SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
High‐Frequency Traders and Market Structure
16 references·7 citing·42 second hop
High‐Frequency Traders and Market Structure (2014)High‐Frequency Traders and Market Structu…Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)Rise of the Machines: Algorit…Market Liquidity (2013)Market LiquidityHigh Frequency Trading and the New-Market Makers (2012)High Frequency Trading and th…Low-Latency Trading (2011)Low-Latency TradingIs market fragmentation harming market quality? (2011)Is market fragmentation harmi…High Frequency Trading and Market Quality (2011)High Frequency Trading and Ma…Equity Trading in the 21st Century (2011)Equity Trading in the 21st Ce…Does Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions (2010)When machines read the news: …Middlemen in Limit Order Markets (2010)Middlemen in Limit Order Mark…Risk Management for Hedge Funds: Introduction and Overview (2001)Risk Management for Hedge Fun…Market microstructure: A survey (2000)Market microstructure: A surv…Quotes, Order Flow, and Price Discovery (1997)Quotes, Order Flow, and Price…Market Microstructure Theory. (1996)Market Microstructure Theory.Liquidity and Market Structure (1988)Liquidity and Market StructureMartingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …High‐frequency trading: Definition, implications, and controversies (2021)High‐frequency trading: Defin…Sentiment, order imbalance, and co‐movement: An examination of shocks to retail and institutional trading activity (2017)Sentiment, order imbalance, a…The Regulatory, Technology and Market ‘Dark Arts Trilogy’ of High Frequency Trading: A Research Agenda (2016)The Regulatory, Technology an…Front‐Running Scalping Strategies and Market Manipulation: Why Does High‐Frequency Trading Need Stricter Regulation? (2016)Front‐Running Scalping Strate…From High Frequency Trading to Self-Organizing Moral Machines (2016)From High Frequency Trading t…The fall of high-frequency trading: A survey of competition and profits (2015)The fall of high-frequency tr…Anonymous Trading in Equities (2015)Anonymous Trading in EquitiesBid, 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)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)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)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Flow Toxicity and Liquidity in a High-frequency World (2012)Algorithmic Trading and the Market for Liquidity (2013)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)High-Frequency Trading and Price Discovery (2014)A Random Walk Down Wall Street (1973)The Econometrics of Financial Markets (1997)The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective (2004)What Happened to the Quants in August 2007? (2007)Do the Best Hedge Funds Hedge? (2010)The Econometrics of Financial Markets (2012)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)Commonality in liquidity (2000)Common risk factors in the returns on stocks and bonds (1993)Order imbalance, liquidity, and market returns (2002)An Empirical Analysis of Stock and Bond Market Liquidity (2004)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)The economics of networks (1996)Do Dark Pools Harm Price Discovery? (2013)Equilibrium fast trading (2015)Corporate Bond Market Transaction Costs and Transparency (2007)MIDAS Regressions: Further Results and New Directions (2007)
this work references cited by second hop

References

  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 1996Market Microstructure Theory.1,152 cited
  • 2000Market microstructure: A survey1,133 cited
  • 2011Low-Latency Trading880 cited
  • 2012High Frequency Trading and the New-Market Makers807 cited
  • 2014Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market606 cited
  • 2011Is market fragmentation harming market quality?578 cited
  • 2001Risk Management for Hedge Funds: Introduction and Overview379 cited
  • 2011Equity Trading in the 21st Century294 cited
  • 2010When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions266 cited
  • 2013Market Liquidity249 cited
  • 2010Middlemen in Limit Order Markets229 cited
  • 2011High Frequency Trading and Market Quality204 cited
  • 1997Quotes, Order Flow, and Price Discovery201 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Cited by

  • 2021High‐frequency trading: Definition, implications, and controversies42 cited
  • 2016Front‐Running Scalping Strategies and Market Manipulation: Why Does High‐Frequency Trading Need Stricter Regulation?32 cited
  • 2017Sentiment, order imbalance, and co‐movement: An examination of shocks to retail and institutional trading activity31 cited
  • 2016From High Frequency Trading to Self-Organizing Moral Machines30 cited
  • 2015Anonymous Trading in Equities28 cited
  • 2016The Regulatory, Technology and Market ‘Dark Arts Trilogy’ of High Frequency Trading: A Research Agenda28 cited
  • 2015The fall of high-frequency trading: A survey of competition and profits25 cited