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High Frequency Quoting: Short-Term Volatility in Bids and Offers
16 references·11 citing·38 second hop
High Frequency Quoting: Short-Term Volatility in Bids and Offers (2013)High Frequency Quoting: Short-Term Volati…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…Low-Latency Trading (2011)Low-Latency TradingDoes Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Presidential Address: Asset P…Surveying stock market forecasting techniques – Part II: Soft computing methods (2008)Surveying stock market foreca…Realized Variance and Market Microstructure Noise (2006)Realized Variance and Market …Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…An Introduction to Wavelets and Other Filtering Methods in Finance and Economics (2002)An Introduction to Wavelets a…The distribution of realized stock return volatility (2001)The distribution of realized …The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …A Model of Sales. (1980)A Model of Sales.STOCK MARKET OPENNESS AND MARKET QUALITY: EVIDENCE FROM THE SHANGHAI–HONG KONG STOCK CONNECT PROGRAM (2020)STOCK MARKET OPENNESS AND MAR…Competition among liquidity providers with access to high-frequency trading technology (2020)Competition among liquidity p…Price Discovery in High Resolution (2018)Price Discovery in High Resol…Long-Run Wavelet-Based Correlation for Financial Time Series (2018)Long-Run Wavelet-Based Correl…Implications of High-Frequency Trading for Security Markets (2018)Implications of High-Frequenc…Forecasting stock market returns by summing the frequency-decomposed parts (2017)Forecasting stock market retu…The Term Structure of Liquidity Provision (2016)The Term Structure of Liquidi…Discerning information from trade data (2016)Discerning information from t…High Frequency Quoting, Trading, and the Efficiency of Prices (2013)High Frequency Quoting, Tradi…A Blessing or a Curse? The Impact of High Frequency Trading on Institutional Investors (2013)A Blessing or a Curse? The Im…Bulk Classification of Trading Activity (2012)Bulk Classification of Tradin…The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Continuous Auctions and Insider Trading (1985)Generalized autoregressive conditional heteroskedasticity (1986)Forecasting Volatility in Financial Markets: A Review (2003)Analysis of Financial Time Series (2006)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)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 Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Brownian Motion and Stochastic Calculus (2007)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)The Econometrics of Financial Markets (2012)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Efficient Capital Markets: II (1991)On the Impossibility of Informationally Efficient Markets (1980)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)Coherent Measures of Risk (1999)The Cross‐Section of Volatility and Expected Returns (2006)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Specification Tests in Econometrics (1978)Multifactor Explanations of Asset Pricing Anomalies (1996)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Reducing Buyer Search Costs: Implications for Electronic Marketplaces (1997)Information and the Change in the Paradigm in Economics (2002)Five Facts about Prices: A Reevaluation of Menu Cost Models * (2008)
this work references cited by second hop

References

  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
  • 1980A Model of Sales.1,365 cited
  • 2014High-Frequency Trading and Price Discovery1,168 cited
  • 2006Realized Variance and Market Microstructure Noise1,164 cited
  • 2002An Introduction to Wavelets and Other Filtering Methods in Finance and Economics1,072 cited
  • 2013The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response886 cited
  • 2011Low-Latency Trading880 cited
  • 2010Presidential Address: Asset Price Dynamics with Slow‐Moving Capital861 cited

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  • 2008Surveying stock market forecasting techniques – Part II: Soft computing methods841 cited
  • Cited by

    • 2016Discerning information from trade data101 cited
    • 2013High Frequency Quoting, Trading, and the Efficiency of Prices96 cited
    • 2020STOCK MARKET OPENNESS AND MARKET QUALITY: EVIDENCE FROM THE SHANGHAI–HONG KONG STOCK CONNECT PROGRAM77 cited
    • 2016The Term Structure of Liquidity Provision75 cited
    • 2018Price Discovery in High Resolution62 cited
    • 2017Forecasting stock market returns by summing the frequency-decomposed parts60 cited
    • 2020Competition among liquidity providers with access to high-frequency trading technology55 cited
    • 2012Bulk Classification of Trading Activity42 cited
    • 2018Long-Run Wavelet-Based Correlation for Financial Time Series39 cited
    • 2013A Blessing or a Curse? The Impact of High Frequency Trading on Institutional Investors38 cited
    • 2018Implications of High-Frequency Trading for Security Markets28 cited