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High Frequency Trading and Market Quality
0 references·16 citing·49 second hopsampled
High Frequency Trading and Market Quality (2011)High Frequency Trading and Market QualityFast and slow informed trading (2019)Fast and slow informed tradingHigh-Frequency Trading and Market Performance (2015)High-Frequency Trading and Ma…High frequency trading and end-of-day price dislocation (2015)High frequency trading and en…News-driven return reversals: Liquidity provision ahead of earnings announcements (2014)News-driven return reversals:…What Do We Know About High-Frequency Trading? (2013)What Do We Know About High-Fr…The Impact of Co‐Location of Securities Exchanges' and Traders' Computer Servers on Market Liquidity (2013)The Impact of Co‐Location of …High Frequency Trading in the Korean Index Futures Market (2013)High Frequency Trading in the…An ecological perspective on the future of computer trading (2013)An ecological perspective on …Speed, algorithmic trading, and market quality around U.S. macroeconomic news announcements (2012)Speed, algorithmic trading, a…Liquidity Cycles and Make/Take Fees in Electronic Markets (2012)Liquidity Cycles and Make/Tak…Fairness in Financial Markets: The Case of High Frequency Trading (2012)Fairness in Financial Markets…Execution Risk in High-Frequency Arbitrage (2012)Execution Risk in High-Freque…Where is the Value in High Frequency Trading? (2011)Where is the Value in High Fr…Latency, Liquidity and Price Discovery (2011)Latency, Liquidity and Price …Crashes and High Frequency Trading (2011)Crashes and High Frequency Tr…Rock around the Clock : An agent-based model of low- and high-frequency trading (1991)Rock around the Clock : An ag…One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Does Algorithmic Trading Improve Liquidity? 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On the Relation between Make‐Take Fees and Limit Order Execution Quality (2016)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Power-Law Distributions in Empirical Data (2009)An information theoretic criterion for empirical validation of simulation models (2017)A comparison of economic agent-based model calibration methods (2020)Stock market volatility: a systematic review (2023)An Empirical Evaluation of Accounting Income Numbers (1968)Continuous Auctions and Insider Trading (1985)Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature (2001)Time-Varying Demand for Lottery: Speculation Ahead of Earnings Announcements (2016)What do measures of real-time corporate sales say about earnings surprises and post-announcement returns? (2017)A Tough Act to Follow: Contrast Effects in Financial Markets (2018)Justice as Fairness (1958)A Theory of Fairness, Competition, and Cooperation (1999)Incorporating Fairness into Game Theory and Economics (2011)Financial Regulation and Social Welfare: The Critical Contribution of Management Theory (2013)Automated trading systems statistical and machine learning methods and hardware implementation: a survey (2018)AI ethics and systemic risks in finance (2022)Optimal dealer pricing under transactions and return uncertainty (1981)Run EDGAR Run: SEC Dissemination in a High-Frequency World (2017)The Competitive Landscape of High-Frequency Trading Firms (2017)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Corporate financing and investment decisions when firms have information that investors do not have (1984)Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity and Trading Costs (2016)Back-Running: Seeking and Hiding Fundamental Information in Order Flows* (2019)The Effect of Tick Size on Managerial Learning from Stock Prices (2020)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Monetary policy uncertainty and the market reaction to macroeconomic news (2017)Price Drift Before U.S. Macroeconomic News: Private Information about Public Announcements? (2018)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)The Econometrics of Financial Markets (2012)The Empirical Analysis of Liquidity (2014)High-Frequency Market Making to Large Institutional Trades (2018)
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  • 2012Liquidity Cycles and Make/Take Fees in Electronic Markets200 cited
  • 2011Latency, Liquidity and Price Discovery198 cited
  • 2015High-Frequency Trading and Market Performance197 cited
  • 2013What Do We Know About High-Frequency Trading?188 cited
  • 2019Fast and slow informed trading148 cited
  • 2014News-driven return reversals: Liquidity provision ahead of earnings announcements141 cited
  • 2012Fairness in Financial Markets: The Case of High Frequency Trading117 cited
  • 2012Speed, algorithmic trading, and market quality around U.S. macroeconomic news announcements115 cited
  • 1991Rock around the Clock : An agent-based model of low- and high-frequency trading87 cited
  • 2013An ecological perspective on the future of computer trading85 cited
  • 2011Crashes and High Frequency Trading78 cited
  • 2015High frequency trading and end-of-day price dislocation76 cited
  • 2012Execution Risk in High-Frequency Arbitrage73 cited
  • 2011Where is the Value in High Frequency Trading?68 cited
  • 2013The Impact of Co‐Location of Securities Exchanges' and Traders' Computer Servers on Market Liquidity

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67 cited
  • 2013High Frequency Trading in the Korean Index Futures Market65 cited