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Why Trading Speed Matters: A Tale of Queue Rationing under Price Controls
16 references·16 citing·38 second hopsampled
Why Trading Speed Matters: A Tale of Queue Rationing under Price Controls (2017)Why Trading Speed Matters: A Tale of Queu…Algorithmic Trading and Market Quality: International Evidence (2020)Algorithmic Trading and Marke…The Economics of High-Frequency Trading: Taking Stock (2016)The Economics of High-Frequen…Equilibrium fast trading (2015)Equilibrium fast tradingHigh-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…The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)The High-Frequency Trading Ar…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 TradingEquity Trading in the 21st Century (2011)Equity Trading in the 21st Ce…Does Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…In Search of Distress Risk (2008)In Search of Distress RiskTrade Execution Costs and Market Quality after Decimalization (2003)Trade Execution Costs and Mar…Tick Size, Share Prices, and Stock Splits (1997)Tick Size, Share Prices, and …Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity, Information, and I…Economics of Shortage. (1982)Economics of Shortage.Tick Size Wars: The Market Quality Effects of Pricing Grid Competition (2022)Tick Size Wars: The Market Qu…Diving into dark pools (2022)Diving into dark poolsWho provides liquidity, and when? (2021)Who provides liquidity, and w…Machine Learning and Speed in High-Frequency Trading (2021)Machine Learning and Speed in…High‐frequency trading: Definition, implications, and controversies (2021)High‐frequency trading: Defin…Bias in the effective bid-ask spread (2021)Bias in the effective bid-ask…Tick Size Tolls: Can a Trading Slowdown Improve Earnings News Discovery? (2020)Tick Size Tolls: Can a Tradin…The price effects of liquidity shocks: A study of the SEC’s tick size experiment (2020)The price effects of liquidit…The Effect of Tick Size on Managerial Learning from Stock Prices (2020)The Effect of Tick Size on Ma…On the Effects of Continuous Trading (2020)On the Effects of Continuous …Inverted fee structures, tick size, and market quality (2019)Inverted fee structures, tick…Why Discrete Price Fragments U.S. Stock Exchanges and Disperses Their Fee Structures (2018)Why Discrete Price Fragments …Relative Tick Size and the Trading Environment (2018)Relative Tick Size and the Tr…Toward a Fully Continuous Exchange (2017)Toward a Fully Continuous Exc…High-Frequency Trading Strategies (2017)High-Frequency Trading Strate…The Term Structure of Liquidity Provision (2016)The Term Structure of Liquidi…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)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)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)High frequency market microstructure (2015)Continuous Auctions and Insider Trading (1985)Asset pricing and the bid-ask spread (1986)The Components of the Bid-Ask Spread: A General Approach (1997)Liquidity and stock returns: An alternative test (1998)Market microstructure: A survey (2000)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Trading and Arbitrage in Cryptocurrency Markets (2018)Machine behaviour (2019)Inferring Trade Direction from Intraday Data (1991)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Mean reversion in stock prices (1988)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Recent trends in trading activity and market quality (2011)Have capital market anomalies attenuated in the recent era of high liquidity and trading activity? (2014)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)Editor's Choice Digesting Anomalies: An Investment ApproachAdvances in prospect theory: Cumulative representation of uncertainty (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Forecasting Default with the Merton Distance to Default Model (2008)… and the Cross-Section of Expected Returns (2015)Federalism, Chinese Style: The Political Basis for Economic Success in China (1995)The Growth of the Firm in Planned Economies in Transition: Institutions, Organizations, and Strategic Choice (1996)Toward A Second-Generation Theory of Fiscal Federalism (2005)
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References

  • 2008In Search of Distress Risk2,232 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
  • 2014High-Frequency Trading and Price Discovery1,168 cited
  • 1982Economics of Shortage.1,073 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
  • 2015Equilibrium fast trading536 cited
  • 2003Trade Execution Costs and Market Quality after Decimalization512 cited
  • 2012The Diversity of High Frequency Traders425 cited
  • 1997Tick Size, Share Prices, and Stock Splits387 cited
  • 2020Algorithmic Trading and Market Quality: International Evidence323 cited
  • 2013Very fast money: High-frequency trading on the NASDAQ303 cited
  • 2016The Economics of High-Frequency Trading: Taking Stock294 cited
  • 2011Equity Trading in the 21st Century294 cited

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Cited by

  • 2020The price effects of liquidity shocks: A study of the SEC’s tick size experiment128 cited
  • 2020The Effect of Tick Size on Managerial Learning from Stock Prices106 cited
  • 2018Why Discrete Price Fragments U.S. Stock Exchanges and Disperses Their Fee Structures100 cited
  • 2020Tick Size Tolls: Can a Trading Slowdown Improve Earnings News Discovery?98 cited
  • 2021Bias in the effective bid-ask spread98 cited
  • 2022Diving into dark pools96 cited
  • 2021Who provides liquidity, and when?82 cited
  • 2018Relative Tick Size and the Trading Environment79 cited
  • 2019Inverted fee structures, tick size, and market quality77 cited
  • 2016The Term Structure of Liquidity Provision75 cited
  • 2017High-Frequency Trading Strategies53 cited
  • 2017Toward a Fully Continuous Exchange44 cited
  • 2022Tick Size Wars: The Market Quality Effects of Pricing Grid Competition42 cited
  • 2021High‐frequency trading: Definition, implications, and controversies42 cited
  • 2021Machine Learning and Speed in High-Frequency Trading42 cited
  • 2020On the Effects of Continuous Trading38 cited