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Does Algorithmic Trading Increase Volatility? Empirical Evidence from the Fully-Electronic Trading Platform Xetra
11 references·2 citing·43 second hop
Does Algorithmic Trading Increase Volatility? Empirical Evidence from the Fully-Electronic Trading Platform Xetra (2011)Does Algorithmic Trading Increase Volatil…Does Algorithmic Trading Improve Liquidity? (2011)Does Algorithmic Trading Impr…Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2009)Rise of the Machines: Algorit…Market Sidedness: Insights into Motives for Trade Initiation (2009)Market Sidedness: Insights in…Algorithmic Trading and Information (2009)Algorithmic Trading and Infor…The Automation of Capital Markets (2006)The Automation of Capital Mar…The Cost of Algorithmic Trading (2005)The Cost of Algorithmic Tradi…Algorithmic Decision-Making Framework (2005)Algorithmic Decision-Making F…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong (2001)Limit Orders, Depth, and Vola…An Introduction to High-Frequency Finance (2001)An Introduction to High-Frequ…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…Algorithmic Trading: The Intelligent Trading Systems and Its Impact on Trade Size (2022)Algorithmic Trading: The Inte…Algorithmic Trading Efficiency and its Impact on Market-Quality (2021)Algorithmic Trading Efficienc…Essays in Positive Economics. (1954)Inferring Trade Direction from Intraday Data (1991)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)High Frequency Trading and the New-Market Makers (2012)High-Frequency Trading and Price Discovery (2014)Liquidity, Volatility and Equity Trading Costs Across Countries and Over Time (2001)High Frequency Trading (2012)Algorithmic Trading and the Market for Liquidity (2013)A Theory of Intraday Patterns: Volume and Price Variability (1988)Market microstructure theory (1995)The “make or take” decision in an electronic market: Evidence on the evolution of liquidity (2004)Equilibrium in a Dynamic Limit Order Market (2005)Optimal trading strategy and supply/demand dynamics (2012)Risk Aversion in the Small and in the Large (1964)Essays in the Theory of Risk-Bearing. (1972)Risk Aversion in the Small and in the Large (1976)Bayesian Adaptive Trading with a Daily Cycle (2006)The Expanded Implementation Shortfall (2006)Optimal VWAP trading under noisy conditions (2011)Continuous Auctions and Insider Trading (1985)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)The Analysis of Economic Time-Series-Part I: Prices (1953)Some New Stock-Market Indexes (1966)Risk measurement when shares are subject to infrequent trading (1979)The Relation Between Price Changes and Trading Volume: A Survey (1987)Measuring the Information Content of Stock Trades (1991)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 (2011)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Differences of Opinion and the Cross Section of Stock Returns (2002)Trading Volume Around Earnings Announcements and Other Financial Reports: Theory, Research Design, Empirical Evidence, and Directions for Future Research* (2011)Informed trading and price discovery before corporate events (2017)Bias in the effective bid-ask spread (2021)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)
this work references cited by second hop

References

  • 2003Modeling and Forecasting Realized Volatility3,920 cited
  • 2011Does Algorithmic Trading Improve Liquidity?1,680 cited
  • 2001An Introduction to High-Frequency Finance989 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks791 cited
  • 2001Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong308 cited
  • 2009Algorithmic Trading and Information184 cited
  • 2009Market Sidedness: Insights into Motives for Trade Initiation121 cited
  • 2009Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market85 cited
  • 2005Algorithmic Decision-Making Framework69 cited
  • 2005The Cost of Algorithmic Trading62 cited
  • 2006The Automation of Capital Markets35 cited

Cited by

  • 2021Algorithmic Trading Efficiency and its Impact on Market-Quality21 cited
  • 2022Algorithmic Trading: The Intelligent Trading Systems and Its Impact on Trade Size15 cited

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