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Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market
16 references·14 citing·44 second hop
Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2009)Rise of the Machines: Algorithmic Trading…How is macro news transmitted to exchange rates? (2008)How is macro news transmitted…Real-time price discovery in global stock, bond and foreign exchange markets (2007)Real-time price discovery in …Separating microstructure noise from volatility (2005)Separating microstructure noi…The “make or take” decision in an electronic market: Evidence on the evolution of liquidity (2004)The “make or take” decision i…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Micro Effects of Macro Announ…Order Flow and Exchange Rate Dynamics (2002)Order Flow and Exchange Rate …The distribution of realized stock return volatility (2001)The distribution of realized …Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Deutsche Mark–Dollar Volatili…Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)Why Do Security Prices Change…Differential Information and Dynamic Behavior of Stock Trading Volume (1995)Differential Information and …An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …The Summary Informativeness of Stock Trades: An Econometric Analysis (1991)The Summary Informativeness o…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Price, trade size, and information in securities markets (1987)Price, trade size, and inform…Information, trade and common knowledge (1982)Information, trade and common…Cables, Sharks and Servers: Technology and the Geography of the Foreign Exchange Market (2016)Cables, Sharks and Servers: T…Social Media, Financial Algorithms and the Hack Crash (2015)Social Media, Financial Algor…High frequency trading and end-of-day price dislocation (2015)High frequency trading and en…The market microstructure approach to foreign exchange: Looking back and looking forward (2013)The market microstructure app…High Frequency Trading with Speed Hierarchies (2013)High Frequency Trading with S…An ecological perspective on the future of computer trading (2013)An ecological perspective on …Algorithmic trading, the Flash Crash, and coordinated circuit breakers (2013)Algorithmic trading, the Flas…Taxation and the Financial Crisis (2012)Taxation and the Financial Cr…Speed, Algorithmic Trading, and Market Quality Around Macroeconomic News Announcements (2012)Speed, Algorithmic Trading, a…The information content of a limit order book: The case of an FX market (2011)The information content of a …Technical Analysis in the Foreign Exchange Market (2011)Technical Analysis in the For…Taxing Financial Transactions (2011)Taxing Financial TransactionsConflicting Codes and Codings (2011)Conflicting Codes and CodingsAlgorithmic Trading (2011)Algorithmic TradingThe Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Using daily stock returns (1985)Estimating the components of the bid/ask spread (1988)Market liquidity and volume around earnings announcements (1994)Agreeing to Disagree (1976)The Private and Social Value of Information and the Reward to Inventive Activity (1978)Herd Behavior and Investment (1988)Noise Trader Risk in Financial Markets (1990)A Theory of Intraday Patterns: Volume and Price Variability (1988)Inferring Trade Direction from Intraday Data (1991)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)The Relative Contribution of Jumps to Total Price Variance (2005)Liquidity and Market Efficiency (2007)Discretion versus policy rules in practice (1993)Dynamic Conditional Correlation (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (2008)Capital flows, push versus pull factors and the global financial crisis (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)The theory and practice of econometrics (1986)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Does Algorithmic Trading Improve Liquidity? (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Coherent Measures of Risk (1999)The Cross‐Section of Volatility and Expected Returns (2006)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Empirical exchange rate models of the seventies (1983)ARCH modeling in finance (1992)High-Frequency Trading and Price Discovery (2014)Market microstructure: A survey (2000)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)
this work references cited by second hop

References

  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 1982Information, trade and common knowledge1,738 cited
  • 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange1,377 cited
  • 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 2007Real-time price discovery in global stock, bond and foreign exchange markets1,127 cited
  • 1997Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks960 cited
  • 2002Order Flow and Exchange Rate Dynamics957 cited
  • 2005Separating microstructure noise from volatility635 cited
  • 1991The Summary Informativeness of Stock Trades: An Econometric Analysis537 cited
  • 2004The “make or take” decision in an electronic market: Evidence on the evolution of liquidity483 cited
  • 1995Differential Information and Dynamic Behavior of Stock Trading Volume

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447 cited
  • 2008How is macro news transmitted to exchange rates?369 cited
  • Cited by

    • 2011Taxing Financial Transactions173 cited
    • 2015Social Media, Financial Algorithms and the Hack Crash102 cited
    • 2011Algorithmic Trading102 cited
    • 2013An ecological perspective on the future of computer trading85 cited
    • 2013The market microstructure approach to foreign exchange: Looking back and looking forward84 cited
    • 2011Conflicting Codes and Codings79 cited
    • 2015High frequency trading and end-of-day price dislocation76 cited
    • 2011The information content of a limit order book: The case of an FX market48 cited
    • 2012Speed, Algorithmic Trading, and Market Quality Around Macroeconomic News Announcements42 cited
    • 2016Cables, Sharks and Servers: Technology and the Geography of the Foreign Exchange Market42 cited
    • 2012Taxation and the Financial Crisis38 cited
    • 2011Technical Analysis in the Foreign Exchange Market32 cited
    • 2013Algorithmic trading, the Flash Crash, and coordinated circuit breakers31 cited
    • 2013High Frequency Trading with Speed Hierarchies30 cited