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Fast and slow informed trading
16 references·14 citing·31 second hop
Fast and slow informed trading (2019)Fast and slow informed tradingAlgorithmic Trading and Market Quality: International Evidence (2020)Algorithmic Trading and Marke…The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)The Flash Crash: High‐Frequen…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…The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)The High-Frequency Trading Ar…High Frequency Trading and the New-Market Makers (2012)High Frequency Trading and th…Low-Latency Trading (2011)Low-Latency TradingDoes Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…Imperfect Competition among Informed Traders (2000)Imperfect Competition among I…Strategic Trading When Agents Forecast the Forecasts of Others (1996)Strategic Trading When Agents…Security Analysis and Trading Patterns When Some Investors Receive Information Before Others (1994)Security Analysis and Trading…An Analysis of Changes in Specialist Inventories and Quotations (1993)An Analysis of Changes in Spe…Long-Lived Private Information and Imperfect Competition (1992)Long-Lived Private Informatio…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Optimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …Machine Learning and Speed in High-Frequency Trading (2021)Machine Learning and Speed in…On the Effects of Continuous Trading (2020)On the Effects of Continuous …Price Discovery in Agricultural Futures Markets: Should We Look beyond the Best Bid‐Ask Spread? (2019)Price Discovery in Agricultur…High-Frequency Trading Competition (2018)High-Frequency Trading Compet…The Competitive Landscape of High-Frequency Trading Firms (2017)The Competitive Landscape of …Run EDGAR Run: SEC Dissemination in a High-Frequency World (2017)Run EDGAR Run: SEC Disseminat…High-Frequency Trading Strategies (2017)High-Frequency Trading Strate…High frequency trading and the 2008 short-sale ban (2017)High frequency trading and th…Securities Transaction Tax and Market Quality – the Case of France (2015)Securities Transaction Tax an…Gaussian process-based algorithmic trading strategy identification (2015)Gaussian process-based algori…High Frequency Trading with Speed Hierarchies (2013)High Frequency Trading with S…High Frequency Trading in the Korean Index Futures Market (2013)High Frequency Trading in the…Speed, algorithmic trading, and market quality around U.S. macroeconomic news announcements (2012)Speed, algorithmic trading, a…News Trading and Speed (2012)News Trading and SpeedEfficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Investment analysis and price formation in securities markets (1995)Presidential Address: Liquidity and Price Discovery (2003)Institutional Investors and the Informational Efficiency of Prices (2009)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)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)Liquidity and stock returns: An alternative test (1998)Over-the-Counter Markets (2004)Judgment under Uncertainty: Heuristics and Biases (1974)Judgment under Uncertainty: Heuristics and Biases (1975)Global Capital and National Governments (2001)The Dynamics of Institutional and Individual Trading (2003)Evidence on the speed of convergence to market efficiency (2005)On estimating the expected return on the market (1980)Market Liquidity and Funding Liquidity (2008)High frequency market microstructure (2015)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)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)Trading and Arbitrage in Cryptocurrency Markets (2018)Machine behaviour (2019)Flow Toxicity and Liquidity in a High-frequency World (2012)Risk and Return in High Frequency Trading (2014)
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 2014High-Frequency Trading and Price Discovery1,168 cited
  • 2013The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response886 cited
  • 2011Low-Latency Trading880 cited
  • 2012High Frequency Trading and the New-Market Makers807 cited
  • 1992Long-Lived Private Information and Imperfect Competition802 cited
  • 2017The Flash Crash: High‐Frequency Trading in an Electronic Market794 cited
  • 1994Security Analysis and Trading Patterns When Some Investors Receive Information Before Others724 cited
  • 2014Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market606 cited
  • 2015Equilibrium fast trading536 cited
  • 1996Strategic Trading When Agents Forecast the Forecasts of Others507 cited
  • 1993An Analysis of Changes in Specialist Inventories and Quotations431 cited
  • 2000Imperfect Competition among Informed Traders329 cited
  • 2020

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Algorithmic Trading and Market Quality: International Evidence
323 cited

Cited by

  • 2017Run EDGAR Run: SEC Dissemination in a High-Frequency World115 cited
  • 2012Speed, algorithmic trading, and market quality around U.S. macroeconomic news announcements115 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
  • 2013High Frequency Trading in the Korean Index Futures Market65 cited
  • 2012News Trading and Speed54 cited
  • 2017High-Frequency Trading Strategies53 cited
  • 2015Securities Transaction Tax and Market Quality – the Case of France43 cited
  • 2015Gaussian process-based algorithmic trading strategy identification43 cited
  • 2021Machine Learning and Speed in High-Frequency Trading42 cited
  • 2020On the Effects of Continuous Trading38 cited
  • 2013High Frequency Trading with Speed Hierarchies30 cited
  • 2019Price Discovery in Agricultural Futures Markets: Should We Look beyond the Best Bid‐Ask Spread?29 cited