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Order-to-trade ratios and market liquidity
16 references·5 citing·32 second hopsampled
Order-to-trade ratios and market liquidity (2014)Order-to-trade ratios and market liquidityEquilibrium fast trading (2015)Equilibrium fast tradingPrice pressures (2014)Price pressuresHigh-Frequency Trading and Price Discovery (2014)High-Frequency Trading and Pr…The Diversity of High Frequency Traders (2012)The Diversity of High Frequen…High Frequency Trading and the New-Market Makers (2012)High Frequency Trading and th…Robust Inference With Multiway Clustering (2011)Robust Inference With Multiwa…Recent trends in trading activity and market quality (2011)Recent trends in trading acti…Low-Latency Trading (2011)Low-Latency TradingDoes Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…Simple formulas for standard errors that cluster by both firm and time (2010)Simple formulas for standard …Encyclopedia of Quantitative Finance (2010)Encyclopedia of Quantitative …Market Reaction to Events Surrounding the Sarbanes‐Oxley Act of 2002 and Earnings Management (2008)Market Reaction to Events Sur…Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Estimating Standard Errors in…Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)Estimating Standard Errors in…Competition for Order Flow and Smart Order Routing Systems (2006)Competition for Order Flow an…Lifting the Veil: An Analysis of Pre‐trade Transparency at the NYSE (2005)Lifting the Veil: An Analysis…High‐frequency trading: Definition, implications, and controversies (2021)High‐frequency trading: Defin…Insider Information: The Ethicality of the High Frequency Trading Industry (2019)Insider Information: The Ethi…Increasing the Tick: Examining the Impact of the Tick Size Change on Maker‐Taker and Taker‐Maker Market Models (2019)Increasing the Tick: Examinin…Throttling hyperactive robots – Order-to-trade ratios at the Oslo Stock Exchange (2017)Throttling hyperactive robots…High-frequency Trading: Review of the Literature and Regulatory Initiatives around the World (2016)High-frequency Trading: Revie…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)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)On estimating the expected return on the market (1980)Market Liquidity and Funding Liquidity (2008)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)High frequency market microstructure (2015)Econometric Analysis of Cross Section and Panel Data (2001)Bootstrap-Based Improvements for Inference with Clustered Errors (2008)Temperature Shocks and Economic Growth: Evidence from the Last Half Century (2012)Policy Uncertainty and Corporate Investment (2015)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)Risk, Return, and Equilibrium: Empirical Tests (1973)Specification Tests in Econometrics (1978)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Common Errors: How to (and Not to) Control for Unobserved Heterogeneity (2012)Corporate Immunity to the COVID-19 Pandemic (2020)On the Impossibility of Informationally Efficient Markets (1980)The Private and Social Value of Information and the Reward to Inventive Activity (1978)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)Biases in Dynamic Models with Fixed Effects (1981)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Liquidity Measurement Problems in Fast, Competitive Markets: Expensive and Cheap Solutions (2012)Do Dark Pools Harm Price Discovery? (2013)Very fast money: High-frequency trading on the NASDAQ (2013)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)
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References

  • 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches10,793 cited
  • 2011Robust Inference With Multiway Clustering3,199 cited
  • 2006Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches2,559 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 2010Simple formulas for standard errors that cluster by both firm and time1,515 cited
  • 2014High-Frequency Trading and Price Discovery1,168 cited
  • 2011Low-Latency Trading880 cited
  • 2012High Frequency Trading and the New-Market Makers807 cited
  • 2015Equilibrium fast trading536 cited
  • 2011Recent trends in trading activity and market quality473 cited
  • 2012The Diversity of High Frequency Traders425 cited
  • 2008Market Reaction to Events Surrounding the Sarbanes‐Oxley Act of 2002 and Earnings Management403 cited
  • 2005Lifting the Veil: An Analysis of Pre‐trade Transparency at the NYSE362 cited
  • 2006Competition for Order Flow and Smart Order Routing Systems332 cited
  • 2010Encyclopedia of Quantitative Finance294 cited
  • 2014Price pressures

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291 cited

Cited by

  • 2021High‐frequency trading: Definition, implications, and controversies42 cited
  • 2019Increasing the Tick: Examining the Impact of the Tick Size Change on Maker‐Taker and Taker‐Maker Market Models36 cited
  • 2017Throttling hyperactive robots – Order-to-trade ratios at the Oslo Stock Exchange34 cited
  • 2016High-frequency Trading: Review of the Literature and Regulatory Initiatives around the World31 cited
  • 2019Insider Information: The Ethicality of the High Frequency Trading Industry11 cited