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High-Frequency Trading and Systemic Risk: A Structured Review of Findings and Policies
16 references·1 citing·39 second hop
High-Frequency Trading and Systemic Risk: A Structured Review of Findings and Policies (2020)High-Frequency Trading and Systemic Risk:…The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)The Flash Crash: High‐Frequen…High 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…The Diversity of High Frequency Traders (2012)The Diversity of High Frequen…High Frequency Trading and the New-Market Makers (2012)High Frequency Trading and th…Flow Toxicity and Liquidity in a High-frequency World (2012)Flow Toxicity and Liquidity i…Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…A Survey of Systemic Risk Analytics (2012)A Survey of Systemic Risk Ana…The Microstructure of the “Flash Crash”: Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading (2011)The Microstructure of the “Fl…Does Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…Stock Market Development and Long-Run Growth (1996)Stock Market Development and …Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…The Private and Social Value of Information and the Reward to Inventive Activity (1978)The Private and Social Value …Macroprudential policy and systemic risk in G20 nations (2024)Macroprudential policy and sy…Dictionary of American Biography (1945)Higher education as a filter (1973)Optimal contracts and competitive markets with costly state verification (1979)First-mover advantages (1988)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)On estimating the expected return on the market (1980)Market Liquidity and Funding Liquidity (2008)Continuous Auctions and Insider Trading (1985)Trading and Arbitrage in Cryptocurrency Markets (2018)Machine behaviour (2019)Inferring Trade Direction from Intraday Data (1991)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)The Pricing of Options and Corporate Liabilities (1973)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Where the Risks Lie: A Survey on Systemic Risk (2015)TENET: Tail-Event driven NETwork risk (2016)Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach (2021)A NEW MEASURE OF RANK CORRELATION (1938)Asset pricing and the bid-ask spread (1986)Liquidity Risk and Expected Stock Returns (2003)CoVaR (2016)Measuring Systemic Risk (2016)SRISK: A conditional capital shortfall measure of systemic risk (2017)On the mechanics of economic development (1988)Finance and Growth: Schumpeter Might Be Right (1993)FINANCIAL DEVELOPMENT AND ECONOMIC GROWTH: ASSESSING THE EVIDENCE* (1997)Financial development and economic growth: evidence from panel unit root and cointegration tests (2003)The Theory of Economic Development (2003)Does financial liberalization spur growth? (2005)Risk and Return in High Frequency Trading (2014)Algorithmic Trading and Market Quality: International Evidence (2020)
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References

  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,527 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 1978The Private and Social Value of Information and the Reward to Inventive Activity1,571 cited
  • 2014High-Frequency Trading and Price Discovery1,168 cited
  • 1996Stock Market Development and Long-Run Growth1,108 cited
  • 2013The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response886 cited
  • 2012High Frequency Trading and the New-Market Makers807 cited
  • 2017The Flash Crash: High‐Frequency Trading in an Electronic Market794 cited
  • 2012A Survey of Systemic Risk Analytics716 cited
  • 2014Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market606 cited
  • 2015High frequency market microstructure592 cited
  • 2012Flow Toxicity and Liquidity in a High-frequency World573 cited
  • 2015Equilibrium fast trading536 cited
  • 2012The Diversity of High Frequency Traders425 cited

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2011
The Microstructure of the “Flash Crash”: Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading
389 cited

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  • 2024Macroprudential policy and systemic risk in G20 nations17 cited