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Where is the Value in High Frequency Trading?
5 references·16 citing·49 second hopsampled
Where is the Value in High Frequency Trading? (2012)Where is the Value in High Frequency Trad…The Microstructure of the “Flash Crash”: Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading (2011)The Microstructure of the “Fl…Low-Latency Trading (2011)Low-Latency TradingDoes Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…Algorithmic Trading and Information (2009)Algorithmic Trading and Infor…Liquidity and Market Structure (1988)Liquidity and Market StructureHigh‐frequency trading: Definition, implications, and controversies (2021)High‐frequency trading: Defin…Choice with Limited Capacity (2019)Choice with Limited CapacityImplications of High-Frequency Trading for Security Markets (2018)Implications of High-Frequenc…Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes (2018)Algorithmic Trading, Stochast…Algorithmic and high frequency trading in Asia-Pacific, now and the future (2018)Algorithmic and high frequenc…High frequency trading and the 2008 short-sale ban (2017)High frequency trading and th…Does High-Frequency Trading Increase Systemic Risk? (2016)Does High-Frequency Trading I…High Frequency and Dynamic Pairs Trading Based on Statistical Arbitrage Using a Two-Stage Correlation and Cointegration Approach (2014)High Frequency and Dynamic Pa…RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES (2013)RISK METRICS AND FINE TUNING …Modelling Asset Prices for Algorithmic and High-Frequency Trading (2013)Modelling Asset Prices for Al…Effects of Equity Capital on the Interest Rate and the Demand for Credit: Empirical Evidence from Spanish Banks (2012)Effects of Equity Capital on …Boom-Bust Cycles, Imbalances and Discipline in Europe (2012)Boom-Bust Cycles, Imbalances …Shifts in Portfolio Preferences of International Investors: An Application to Sovereign Wealth Funds (2011)Shifts in Portfolio Preferenc…Money Dynamics with Multiple Banks of Issue: Evidence from Spain 1856-1874 (2011)Money Dynamics with Multiple …Cross-Border Coordination of Prudential Supervision and Deposit Guarantees (2011)Cross-Border Coordination of …Rock around the Clock : An agent-based model of low- and high-frequency trading (1991)Rock around the Clock : An ag…Essays in Positive Economics. (1954)Inferring Trade Direction from Intraday Data (1991)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS (2012)Empirical evaluation of an automated intraday stock recommendation system incorporating both market data and textual news (2013)Improving financial trading decisions using deep Q-learning: Predicting the number of shares, action strategies, and transfer learning (2018)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)Continuous Auctions and Insider Trading (1985)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)High-Frequency Trading and Price Discovery (2014)Optimal dealer pricing under transactions and return uncertainty (1981)Optimal control of execution costs (1998)A Stochastic Model for Order Book Dynamics (2010)Optimal market making (2017)Market Making via Reinforcement Learning (2018)Incorporating signals into optimal trading (2019)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Power-Law Distributions in Empirical Data (2009)An information theoretic criterion for empirical validation of simulation models (2017)A comparison of economic agent-based model calibration methods (2020)Stock market volatility: a systematic review (2023)Price, trade size, and information in securities markets (1987)Time and the Process of Security Price Adjustment (1992)Liquidity, Information, and Infrequently Traded Stocks (1996)Fact or friction: Jumps at ultra high frequency (2014)What's Not There: Odd Lots and Market Data (2014)The Economics of High-Frequency Trading: Taking Stock (2016)Correlations in Price Changes and Volatility across International Stock Markets (1990)Commonality in liquidity (2000)High-frequency trading: a literature review (2019)The systemic risk of China’s stock market during the crashes in 2008 and 2015 (2019)Two types of AI existential risk: decisive and accumulative (2025)The Cost of Transacting (1968)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Liquidity and stock returns: An alternative test (1998)A New Estimate of Transaction Costs (1999)Constraints on short-selling and asset price adjustment to private information (1987)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Mean-Field Game Strategies for Optimal Execution (2019)Human Information Processing (2016)Good systems, bad data?: Interpretations of AI hype and failures (2020)High-frequency traders and price informativeness during earnings announcements (2020)Short-Selling Equity Exchange Traded Funds and Its Effect on Stock Market Liquidity (2021)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 2011Low-Latency Trading880 cited
  • 2011The Microstructure of the “Flash Crash”: Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading389 cited
  • 2009Algorithmic Trading and Information184 cited

Cited by

  • 2017High frequency trading and the 2008 short-sale ban96 cited
  • 1991Rock around the Clock : An agent-based model of low- and high-frequency trading87 cited
  • 2013Modelling Asset Prices for Algorithmic and High-Frequency Trading82 cited
  • 2013RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES77 cited
  • 2016Does High-Frequency Trading Increase Systemic Risk?61 cited
  • 2011Cross-Border Coordination of Prudential Supervision and Deposit Guarantees61 cited
  • 2014High Frequency and Dynamic Pairs Trading Based on Statistical Arbitrage Using a Two-Stage Correlation and Cointegration Approach56 cited
  • 2012Boom-Bust Cycles, Imbalances and Discipline in Europe55 cited
  • 2011Money Dynamics with Multiple Banks of Issue: Evidence from Spain 1856-187447 cited
  • 2012Effects of Equity Capital on the Interest Rate and the Demand for Credit: Empirical Evidence from Spanish Banks

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45 cited
  • 2021High‐frequency trading: Definition, implications, and controversies42 cited
  • 2011Shifts in Portfolio Preferences of International Investors: An Application to Sovereign Wealth Funds35 cited
  • 2018Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes34 cited
  • 2018Implications of High-Frequency Trading for Security Markets28 cited
  • 2018Algorithmic and high frequency trading in Asia-Pacific, now and the future24 cited
  • 2019Choice with Limited Capacity1 cited