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Does High-Frequency Trading Increase Systemic Risk?
16 references·7 citing·41 second hop
Does High-Frequency Trading Increase Systemic Risk? (2016)Does High-Frequency Trading Increase Syst…Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)Rise of the Machines: Algorit…Algorithmic Trading and the Market for Liquidity (2013)Algorithmic Trading and the M…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…Low-Latency Trading (2011)Low-Latency TradingHedge Fund Stock Trading in the Financial Crisis of 2007-2009 (2011)Hedge Fund Stock Trading in t…Does Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…Limit Order Book as a Market for Liquidity (2005)Limit Order Book as a Market …Common factors in prices, order flows, and liquidity (2001)Common factors in prices, ord…Commonality in liquidity (2000)Commonality in liquidityPrice Dynamics in Limit Order Markets (1998)Price Dynamics in Limit Order…An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Stealth trading and volatility (1993)Stealth trading and volatilityFundamentals and Stock Returns in Japan (1991)Fundamentals and Stock Return…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Two types of AI existential risk: decisive and accumulative (2025)Two types of AI existential r…Frontiers in Service Science: Fintech Operations—An Overview of Recent Developments and Future Research Directions (2021)Frontiers in Service Science:…Comparing minds and machines: implications for financial stability (2021)Comparing minds and machines:…The systemic risk of China’s stock market during the crashes in 2008 and 2015 (2019)The systemic risk of China’s …Insider Information: The Ethicality of the High Frequency Trading Industry (2019)Insider Information: The Ethi…High-frequency trading: a literature review (2019)High-frequency trading: a lit…Algorithmic and high frequency trading in Asia-Pacific, now and the future (2018)Algorithmic and high frequenc…The market for corporate control (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Stealth-trading: Which traders' trades move stock prices? (2001)Which Shorts Are Informed? (2007)Do Retail Trades Move Markets? (2008)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)High frequency market microstructure (2015)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Transmission of Volatility between Stock Markets (1990)Asymmetric Volatility and Risk in Equity Markets (2000)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)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Momentum Strategies (1996)Accounting valuation, market expectation, and cross-sectional stock returns (1998)Characteristics, Covariances, and Average Returns: 1929 to 1997 (2000)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)Common risk factors in the returns on stocks and bonds (1993)Market Liquidity and Trading Activity (2001)Market liquidity as a sentiment indicator (2004)Do liquidity measures measure liquidity?☆ (2009)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market microstructure: A survey (2000)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 2000Commonality in liquidity1,748 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 1991Fundamentals and Stock Returns in Japan1,380 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 2001Common factors in prices, order flows, and liquidity1,067 cited
  • 1993Stealth trading and volatility948 cited
  • 2011Low-Latency Trading880 cited
  • 2012High Frequency Trading and the New-Market Makers807 cited
  • 2005Limit Order Book as a Market for Liquidity614 cited
  • 2014Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market606 cited
  • 1998Price Dynamics in Limit Order Markets597 cited
  • 2011Hedge Fund Stock Trading in the Financial Crisis of 2007-2009447 cited
  • 2012The Diversity of High Frequency Traders425 cited
  • 2013Algorithmic Trading and the Market for Liquidity418 cited

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Cited by

  • 2019The systemic risk of China’s stock market during the crashes in 2008 and 201546 cited
  • 2025Two types of AI existential risk: decisive and accumulative42 cited
  • 2019High-frequency trading: a literature review32 cited
  • 2018Algorithmic and high frequency trading in Asia-Pacific, now and the future24 cited
  • 2021Frontiers in Service Science: Fintech Operations—An Overview of Recent Developments and Future Research Directions23 cited
  • 2021Comparing minds and machines: implications for financial stability20 cited
  • 2019Insider Information: The Ethicality of the High Frequency Trading Industry11 cited