What is the Optimal Trading Frequency in Financial Markets?
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Xavier Vives, 2011.
"Strategic Supply Function Competition With Private Information,"
Econometrica, Econometric Society, vol. 79(6), pages 1919-1966, November.
- Xavier Vives, 2008. "Strategic Supply Function Competition with Private Information," CESifo Working Paper Series 2410, CESifo.
- Xavier Vives, 2009. "Strategic Supply Function Competition with Private Information," CESifo Working Paper Series 2856, CESifo.
- Xavier Vives, 2009. "Strategic Supply Function Competition with Private Information," Cowles Foundation Discussion Papers 1736, Cowles Foundation for Research in Economics, Yale University.
- Vives, Xavier, 2008. "Strategic Supply Function Competition with Private Information," CEPR Discussion Papers 6960, C.E.P.R. Discussion Papers.
- Vives, Xavier, 2008. "Strategic supply function competition with private information," IESE Research Papers D/774, IESE Business School.
- Biais, Bruno & Foucault, Thierry & Moinas, Sophie, 2015.
"Equilibrium fast trading,"
Journal of Financial Economics, Elsevier, vol. 116(2), pages 292-313.
- Biais, Bruno & Foucault, Thierry & Moinas, Sophie, 2013. "Equilibrium Fast Trading," TSE Working Papers 13-387, Toulouse School of Economics (TSE), revised Sep 2014.
- Bruno Biais & Thierry Foucault & Sophie Moinas, 2015. "Equilibrium fast trading," Post-Print halshs-01400252, HAL.
- Biais, Bruno & Foucault, Thierry & Moinas, Sophie, 2013. "Equilibrium Fast Trading," IDEI Working Papers 769, Institut d'Économie Industrielle (IDEI), Toulouse, revised Sep 2014.
- Biais, Bruno & Foucault, Thierry & Moinas, Sophie, 2013. "Equilibrium Fast Trading," HEC Research Papers Series 968, HEC Paris.
- Hendershott, Terrence & Livdan, Dmitry & Schürhoff, Norman, 2015.
"Are institutions informed about news?,"
Journal of Financial Economics, Elsevier, vol. 117(2), pages 249-287.
- Terrence HENDERSHOTT & Dmitry LIVDAN & Norman SCHUERHOFF, 2014. "Are Institutions Informed About News?," Swiss Finance Institute Research Paper Series 14-49, Swiss Finance Institute.
- Drew Fudenberg & Jean Tirole, 1991. "Game Theory," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262061414, December.
- Haoxiang Zhu, 2014. "Do Dark Pools Harm Price Discovery?," The Review of Financial Studies, Society for Financial Studies, vol. 27(3), pages 747-789.
- Wang, Jiang, 1994. "A Model of Competitive Stock Trading Volume," Journal of Political Economy, University of Chicago Press, vol. 102(1), pages 127-168, February.
- Hoffmann, Peter, 2014. "A dynamic limit order market with fast and slow traders," Journal of Financial Economics, Elsevier, vol. 113(1), pages 156-169.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Songzi Du & Haoxiang Zhu, 2014. "Welfare and Optimal Trading Frequency in Dynamic Double Auctions," NBER Working Papers 20588, National Bureau of Economic Research, Inc.
- Pavan, Alessandro & Vives, Xavier, 2015. "Information, Coordination, and Market Frictions: An Introduction," Journal of Economic Theory, Elsevier, vol. 158(PB), pages 407-426.
- Xu, Ke, 2023. "High frequency market making during stressed periods," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 379-397.
- Shiyang Huang & Bart Zhou Yueshen, 2021. "Speed Acquisition," Management Science, INFORMS, vol. 67(6), pages 3492-3518, June.
- Tao Chen, 2021. "Round‐number biases on trading time: Evidence from international markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(3), pages 469-495, September.
- Babus, Ana & Parlatore, Cecilia, 2022.
"Strategic fragmented markets,"
Journal of Financial Economics, Elsevier, vol. 145(3), pages 876-908.
- Babus, Ana & Parlatore Siritto, Cecilia, 2016. "Strategic Fragmented Markets," CEPR Discussion Papers 11591, C.E.P.R. Discussion Papers.
- Cecilia Parlatore & Ana Babus, 2016. "Strategic Fragmented Markets," 2016 Meeting Papers 1582, Society for Economic Dynamics.
- Ana Babus & Cecilia Parlatore, 2021. "Strategic Fragmented Markets," NBER Working Papers 28729, National Bureau of Economic Research, Inc.
- 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.
- Ya‐Kai Chang & Robin K. Chou, 2022. "Algorithmic trading and market quality: Evidence from the Taiwan index futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1837-1855, October.
- He, Xue-Zhong & Lin, Shen, 2022. "Reinforcement Learning Equilibrium in Limit Order Markets," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
- Breckenfelder, Johannes, 2024.
"Competition among high-frequency traders and market quality,"
Journal of Economic Dynamics and Control, Elsevier, vol. 166(C).
- Breckenfelder, Johannes, 2019. "Competition among high-frequency traders, and market quality," Working Paper Series 2290, European Central Bank.
- Dimitri Vayanos, 1999.
"Strategic Trading and Welfare in a Dynamic Market,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 66(2), pages 219-254.
- Vayanos, Dimitri, 1999. "Strategic trading and welfare in a dynamic market," LSE Research Online Documents on Economics 449, London School of Economics and Political Science, LSE Library.
- Tina Kao & Flavio Menezes & John Quiggin, 2014.
"Optimal access regulation with downstream competition,"
Journal of Regulatory Economics, Springer, vol. 45(1), pages 75-93, February.
- Flavio Menezes & John Quiggin & Tina Kao, 2012. "Optimal Access Regulation with Downstream Competition," Discussion Papers Series 473, School of Economics, University of Queensland, Australia.
- Kao, Tina & Menezes, Flavio & Quiggin, John, 2012. "Optimal access regulation with downstream competition," Risk and Sustainable Management Group Working Papers 151201, University of Queensland, School of Economics.
- Zhou, Hao & Kalev, Petko S., 2019. "Algorithmic and high frequency trading in Asia-Pacific, now and the future," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 186-207.
- Tomy Lee, 2019.
"Latency in Fragmented Markets,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 128-153, July.
- Tomy Lee, 2019. "Code and data files for "Latency in Fragmented Markets"," Computer Codes 18-287, Review of Economic Dynamics.
- Daniel Fricke & Austin Gerig, 2018. "Too fast or too slow? Determining the optimal speed of financial markets," Quantitative Finance, Taylor & Francis Journals, vol. 18(4), pages 519-532, April.
- Samuel Antill & Darrell Duffie, 2021.
"Augmenting Markets with Mechanisms [Optimal Execution of Portfolio Transactions],"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 88(4), pages 1665-1719.
- Duffie, Darrell & Antill, Samuel, 2017. "Augmenting Markets with Mechanisms," Research Papers repec:ecl:stabus:3623, Stanford University, Graduate School of Business.
- Duffie, Darrell & Antill, Samuel, 2018. "Augmenting Markets with Mechanisms," Research Papers 3623, Stanford University, Graduate School of Business.
- Samuel Antill & Darrell Duffie, 2017. "Augmenting Markets with Mechanisms," NBER Working Papers 24146, National Bureau of Economic Research, Inc.
- Brogaard, Jonathan & Hendershott, Terrence & Riordan, Ryan, 2017. "High frequency trading and the 2008 short-sale ban," Journal of Financial Economics, Elsevier, vol. 124(1), pages 22-42.
- Choi, Jin Hyuk & Larsen, Kasper & Seppi, Duane J., 2019. "Information and trading targets in a dynamic market equilibrium," Journal of Financial Economics, Elsevier, vol. 132(3), pages 22-49.
- Anagnostidis, Panagiotis & Fontaine, Patrice & Varsakelis, Christos, 2020. "Are high–frequency traders informed?," Economic Modelling, Elsevier, vol. 93(C), pages 365-383.
- Pierre Collin‐Dufresne & Benjamin Junge & Anders B. Trolle, 2020. "Market Structure and Transaction Costs of Index CDSs," Journal of Finance, American Finance Association, vol. 75(5), pages 2719-2763, October.
More about this item
Keywords
Trading frequency; Allocative efficiency; High-frequency trading; Double auction;All these keywords.
JEL classification:
- D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:restud:v:84:y:2017:i:4:p:1606-1651.. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Oxford University Press (email available below). General contact details of provider: https://academic.oup.com/restud .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.