SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Algorithmic Trading Efficiency and its Impact on Market-Quality
16 references·2 citing·43 second hop
Algorithmic Trading Efficiency and its Impact on Market-Quality (2021)Algorithmic Trading Efficiency and its Im…Quote Stuffing (2016)Quote StuffingMeasuring liquidity in emerging markets (2014)Measuring liquidity in emergi…High-Frequency Trading and Price Discovery (2014)High-Frequency Trading and Pr…Algorithmic Trading and the Market for Liquidity (2013)Algorithmic Trading and the M…Transparency, Liquidity, and Valuation: International Evidence on When Transparency Matters Most (2012)Transparency, Liquidity, and …Does Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…The world price of liquidity risk (2010)The world price of liquidity …Algorithmic trading & DMA : an introduction to direct access trading strategies (2010)Algorithmic trading & DMA : a…Do liquidity measures measure liquidity?☆ (2009)Do liquidity measures measure…Liquidity of emerging markets (2005)Liquidity of emerging marketsCommonality in liquidity (2000)Commonality in liquidityThe determinants and implications of corporate cash holdings (1999)The determinants and implicat…Transactions, Volume, and Volatility (1994)Transactions, Volume, and Vol…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Technology and automation in financial trading: A bibliometric review (2024)Technology and automation in …Algorithmic Trading: The Intelligent Trading Systems and Its Impact on Trade Size (2022)Algorithmic Trading: The Inte…Option Pricing: The American Put (1977)ARCH modeling in finance (1992)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices (2012)Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects (2018)Trading and Arbitrage in Cryptocurrency Markets (2018)Legal Determinants of External Finance (1997)Law and Finance (1998)Do Shareholders Benefit from Green Bonds? (2018)Continuous Auctions and Insider Trading (1985)Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatility Change Over Time? (1989)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Is Information Risk a Determinant of Asset Returns? (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)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 Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)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)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)On the Impossibility of Informationally Efficient Markets (1980)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)Common risk factors in the returns on stocks and bonds (1993)Liquidity Risk and Expected Stock Returns (2003)The Cross‐Section of Volatility and Expected Returns (2006)Market Liquidity and Funding Liquidity (2008)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)The theory and practice of corporate finance: evidence from the field (2001)The Cash Flow Sensitivity of Cash (2004)New Evidence on Measuring Financial Constraints: Moving Beyond the KZ Index (2010)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
this work references cited by second hop

References

  • 1952PORTFOLIO SELECTION*18,429 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1999The determinants and implications of corporate cash holdings3,910 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 2000Commonality in liquidity1,748 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 2009Do liquidity measures measure liquidity?☆1,425 cited
  • 2014High-Frequency Trading and Price Discovery1,185 cited
  • 1994Transactions, Volume, and Volatility870 cited
  • 2005Liquidity of emerging markets838 cited
  • 2012Transparency, Liquidity, and Valuation: International Evidence on When Transparency Matters Most820 cited
  • 2010The world price of liquidity risk487 cited
  • 2013Algorithmic Trading and the Market for Liquidity418 cited
  • 2016Quote Stuffing85 cited
  • 2014Measuring liquidity in emerging markets78 cited
  • 2010Algorithmic trading & DMA : an introduction to direct access trading strategies56 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Cited by

  • 2024Technology and automation in financial trading: A bibliometric review20 cited
  • 2022Algorithmic Trading: The Intelligent Trading Systems and Its Impact on Trade Size15 cited