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High-Frequency Trading and its Role in Fragmented Markets
16 references·0 citing·48 second hopsampled
High-Frequency Trading and its Role in Fragmented Markets (2017)High-Frequency Trading and its Role in Fr…High-Frequency Trading and Price Discovery (2014)High-Frequency Trading and Pr…Does Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…Directive 2005/56/Ec of the European Parliament and of the Council (2011)Directive 2005/56/Ec of the E…Business Value of IT: An Essay on Expanding Research Directions to Keep up with the Times (2008)Business Value of IT: An Essa…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Econometric Analysis of Cross Section and Panel Data (2001)Econometric Analysis of Cross…Market microstructure: A survey (2000)Market microstructure: A surv…A Resource-Based Perspective on Information Technology Capability and Firm Performance: An Empirical Investigation1 (2000)A Resource-Based Perspective …UNEQUALLY SPACED PANEL DATA REGRESSIONS WITH AR(1) DISTURBANCES (1999)UNEQUALLY SPACED PANEL DATA R…Productivity, Business Profitability, and Consumer Surplus: Three Different Measures of Information Technology Value1,2 (1996)Productivity, Business Profit…An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)An Analysis of Intraday Patte…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIA Strategic Analysis of Electronic Marketplaces (1991)A Strategic Analysis of Elect…Electronic markets and electronic hierarchies (1987)Electronic markets and electr…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …An Evolutionary Theory of Economic Change. (1983)Firm Resources and Sustained Competitive Advantage (1991)Shaping Agility through Digital Options: Reconceptualizing the Role of Information Technology in Contemporary Firms1 (2003)Firm resources and sustained competitive advantage (2004)Review: Information Technology and Organizational Performance: An Integrative Model of IT Business Value1 (2004)Construct Measurement and Validation Procedures in MIS and Behavioral Research: Integrating New and Existing Techniques1 (2011)The Nature of the Firm (1937)Markets and Hierarchies (1975)Transaction-Cost Economics: The Governance of Contractual Relations (1979)Studying Information Technology in Organizations: Research Approaches and Assumptions (1991)The interdisciplinary study of coordination (1994)Using Technology and Constituting Structures: A Practice Lens for Studying Technology in Organizations (2000)Specification Tests in Econometrics (1978)The Modern Industrial Revolution, Exit, and the Failure of Internal Control Systems (1993)Paradox Lost? Firm-Level Evidence on the Returns to Information Systems Spending (1996)The Nature of Theory in Information Systems1 (2006)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)Corporate financing and investment decisions when firms have information that investors do not have (1984)Twitter mood predicts the stock market (2011)ESG and financial performance: aggregated evidence from more than 2000 empirical studies (2015)Stability in Competition (1929)Network Externalities, Competition, and Compatibility (1985)Stability in Competition (1990)Reducing Buyer Search Costs: Implications for Electronic Marketplaces (1997)Hedonic and utilitarian motivations for online retail shopping behavior (2001)E‐satisfaction and e‐loyalty: A contingency framework (2003)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Another look at the instrumental variable estimation of error-components models (1995)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)Corporate social responsibility and access to finance (2013)The China Syndrome: Local Labor Market Effects of Import Competition in the United States (2013)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Continuous Auctions and Insider Trading (1985)Inferring Trade Direction from Intraday Data (1991)Low-Latency Trading (2011)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)Editor's Choice Digesting Anomalies: An Investment ApproachThe 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)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)
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References

  • 2001Econometric Analysis of Cross Section and Panel Data27,643 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*24,470 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1991Efficient Capital Markets: II6,030 cited
  • 2000A Resource-Based Perspective on Information Technology Capability and Firm Performance: An Empirical Investigation15,027 cited
  • 1987Electronic markets and electronic hierarchies3,003 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 1996Productivity, Business Profitability, and Consumer Surplus: Three Different Measures of Information Technology Value1,21,628 cited
  • 1991A Strategic Analysis of Electronic Marketplaces1,230 cited
  • 2014High-Frequency Trading and Price Discovery1,185 cited
  • 2000Market microstructure: A survey1,147 cited
  • 2008Business Value of IT: An Essay on Expanding Research Directions to Keep up with the Times1,052 cited
  • 2011Directive 2005/56/Ec of the European Parliament and of the Council1,001 cited
  • 1999UNEQUALLY SPACED PANEL DATA REGRESSIONS WITH AR(1) DISTURBANCES

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965 cited
  • 1992An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks899 cited
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