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ArticleLatency, Liquidity and Price Discovery

Ryan Riordan2011

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Articlegreen2011

Latency, Liquidity and Price Discovery

Ryan Riordan · Andreas Storkenmaier

198 citations·0/0 files stored·Journal of Financial Markets

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 2012The Econometrics of Financial Markets 1991Inferring Trade Direction from Intraday Data 1968The Cost of Transacting 1983Information Effects on the Bid-Ask Spread 1991Measuring the Information Content of Stock Trades 2011Does Algorithmic Trading Improve Liquidity?

Cited by

2013What Do We Know About High-Frequency Trading?2018High-Frequency Market Making to Large Institutional Trades 2014The Empirical Analysis of Liquidity 2012A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS 2019High frequency trading and comovement in financial markets 2013Financial Regulation and Social Welfare: The Critical Contribution of Management Theory

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2009Algorithmic Trading and Informationpreprint · 12 shared references 2014The Empirical Analysis of Liquidityarticle · 10 shared references 2019Price Discovery without Trading: Evidence from Limit Ordersarticle · 9 shared references 2015High-Frequency Trading and Market Performancearticle · 9 shared references 2016Does High-Frequency Trading Increase Systemic Risk?article · 9 shared references 2013Algorithmic Trading and the Market for Liquidityarticle · 8 shared references

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Year2011

Typearticle

Published2011-01-01

VenueJournal of Financial Markets

ISSN-L1386-4181

Languageen

Citations198

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.finmar.2012.05.003

openalex_workW3125846991

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2014

An analysis of price discovery from panel data models of CDS and equity returns

2017High frequency trading and the 2008 short-sale ban