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Order characteristics and stock price evolution An application to program trading

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  • Hasbrouck, Joel

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  • Hasbrouck, Joel, 1996. "Order characteristics and stock price evolution An application to program trading," Journal of Financial Economics, Elsevier, vol. 41(1), pages 129-149, May.
    • Handle: RePEc:eee:jfinec:v:41:y:1996:i:1:p:129-149
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    1. Seppi, Duane J, 1990. "Equilibrium Block Trading and Asymmetric Information," Journal of Finance, American Finance Association, vol. 45(1), pages 73-94, March.
    2. Madhavan, Ananth & Smidt, Seymour, 1993. "An Analysis of Changes in Specialist Inventories and Quotations," Journal of Finance, American Finance Association, vol. 48(5), pages 1595-1628, December.
    3. Marshall E. Blume & Michael A. Goldstein, "undated". "Displayed and Effective Spreads by Market (Revision of 4-92)," Rodney L. White Center for Financial Research Working Papers 27-92, Wharton School Rodney L. White Center for Financial Research.
    4. Madhavan, Ananth & Smidt, Seymour, 1991. "A Bayesian model of intraday specialist pricing," Journal of Financial Economics, Elsevier, vol. 30(1), pages 99-134, November.
    5. Hausman, Jerry A. & Lo, Andrew W. & MacKinlay, A. Craig, 1992. "An ordered probit analysis of transaction stock prices," Journal of Financial Economics, Elsevier, vol. 31(3), pages 319-379, June.
    6. Harris, Lawrence & Sofianos, George & Shapiro, James E, 1994. "Program Trading and Intraday Volatility," The Review of Financial Studies, Society for Financial Studies, vol. 7(4), pages 653-685.
    7. Jacklin, Charles J & Kleidon, Allan W & Pfleiderer, Paul, 1992. "Underestimation of Portfolio Insurance and the Crash of October 1987," The Review of Financial Studies, Society for Financial Studies, vol. 5(1), pages 35-63.
    8. Fremault, Anne, 1991. "Stock Index Futures and Index Arbitrage in a Rational Expectations Model," The Journal of Business, University of Chicago Press, vol. 64(4), pages 523-547, October.
    9. Hasbrouck, Joel, 1995. "One Security, Many Markets: Determining the Contributions to Price Discovery," Journal of Finance, American Finance Association, vol. 50(4), pages 1175-1199, September.
    10. Grossman, Sanford J, 1988. "An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies," The Journal of Business, University of Chicago Press, vol. 61(3), pages 275-298, July.
    11. Hasbrouck, Joel, 1991. "Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, vol. 46(1), pages 179-207, March.
    12. Foster, F Douglas & Viswanathan, S, 1993. "Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models," Journal of Finance, American Finance Association, vol. 48(1), pages 187-211, March.
    13. Hasbrouck, Joel, 1991. "The Summary Informativeness of Stock Trades: An Econometric Analysis," The Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 571-595.
    14. Subrahmanyam, Avanidhar, 1991. "A Theory of Trading in Stock Index Futures," The Review of Financial Studies, Society for Financial Studies, vol. 4(1), pages 17-51.
    15. Harris, Lawrence & Hasbrouck, Joel, 1996. "Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(2), pages 213-231, June.
    16. Kumar, Praveen & Seppi, Duane J, 1994. "Information and Index Arbitrage," The Journal of Business, University of Chicago Press, vol. 67(4), pages 481-509, October.
    17. Huang, Roger D & Stoll, Hans R, 1994. "Market Microstructure and Stock Return Predictions," The Review of Financial Studies, Society for Financial Studies, vol. 7(1), pages 179-213.
    18. Hasbrouck, Joel, 1988. "Trades, quotes, inventories, and information," Journal of Financial Economics, Elsevier, vol. 22(2), pages 229-252, December.
    19. Barclay, Michael J. & Warner, Jerold B., 1993. "Stealth trading and volatility : Which trades move prices?," Journal of Financial Economics, Elsevier, vol. 34(3), pages 281-305, December.
    20. Easley, David & O'Hara, Maureen, 1991. "Order Form and Information in Securities Markets," Journal of Finance, American Finance Association, vol. 46(3), pages 905-927, July.
    21. Hasbrouck, Joel, 1993. "Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement," The Review of Financial Studies, Society for Financial Studies, vol. 6(1), pages 191-212.
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    Citations

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    Cited by:

    1. Anand, Amber & Chakravarty, Sugato & Martell, Terrence, 2005. "Empirical evidence on the evolution of liquidity: Choice of market versus limit orders by informed and uninformed traders," Journal of Financial Markets, Elsevier, vol. 8(3), pages 288-308, August.
    2. Hasbrouck, Joel & Seppi, Duane J., 2001. "Common factors in prices, order flows, and liquidity," Journal of Financial Economics, Elsevier, vol. 59(3), pages 383-411, March.
    3. Chakravarty, Sugato, 2001. "Stealth-trading: Which traders' trades move stock prices?," Journal of Financial Economics, Elsevier, vol. 61(2), pages 289-307, August.
    4. Obizhaeva, Anna A. & Wang, Jiang, 2013. "Optimal trading strategy and supply/demand dynamics," Journal of Financial Markets, Elsevier, vol. 16(1), pages 1-32.
    5. Alain P. Chaboud & Benjamin Chiquoine & Erik Hjalmarsson & Clara Vega, 2014. "Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 69(5), pages 2045-2084, October.
    6. Giacomo Aletti & Vincenzo Capasso, 2003. "Notes and Comments: Profitability in a multiple strategy market," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 26(2), pages 145-152, November.
    7. Joel Hasbrouck, 1999. "Trading Fast and Slow: Security Market Events in Real Time," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-012, New York University, Leonard N. Stern School of Business-.
    8. Berkman, Henk & Brailsford, Tim & Frino, Alex, 2005. "A note on execution costs for stock index futures: Information versus liquidity effects," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 565-577, March.
    9. Joel Hasbrouck, 1998. "Liquidity in the Futures Pits: Inferring Market Dynamics from Incomplete Data," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-076, New York University, Leonard N. Stern School of Business-.

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