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Latency, Liquidity and Price Discovery
16 references·16 citing·36 second hopsampled
Latency, Liquidity and Price Discovery (2011)Latency, Liquidity and Price DiscoveryRise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)Rise of the Machines: Algorit…The Econometrics of Financial Markets (2012)The Econometrics of Financial…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…Simple formulas for standard errors that cluster by both firm and time (2010)Simple formulas for standard …Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Estimating Standard Errors in…Limit Order Book as a Market for Liquidity (2005)Limit Order Book as a Market …Market microstructure: A survey (2000)Market microstructure: A surv…Price Dynamics in Limit Order Markets (1998)Price Dynamics in Limit Order…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…PRACTITIONERS’ CORNER: Computing Robust Standard Errors for Within‐groups Estimators * (1987)PRACTITIONERS’ CORNER: Comput…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Information Effects on the Bid-Ask Spread (1983)Information Effects on the Bi…The Cost of Transacting (1968)The Cost of TransactingCorporate green innovation and stock liquidity in China (2022)Corporate green innovation an…Bitcoin unchained: Determinants of cryptocurrency exchange liquidity (2022)Bitcoin unchained: Determinan…High frequency trading and comovement in financial markets (2019)High frequency trading and co…First to “Read” the News: News Analytics and Algorithmic Trading (2019)First to “Read” the News: New…Unscheduled News and Market Dynamics (2018)Unscheduled News and Market D…High-Frequency Market Making to Large Institutional Trades (2018)High-Frequency Market Making …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…The Empirical Analysis of Liquidity (2014)The Empirical Analysis of Liq…Macroeconomic news announcements and price discovery: Evidence from Canadian–U.S. cross-listed firms (2014)Macroeconomic news announceme…An analysis of price discovery from panel data models of CDS and equity returns (2014)An analysis of price discover…What Do We Know About High-Frequency Trading? (2013)What Do We Know About High-Fr…Stock Repurchases and Liquidity (2013)Stock Repurchases and Liquidi…Latency arbitrage, market fragmentation, and efficiency (2013)Latency arbitrage, market fra…Financial Regulation and Social Welfare: The Critical Contribution of Management Theory (2013)Financial Regulation and Soci…A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS (2012)A DYSFUNCTIONAL ROLE OF HIGH …The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Price, trade size, and information in securities markets (1987)The Relation Between Price Changes and Trading Volume: A Survey (1987)Theory of rational option pricing (2005)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)Continuous Auctions and Insider Trading (1985)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)Panel data and unobservable individual effects (1981)Panel Data and Unobservable Individual Effects (1981)The analysis of household surveys (1997)Cluster-Sample Methods in Applied Econometrics (2003)Common Errors: How to (and Not to) Control for Unobserved Heterogeneity (2012)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)High-Frequency Trading and Price Discovery (2014)Risk, Return, and Equilibrium: Empirical Tests (1973)Biases in Dynamic Models with Fixed Effects (1981)Corporate Immunity to the COVID-19 Pandemic (2020)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Robust Inference With Multiway Clustering (2011)Policy Uncertainty and Corporate Investment (2015)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Commonality in liquidity (2000)Market Liquidity and Trading Activity (2001)Is Information Risk a Determinant of Asset Returns? (2002)
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References

  • 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches10,793 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1968The Cost of Transacting1,909 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 2010Simple formulas for standard errors that cluster by both firm and time1,515 cited
  • 1987PRACTITIONERS’ CORNER: Computing Robust Standard Errors for Within‐groups Estimators *1,449 cited
  • 2000Market microstructure: A survey1,133 cited
  • 2011Low-Latency Trading880 cited
  • 2012High Frequency Trading and the New-Market Makers807 cited
  • 2005Limit Order Book as a Market for Liquidity614 cited
  • 2014Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market606 cited
  • 1998Price Dynamics in Limit Order Markets

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597 cited

Cited by

  • 2013What Do We Know About High-Frequency Trading?188 cited
  • 2018High-Frequency Market Making to Large Institutional Trades186 cited
  • 2014The Empirical Analysis of Liquidity144 cited
  • 2012A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS143 cited
  • 2019High frequency trading and comovement in financial markets115 cited
  • 2013Financial Regulation and Social Welfare: The Critical Contribution of Management Theory106 cited
  • 2014An analysis of price discovery from panel data models of CDS and equity returns104 cited
  • 2017High frequency trading and the 2008 short-sale ban96 cited
  • 2013Stock Repurchases and Liquidity87 cited
  • 2013Latency arbitrage, market fragmentation, and efficiency56 cited
  • 2019First to “Read” the News: News Analytics and Algorithmic Trading55 cited
  • 2022Corporate green innovation and stock liquidity in China54 cited
  • 2022Bitcoin unchained: Determinants of cryptocurrency exchange liquidity47 cited
  • 2018Unscheduled News and Market Dynamics46 cited
  • 2014Macroeconomic news announcements and price discovery: Evidence from Canadian–U.S. cross-listed firms44 cited
  • 2015Securities Transaction Tax and Market Quality – the Case of France43 cited