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On the Effects of Continuous Trading
16 references·1 citing·37 second hop
On the Effects of Continuous Trading (2020)On the Effects of Continuous TradingHigh frequency market microstructure (2015)High frequency market microst…Equilibrium fast trading (2015)Equilibrium fast tradingRise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)Rise of the Machines: Algorit…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…Is market fragmentation harming market quality? (2011)Is market fragmentation harmi…Does Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…Caught on tape: Institutional trading, stock returns, and earnings announcements (2008)Caught on tape: Institutional…Market Frictions, Price Delay, and the Cross-Section of Expected Returns (2005)Market Frictions, Price Delay…Intraday Price Formation in U.S. Equity Index Markets (2003)Intraday Price Formation in U…Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange (1997)Market microstructure and sec…Trading Mechanisms in Securities Markets (1992)Trading Mechanisms in Securit…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Optimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …A Theory of Stock Exchange Competition and Innovation: Will the Market Fix the Market? (2023)A Theory of Stock Exchange Co…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)Liquidity and stock returns: An alternative test (1998)Over-the-Counter Markets (2004)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Flow Toxicity and Liquidity in a High-frequency World (2012)Algorithmic Trading and the Market for Liquidity (2013)Artificial intelligence and machine learning in finance: A bibliometric review (2022)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Low-Latency Trading (2011)On the Impossibility of Informationally Efficient Markets (1980)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Measuring security price performance (1980)Asset pricing and the bid-ask spread (1986)A Theory of Intraday Patterns: Volume and Price Variability (1988)Presidential Address: Liquidity and Price Discovery (2003)Market transparency, liquidity externalities, and institutional trading costs in corporate bonds☆ (2006)Deviations from Put-Call Parity and Stock Return Predictability (2010)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)A liquidity-augmented capital asset pricing model (2006)Sports Sentiment and Stock Returns (2007)Replicating Anomalies (2018)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)Trading and Arbitrage in Cryptocurrency Markets (2018)Machine behaviour (2019)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 2014High-Frequency Trading and Price Discovery1,168 cited
  • 2005Market Frictions, Price Delay, and the Cross-Section of Expected Returns1,088 cited
  • 2013The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response886 cited
  • 1997Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange652 cited
  • 2014Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market606 cited
  • 2015High frequency market microstructure592 cited
  • 2011Is market fragmentation harming market quality?578 cited
  • 2015Equilibrium fast trading536 cited
  • 2003Intraday Price Formation in U.S. Equity Index Markets502 cited
  • 1992Trading Mechanisms in Securities Markets426 cited
  • 2008

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Caught on tape: Institutional trading, stock returns, and earnings announcements
392 cited

Cited by

  • 2023A Theory of Stock Exchange Competition and Innovation: Will the Market Fix the Market?31 cited