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Throttling hyperactive robots – Order-to-trade ratios at the Oslo Stock Exchange
16 references·0 citing·47 second hop
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References

  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 1987PRACTITIONERS’ CORNER: Computing Robust Standard Errors for Within‐groups Estimators *1,449 cited
  • 1995Estimation of Common Long-Memory Components in Cointegrated Systems1,313 cited
  • 2008Panel Data Econometrics in R : The plm Package1,240 cited
  • 2013The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response886 cited
  • 2012High Frequency Trading and the New-Market Makers807 cited
  • 2015Equilibrium fast trading536 cited
  • 2012The Diversity of High Frequency Traders425 cited
  • 2011Stock Market Liquidity and the Business Cycle420 cited
  • 2011The Flash Crash: High-Frequency Trading in an Electronic Market388 cited
  • 1995Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets366 cited
  • 1993Transaction taxes and the behavior of the Swedish stock market308 cited
  • 2015News Trading and Speed305 cited
  • 1999Price discovery in the German equity index derivatives markets298 cited

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2016
The Economics of High-Frequency Trading: Taking Stock
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