004)Stock Market Manipulations* (2006)Exchange trading rules and stock market liquidity☆ (2010)The Pricing of Options and Corporate Liabilities (1973)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Brownian Motion and Stochastic Calculus (2007)Tails, Fears, and Risk Premia (2011)Martingales and arbitrage in multiperiod securities markets (1979)LIBOR and swap market models and measures (1997)A Benchmark Approach to Quantitative Finance (2006)MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)Continuous Auctions and Insider Trading (1985)Inferring Trade Direction from Intraday Data (1991)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)High-Frequency Trading and Price Discovery (2014)Liquidity Risk and Expected Stock Returns (2003)The Microstructure of the “Flash Crash”: Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading (2011)Limit order books (2013)News Trading and Speed (2015)Theory of Rational Option Pricing (1973)Arbitrage Theory in Continuous Time (1998)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Densities for rough differential equations under Hörmander’s condition (2010)Arbitrage and duality in nondominated discrete-time models (2015)
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References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
  • 2011Low-Latency Trading880 cited
  • 1998The fundamental theorem of asset pricing for unbounded stochastic processes710 cited
  • 1992Market Manipulation, Bubbles, Corners, and Short Squeezes394 cited
  • 2011The Flash Crash: High-Frequency Trading in an Electronic Market388 cited
  • 2005The Mathematics of Arbitrage344 cited
  • 2005Stochastic Integration and Differential Equations. Second Edition.306 cited
  • 2011Automation, speed, and stock market quality: The NYSE's Hybrid281 cited
  • 2011High-Frequency Trading249 cited
  • 2010ASSET PRICE BUBBLES IN INCOMPLETE MARKETS235 cited
  • 2003Hedging and Portfolio Optimization in Financial Markets with a Large Trader226 cited
  • 2010High-Frequency Trading, Stock Volatility, and Price Discovery

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219 cited

Cited by

  • 2013High Frequency Quoting: Short-Term Volatility in Bids and Offers135 cited
  • 2012The Volume Clock: Insights into theHigh-Frequency Paradigm124 cited
  • 2019High frequency trading and comovement in financial markets115 cited
  • 2017The Competitive Landscape of High-Frequency Trading Firms107 cited
  • 2016Price discovery and the cross-section of high-frequency trading102 cited
  • 1991Rock around the Clock : An agent-based model of low- and high-frequency trading87 cited
  • 2023Stock market volatility: a systematic review86 cited
  • 2013An ecological perspective on the future of computer trading85 cited
  • 2024A new sociology of humans and machines83 cited
  • 2013High Frequency Trading in the Korean Index Futures Market65 cited
  • 2012The Volume Clock: Insights into the High Frequency Paradigm64 cited
  • 2013High Frequency Traders: Taking Advantage of Speed62 cited
  • 2016Does High-Frequency Trading Increase Systemic Risk?61 cited
  • 2013OR Forum—The Cost of Latency in High-Frequency Trading56 cited
  • 2017Bubbles in hybrid markets: How expectations about algorithmic trading affect human trading44 cited
  • 2016How Prevalent and Profitable are Latency Arbitrage Opportunities on U.S. Stock Exchanges?44 cited