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Order Exposure and Parasitic Traders
0 references·12 citing·45 second hop
Order Exposure and Parasitic Traders (1997)Order Exposure and Parasitic TradersIncreasing the Tick: Examining the Impact of the Tick Size Change on Maker‐Taker and Taker‐Maker Market Models (2019)Increasing the Tick: Examinin…Price manipulation, front running and bulk trades: Evidence from India (2015)Price manipulation, front run…Relative Tick Size and the Trading Environment (2014)Relative Tick Size and the Tr…On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements (2012)On the Dark Side of the Marke…On the hidden side of liquidity (2011)On the hidden side of liquidi…Hidden Liquidity: Some New Light on Dark Trading (2011)Hidden Liquidity: Some New Li…Anonymity, liquidity and fragmentation (2008)Anonymity, liquidity and frag…Liquidation in the Face of Adversity: Stealth vs. Sunshine Trading (2007)Liquidation in the Face of Ad…Centralised order books versus hybrid order books: A paired comparison of trading costs on NSC (Euronext Paris) and SETS (London Stock Exchange) (2007)Centralised order books versu…Canonical valuation of options in the presence of stochastic volatility (2004)Canonical valuation of option…How has the euro changed the foreign exchange market? (2002)How has the euro changed the …Symposium on Market Microstructure: A Review of Empirical Research (1999)Symposium on Market Microstru…Price, trade size, and information in securities markets (1987)Liquidity, Information, and Infrequently Traded Stocks (1996)Individual Investor Trading and Stock Returns (2008)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Robust Strategies for Optimal Order Execution in the Almgren–Chriss Framework (2012)Drift dependence of optimal trade execution strategies under transient price impact (2013)A STATE‐CONSTRAINED DIFFERENTIAL GAME ARISING IN OPTIMAL PORTFOLIO LIQUIDATION (2015)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Information revelation in the futures market: Evidence from single stock futures (2008)Trade size, high-frequency trading, and colocation around the world (2014)Voluntary disclosure and information asymmetry: do investors in US capital markets care about carbon emission? (2021)Information Effects on the Bid-Ask Spread (1983)Inferring Trade Direction from Intraday Data (1991)Measuring the Information Content of Stock Trades (1991)Modelling and forecasting liquidity supply using semiparametric factor dynamics (2012)Stock Market Liquidity and Firm Value: An Empirical Examination of the Australian Market (2016)Stock liquidity and dividend policy: Evidence from an imputation tax environment (2020)On the Impossibility of Informationally Efficient Markets (1980)The Distribution of Realized Exchange Rate Volatility (2001)Global Currency Rivalry: Can the Euro Ever Challenge the Dollar? (2003)The International Role of the Dollar and Trade Balance Adjustment (2006)International order flows: Explaining equity and exchange rate returns (2009)THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)Estimating the components of the bid/ask spread (1988)The determinants of alternative trading venue market share: Global evidence from the introduction of Chi-X (2014)The impact of fragmentation, exchange fees and liquidity provision on market quality (2016)Using daily stock returns (1985)Event-study methodology under conditions of event-induced variance (1991)What do border disputes cost? Evidence from an emerging market (2022)Glasgow climate pact and the global clean energy index constituent stocks (2023)Impact of ESG regulation on stock market returns: Investor responses to a reasonable assurance mandate (2024)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)Order flow composition and trading costs in a dynamic limit order market (1999)Does Algorithmic Trading Improve Liquidity? (2011)How Aggressive are High-Frequency Traders? (2013)How Aggressive Are High‐Frequency Traders? (2014)Why do traders choose dark markets? (2016)Low-Latency Trading (2011)High-Frequency Trading and Price Discovery (2014)Are Investors Reluctant to Realize Their Losses? (1998)Hidden Limit Orders and Liquidity in Limit Order Markets (2005)What Pieces of Limit Order Book Information Matter in Explaining Order Choice by Patient and Impatient Traders? (2008)Resiliency of the limit order book (2015)
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  • 2002How has the euro changed the foreign exchange market?63 cited
  • 2007Liquidation in the Face of Adversity: Stealth vs. Sunshine Trading57 cited
  • 2008Anonymity, liquidity and fragmentation54 cited
  • 1999Symposium on Market Microstructure: A Review of Empirical Research52 cited
  • 2007Centralised order books versus hybrid order books: A paired comparison of trading costs on NSC (Euronext Paris) and SETS (London Stock Exchange)48 cited
  • 2015Price manipulation, front running and bulk trades: Evidence from India46 cited
  • 2011On the hidden side of liquidity45 cited
  • 2014Relative Tick Size and the Trading Environment39 cited
  • 2012On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements37 cited
  • 2019Increasing the Tick: Examining the Impact of the Tick Size Change on Maker‐Taker and Taker‐Maker Market Models36 cited
  • 2011Hidden Liquidity: Some New Light on Dark Trading33 cited
  • 2004Canonical valuation of options in the presence of stochastic volatility29 cited

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