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A dynamic limit order market with fast and slow traders
16 references·16 citing·39 second hopsampled
A dynamic limit order market with fast and slow traders (2014)A dynamic limit order market with fast an…Algorithmic Trading and Market Quality: International Evidence (2020)Algorithmic Trading and Marke…Equilibrium fast trading (2015)Equilibrium fast tradingRise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)Rise of the Machines: Algorit…High-Frequency Trading and Price Discovery (2014)High-Frequency Trading and Pr…Very fast money: High-frequency trading on the NASDAQ (2013)Very fast money: High-frequen…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…The Flash Crash: High-Frequency Trading in an Electronic Market (2011)The Flash Crash: High-Frequen…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…Informed traders and limit order markets (2009)Informed traders and limit or…Order flow composition and trading costs in a dynamic limit order market (1999)Order flow composition and tr…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Information Effects on the Bid-Ask Spread (1983)Information Effects on the Bi…Fast and slow informed trading (2019)Fast and slow informed tradingBack-Running: Seeking and Hiding Fundamental Information in Order Flows* (2019)Back-Running: Seeking and Hid…High-Frequency Trading Competition (2018)High-Frequency Trading Compet…Why Trading Speed Matters: A Tale of Queue Rationing under Price Controls (2017)Why Trading Speed Matters: A …The Competitive Landscape of High-Frequency Trading Firms (2017)The Competitive Landscape of …Need for Speed? Exchange Latency and Liquidity (2017)Need for Speed? Exchange Late…High frequency trading and the 2008 short-sale ban (2017)High frequency trading and th…Financial Transaction Taxes, Market Composition, and Liquidity (2017)Financial Transaction Taxes, …What Is the Optimal Trading Frequency in Financial Markets? (2016)What Is the Optimal Trading F…Toxic Arbitrage (2016)Toxic ArbitrageEvery Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity and Trading Costs (2016)Every Cloud Has a Silver Lini…A model for unpacking big data analytics in high-frequency trading (2016)A model for unpacking big dat…Trading Fast and Slow: Colocation and Liquidity (2015)Trading Fast and Slow: Coloca…Competition for Order Flow with Fast and Slow Traders (2015)Competition for Order Flow wi…Stock Repurchases and Liquidity (2013)Stock Repurchases and Liquidi…Middlemen in Limit Order Markets (2010)Middlemen in Limit Order Mark…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Price, trade size, and information in securities markets (1987)The Relation Between Price Changes and Trading Volume: A Survey (1987)Measuring the Information Content of Stock Trades (1991)Theory of rational option pricing (2005)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)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Estimating the components of the bid/ask spread (1988)Differences of Opinion Make a Horse Race (1993)Price Dynamics in Limit Order Markets (1998)Limit Order Book as a Market for Liquidity (2005)A Dynamic Model of the Limit Order Book (2009)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)Flow Toxicity and Liquidity in a High-frequency World (2012)Artificial intelligence and machine learning in finance: A bibliometric review (2022)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)On the Impossibility of Informationally Efficient Markets (1980)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)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)Risk, Return, and Equilibrium: Empirical Tests (1973)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)
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References

  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 2014High-Frequency Trading and Price Discovery1,168 cited
  • 2011Low-Latency Trading880 cited
  • 2012High Frequency Trading and the New-Market Makers807 cited
  • 1999Order flow composition and trading costs in a dynamic limit order market673 cited
  • 2014Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market606 cited
  • 2015Equilibrium fast trading536 cited
  • 2011Recent trends in trading activity and market quality473 cited
  • 2012The Diversity of High Frequency Traders425 cited
  • 2013Algorithmic Trading and the Market for Liquidity418 cited
  • 2011The Flash Crash: High-Frequency Trading in an Electronic Market388 cited
  • 2020Algorithmic Trading and Market Quality: International Evidence323 cited
  • 2009Informed traders and limit order markets317 cited
  • 2013Very fast money: High-frequency trading on the NASDAQ

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303 cited

Cited by

  • 2015Trading Fast and Slow: Colocation and Liquidity248 cited
  • 2010Middlemen in Limit Order Markets229 cited
  • 2017Need for Speed? Exchange Latency and Liquidity214 cited
  • 2019Back-Running: Seeking and Hiding Fundamental Information in Order Flows*196 cited
  • 2016Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity and Trading Costs187 cited
  • 2016Toxic Arbitrage186 cited
  • 2019Fast and slow informed trading148 cited
  • 2017Why Trading Speed Matters: A Tale of Queue Rationing under Price Controls148 cited
  • 2016A model for unpacking big data analytics in high-frequency trading139 cited
  • 2016What Is the Optimal Trading Frequency in Financial Markets?130 cited
  • 2017Financial Transaction Taxes, Market Composition, and Liquidity121 cited
  • 2017The Competitive Landscape of High-Frequency Trading Firms107 cited
  • 2018High-Frequency Trading Competition96 cited
  • 2017High frequency trading and the 2008 short-sale ban96 cited
  • 2015Competition for Order Flow with Fast and Slow Traders90 cited
  • 2013Stock Repurchases and Liquidity87 cited