Throttling hyperactive robots – Order-to-trade ratios at the Oslo Stock Exchange
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DOI: 10.1016/j.finmar.2017.09.001
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Citations
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Cited by:
- Klova, Valeriia & Odegaard, Bernt Arne, 2018. "Equity trading costs have fallen less than commonly thought. Evidence using alternative trading cost estimators," UiS Working Papers in Economics and Finance 2018/4, University of Stavanger, revised 2019.
- Bongaerts, Dion & Achter, Mark Van, 2021. "Competition among liquidity providers with access to high-frequency trading technology," Journal of Financial Economics, Elsevier, vol. 140(1), pages 220-249.
- Marta Khomyn, 2020. "Essays on Modern Market Structure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2020, January-A.
- Foley, Sean & Kwan, Amy & Philip, Richard & Ødegaard, Bernt Arne, 2022.
"Contagious margin calls: How COVID-19 threatened global stock market liquidity,"
Journal of Financial Markets, Elsevier, vol. 59(PA).
- Foley, Sean & Kwan, Amy & Philip, Richard & Ødegaard, Bernt Arne, 2020. "Contagious Margin Calls: How Covid-19 threatened global stock market liquidity," UiS Working Papers in Economics and Finance 2020/1, University of Stavanger.
- NIdhi Aggarwal & Venkatesh Panchapagesan & Susan Thomas, 2022. "When is the Order to Trade Ratio fee effective?," Working Papers 8, xKDR.
- Aggarwal, Nidhi & Panchapagesan, Venkatesh & Thomas, Susan, 2023.
"When is the order-to-trade ratio fee effective?,"
Journal of Financial Markets, Elsevier, vol. 62(C).
- NIdhi Aggarwal & Venkatesh Panchapagesan & Susan Thomas, 2022. "When is the order-to-trade ratio fee effective?," Working Papers 11, xKDR.
- Nidhi Aggarwal & Venkatesh Panchapagesan & Susan Thomas, 2019.
"When do regulatory interventions work?,"
Indira Gandhi Institute of Development Research, Mumbai Working Papers
2019-011, Indira Gandhi Institute of Development Research, Mumbai, India.
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- Khomyn, Marta & Putniņš, Tālis J., 2021. "Algos gone wild: What drives the extreme order cancellation rates in modern markets?," Journal of Banking & Finance, Elsevier, vol. 129(C).
- Ladley, Daniel, 2020. "The high frequency trade off between speed and sophistication," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
- Kemme, David M. & McInish, Thomas H. & Zhang, Jiang, 2022. "Market fairness and efficiency: Evidence from the Tokyo Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 134(C).
- Chung, Kee H. & Lee, Albert J. & Rösch, Dominik, 2020. "Tick size, liquidity for small and large orders, and price informativeness: Evidence from the Tick Size Pilot Program," Journal of Financial Economics, Elsevier, vol. 136(3), pages 879-899.
- Thiago W. Alves & Ionut Florescu & George Calhoun & Dragos Bozdog, 2020. "SHIFT: A Highly Realistic Financial Market Simulation Platform," Papers 2002.11158, arXiv.org, revised Aug 2020.
- Sean Foley & Tom G Meling & Bernt Arne Ødegaard, 2023. "Tick Size Wars: The Market Quality Effects of Pricing Grid Competition," Review of Finance, European Finance Association, vol. 27(2), pages 659-692.
- Thiago W. Alves & Ionuţ Florescu & Dragoş Bozdog, 2023. "Insights on the Statistics and Market Behavior of Frequent Batch Auctions," Mathematics, MDPI, vol. 11(5), pages 1-26, March.
- Daniel Ladley, 2019. "The Design and Regulation of High Frequency Traders," Discussion Papers in Economics 19/02, Division of Economics, School of Business, University of Leicester.
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More about this item
Keywords
High frequency trading; Regulation; Order-to-trade ratio;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G20 - Financial Economics - - Financial Institutions and Services - - - General
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