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Do High-Frequency Traders Anticipate Buying and Selling Pressure?
16 references·16 citing·39 second hopsampled
Do High-Frequency Traders Anticipate Buying and Selling Pressure? (2020)Do High-Frequency Traders Anticipate Buyi…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…More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)More Than Words: Quantifying …Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Giving Content to Investor Se…Market Frictions, Price Delay, and the Cross-Section of Expected Returns (2005)Market Frictions, Price Delay…Order imbalance, liquidity, and market returns (2002)Order imbalance, liquidity, a…The High‐Volume Return Premium (2001)The High‐Volume Return PremiumAutomatic Lag Selection in Covariance Matrix Estimation (1994)Automatic Lag Selection in Co…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)THE SUPPLY OF DEALER SERVICES…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Stock market volatility: a systematic review (2023)Stock market volatility: a sy…Fast and slow informed trading (2019)Fast and slow informed tradingBack-Running: Seeking and Hiding Fundamental Information in Order Flows* (2019)Back-Running: Seeking and Hid…When Transparency Improves, Must Prices Reflect Fundamentals Better? (2018)When Transparency Improves, M…High-Frequency Trading Competition (2018)High-Frequency Trading Compet…High-Frequency Market Making to Large Institutional Trades (2018)High-Frequency Market Making …The Competitive Landscape of High-Frequency Trading Firms (2017)The Competitive Landscape of …Quote Stuffing (2016)Quote StuffingPrice discovery and the cross-section of high-frequency trading (2016)Price discovery and the cross…Market conditions, fragility, and the economics of market making (2016)Market conditions, fragility,…High-Frequency Trading and Market Performance (2015)High-Frequency Trading and Ma…The Empirical Analysis of Liquidity (2014)The Empirical Analysis of Liq…The Externalities of High Frequency Trading (2012)The Externalities of High Fre…High Frequency Trading and Price Discovery (2012)High Frequency Trading and Pr…Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2009)Rise of the Machines: Algorit…Rock around the Clock : An agent-based model of low- and high-frequency trading (1991)Rock around the Clock : An ag…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The theory and practice of econometrics (1986)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)The Cost of Transacting (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Optimal dealer pricing under transactions and return uncertainty (1981)Insiders' profits, costs of trading, and market efficiency (1986)Market liquidity as a sentiment indicator (2004)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)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Media Coverage and the Cross‐section of Stock Returns (2009)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Textual Analysis in Accounting and Finance: A Survey (2016)The General Theory of Employment, Interest and Money. (1936)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)In Search of Attention (2011)MONEY, INCOME, AND CAUSALITY (1972)Generalized autoregressive conditional heteroskedasticity (1986)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Individualism and Momentum around the World (2010)Sentiment During Recessions (2012)Noise Trader Risk in Financial Markets (1990)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 2007Giving Content to Investor Sentiment: The Role of Media in the Stock Market4,822 cited
  • 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
  • 2008More Than Words: Quantifying Language to Measure Firms' Fundamentals2,310 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
  • 2014High-Frequency Trading and Price Discovery1,168 cited
  • 2005Market Frictions, Price Delay, and the Cross-Section of Expected Returns1,088 cited
  • 2002Order imbalance, liquidity, and market returns914 cited
  • 2013The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response886 cited
  • 2011Low-Latency Trading880 cited
  • 2001The High‐Volume Return Premium860 cited
  • 2012

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High Frequency Trading and the New-Market Makers
807 cited

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  • 2015High-Frequency Trading and Market Performance197 cited
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  • 2018High-Frequency Market Making to Large Institutional Trades186 cited
  • 2012High Frequency Trading and Price Discovery165 cited
  • 2019Fast and slow informed trading148 cited
  • 2014The Empirical Analysis of Liquidity144 cited
  • 2018When Transparency Improves, Must Prices Reflect Fundamentals Better?122 cited
  • 2016Market conditions, fragility, and the economics of market making112 cited
  • 2017The Competitive Landscape of High-Frequency Trading Firms107 cited
  • 2016Price discovery and the cross-section of high-frequency trading102 cited
  • 2018High-Frequency Trading Competition96 cited
  • 2012The Externalities of High Frequency Trading95 cited
  • 1991Rock around the Clock : An agent-based model of low- and high-frequency trading87 cited
  • 2023Stock market volatility: a systematic review86 cited
  • 2016Quote Stuffing85 cited
  • 2009Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market85 cited