Equilibrium fast trading
Author
Abstract
Suggested Citation
DOI: 10.1016/j.jfineco.2015.03.004
Download full text from publisher
To our knowledge, this item is not available for download. To find whether it is available, there are three options:1. Check below whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Other versions of this item:
- 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," HEC Research Papers Series 968, HEC Paris.
- 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," TSE Working Papers 13-387, Toulouse School of Economics (TSE), revised Sep 2014.
References listed on IDEAS
- Grossman, Sanford J & Stiglitz, Joseph E, 1980.
"On the Impossibility of Informationally Efficient Markets,"
American Economic Review, American Economic Association, vol. 70(3), pages 393-408, June.
- Sanford J Grossman & Joseph E Stiglitz, 1997. "On the Impossibility of Informationally Efficient Markets," Levine's Working Paper Archive 1908, David K. Levine.
- Albert J. Menkveld & Boyan Jovanovic, 2010. "Middlemen in Limit Order Markets," 2010 Meeting Papers 955, Society for Economic Dynamics.
- Baron, Matthew & Brogaard, Jonathan & Hagströmer, Björn & Kirilenko, Andrei, 2019.
"Risk and Return in High-Frequency Trading,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(3), pages 993-1024, June.
- Matthew Baron & Björn Hagströmer & Andrei Kirilenko, 2017. "Risk and Return in High-Frequency Trading," GRU Working Paper Series GRU_2017_018, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
- Glosten, Lawrence R. & Milgrom, Paul R., 1985.
"Bid, ask and transaction prices in a specialist market with heterogeneously informed traders,"
Journal of Financial Economics, Elsevier, vol. 14(1), pages 71-100, March.
- Lawrence R. Glosten & Paul R. Milgrom, 1983. "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders," Discussion Papers 570, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Darrell Duffie, 2012.
"Over-The-Counter Markets,"
Introductory Chapters, in: Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets,
Princeton University Press.
- Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2005. "Over-the-Counter Markets," Econometrica, Econometric Society, vol. 73(6), pages 1815-1847, November.
- Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2004. "Over-the-Counter Markets," NBER Working Papers 10816, National Bureau of Economic Research, Inc.
- Hirshleifer, Jack, 1971. "The Private and Social Value of Information and the Reward to Inventive Activity," American Economic Review, American Economic Association, vol. 61(4), pages 561-574, September.
- O'Hara, Maureen & Ye, Mao, 2011. "Is market fragmentation harming market quality?," Journal of Financial Economics, Elsevier, vol. 100(3), pages 459-474, June.
- Venky Venkateswaran & Luis Llosa, 2012.
"Efficiency With Endogenous Information Choice,"
2012 Meeting Papers
660, Society for Economic Dynamics.
- Luis Gonzalo Llosa & Venky Venkateswaran, 2015. "Efficiency with Endogenous Information Choice," Working Papers 44, Peruvian Economic Association.
- Luca Colombo & Gianluca Femminis & Alessandro Pavan, 2014.
"Information Acquisition and Welfare,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 81(4), pages 1438-1483.
- Luca Colombo & Gianluca Femminis & Alessandro Pavan, 2012. "Information Acquisition and Welfare," Discussion Papers 1554, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- 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.
- Haoxiang Zhu, 2014. "Do Dark Pools Harm Price Discovery?," The Review of Financial Studies, Society for Financial Studies, vol. 27(3), pages 747-789.
- Vincent Glode & Richard C. Green & Richard Lowery, 2012.
"Financial Expertise as an Arms Race,"
Journal of Finance, American Finance Association, vol. 67(5), pages 1723-1759, October.
- Glode, V. & Green, R.C. & Lowery, R., 2010. "Financial Expertise as an Arms Race," Discussion Paper 2010-87S, Tilburg University, Center for Economic Research.
- Glode, V. & Green, R.C. & Lowery, R., 2010. "Financial Expertise as an Arms Race," Other publications TiSEM 6316f2ea-660e-4b55-82fc-1, Tilburg University, School of Economics and Management.
- Mark Bagnoli & Ted Bergstrom, 2006.
"Log-concave probability and its applications,"
Studies in Economic Theory, in: Charalambos D. Aliprantis & Rosa L. Matzkin & Daniel L. McFadden & James C. Moore & Nicholas C. Yann (ed.), Rationality and Equilibrium, pages 217-241,
Springer.
- Mark Bagnoli & Ted Bergstrom, 2005. "Log-concave probability and its applications," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 26(2), pages 445-469, August.
- Bagnoli, M. & Bergstrom, T., 1989. "Log-Concave Probability And Its Applications," Papers 89-23, Michigan - Center for Research on Economic & Social Theory.
- Hendershott, Terrence & Riordan, Ryan, 2013. "Algorithmic Trading and the Market for Liquidity," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(4), pages 1001-1024, August.
- Glode, V. & Green, R.C. & Lowery, R., 2010. "Financial Expertise as an Arms Race," Other publications TiSEM 7f1ffc85-7ad2-4d99-82a2-b, Tilburg University, School of Economics and Management.
- Manzano, Carolina & Vives, Xavier, 2011.
"Public and private learning from prices, strategic substitutability and complementarity, and equilibrium multiplicity,"
Journal of Mathematical Economics, Elsevier, vol. 47(3), pages 346-369.
- Vives, Xavier & Manzano, Carolina, 2010. "Public and Private Learning from Prices, Strategic Substitutability and Complementarity, and Equilibrium Multiplicity," CEPR Discussion Papers 7949, C.E.P.R. Discussion Papers.
- Manzano, Carolina & Vives, Xavier, 2010. "Public and private learning from prices, strategic substitutability and complementarity, and equilibrium multiplicity," Working Papers 2072/151544, Universitat Rovira i Virgili, Department of Economics.
- Carolina Manzano & Xavier Vives, 2010. "Public and Private Learning from Prices, Strategic Substitutability and Complementarity, and Equilibrium Multiplicity," CESifo Working Paper Series 3137, CESifo.
- Manzano, Carolina & Vives, Xavier, 2010. "Public and private learning from prices, strategic substitutability and complementarity, and equilibrium multiplicity," IESE Research Papers D/874, IESE Business School.
- Jonathan Brogaard & Terrence Hendershott & Ryan Riordan, 2014.
"High-Frequency Trading and Price Discovery,"
The Review of Financial Studies, Society for Financial Studies, vol. 27(8), pages 2267-2306.
- Brogaard, Jonathan & Hendershott, Terrence & Riordan, Ryan, 2013. "High frequency trading and price discovery," Working Paper Series 1602, European Central Bank.
- Grossman, Sanford J, 1976. "On the Efficiency of Competitive Stock Markets Where Trades Have Diverse Information," Journal of Finance, American Finance Association, vol. 31(2), pages 573-585, May.
- Jayant Vivek Ganguli & Liyan Yang, 2009. "Complementarities, Multiplicity, and Supply Information," Journal of the European Economic Association, MIT Press, vol. 7(1), pages 90-115, March.
- Xiaojuan Hu & Cheng-Zhong Qin, 2013. "Information acquisition and welfare effect in a model of competitive financial markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 54(1), pages 199-210, September.
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.- Pavan, Alessandro & Vives, Xavier, 2015. "Information, Coordination, and Market Frictions: An Introduction," Journal of Economic Theory, Elsevier, vol. 158(PB), pages 407-426.
- Delaney, Laura, 2018. "Investment in high-frequency trading technology: A real options approach," European Journal of Operational Research, Elsevier, vol. 270(1), pages 375-385.
- Kondor, Péter & Zawadowski, Adam, 2019.
"Learning in crowded markets,"
Journal of Economic Theory, Elsevier, vol. 184(C).
- Kondor, Peter & Zawadowski, Adam, 2016. "Learning in crowded markets," LSE Research Online Documents on Economics 118972, London School of Economics and Political Science, LSE Library.
- Kondor, Peter & Zawadowski, Adam, 2019. "Learning in crowded markets," LSE Research Online Documents on Economics 101378, London School of Economics and Political Science, LSE Library.
- Adam Zawadowski & Peter Kondor, 2016. "Learning in Crowded Markets," 2016 Meeting Papers 338, Society for Economic Dynamics.
- Peter Kondor & Adam Zawadowski, 2018. "Learning in Crowded Markets," CEU Working Papers 2018_4, Department of Economics, Central European University.
- Veldkamp, Laura & Farboodi, Maryam, 2018. "Long Run Growth of Financial Data Technology," CEPR Discussion Papers 13278, C.E.P.R. Discussion Papers.
- Arnold, Lutz G. & Zelzner, Sebastian, 2022. "Financial trading versus entrepreneurship: Competition for talent and negative feedback effects," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 186-199.
- Delaney, L., 2016. "Equilibrium Investment in High Frequency Trading Technology: A Real Options Approach," Working Papers 15/14, Department of Economics, City University London.
- Maryam Farboodi & Laura Veldkamp, 2018. "Long Run Growth of Financial Data Technology," Working Papers 18-09, New York University, Leonard N. Stern School of Business, Department of Economics.
- Maryam Farboodi & Laura Veldkamp, 2017. "Long Run Growth of Financial Technology," NBER Working Papers 23457, National Bureau of Economic Research, Inc.
- Oliver Linton & Soheil Mahmoodzadeh, 2018.
"Implications of High-Frequency Trading for Security Markets,"
Annual Review of Economics, Annual Reviews, vol. 10(1), pages 237-259, August.
- Oliver Linton & Soheil Mahmoodzadeh, 2018. "Implications of high-frequency trading for security markets," CeMMAP working papers CWP06/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Linton, O. & Mahmoodzadeh, S., 2018. "Implications of High-Frequency Trading for Security Markets," Cambridge Working Papers in Economics 1802, Faculty of Economics, University of Cambridge.
- Vayanos, Dimitri & Wang, Jiang, 2013. "Market Liquidity—Theory and Empirical Evidence ," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1289-1361, Elsevier.
- Marco Di Maggio & Marco Pagano, 2018.
"Financial Disclosure and Market Transparency with Costly Information Processing [Bargaining with incomplete information],"
Review of Finance, European Finance Association, vol. 22(1), pages 117-153.
- Marco Di Maggio & Marco Pagano, 2012. "Financial Disclosure and Market Transparency with Costly Information Processing," EIEF Working Papers Series 1212, Einaudi Institute for Economics and Finance (EIEF), revised May 2014.
- Di Maggio, Marco & Pagano, Marco, 2014. "Financial disclosure and market transparency with costly information processing," CFS Working Paper Series 485, Center for Financial Studies (CFS).
- Pagano, Marco & Di Maggio, Marco, 2012. "Financial Disclosure and Market Transparency with Costly Information Processing," CEPR Discussion Papers 9207, C.E.P.R. Discussion Papers.
- Marco di Maggio & Marco Pagano, 2012. "Financial Disclosure and Market Transparency with Costly Information Processing," CSEF Working Papers 323, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 23 Jul 2016.
- Rahi, Rohit, 2021.
"Information acquisition with heterogeneous valuations,"
Journal of Economic Theory, Elsevier, vol. 191(C).
- Rahi, Rohit, 2021. "Information acquisition with heterogeneous valuations," LSE Research Online Documents on Economics 107152, London School of Economics and Political Science, LSE Library.
- Jonathan Brogaard & Jing Pan, 2022. "Dark Pool Trading and Information Acquisition," The Review of Financial Studies, Society for Financial Studies, vol. 35(5), pages 2625-2666.
- Duffie, Darrell & Malamud, Semyon & Manso, Gustavo, 2015. "Reprint of: Information percolation in segmented markets," Journal of Economic Theory, Elsevier, vol. 158(PB), pages 838-869.
- Nicholas Hirschey, 2021. "Do High-Frequency Traders Anticipate Buying and Selling Pressure?," Management Science, INFORMS, vol. 67(6), pages 3321-3345, June.
- Glode, Vincent & Opp, Christian C. & Zhang, Xingtan, 2018. "Voluntary disclosure in bilateral transactions," Journal of Economic Theory, Elsevier, vol. 175(C), pages 652-688.
- Asano, Koji, 2024.
"Ignorant experts and financial fragility,"
The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
- Asano, Koji, 2018. "Ignorant Experts and Financial Fragility," MPRA Paper 90830, University Library of Munich, Germany.
- Kendall, Chad, 2018. "The time cost of information in financial markets," Journal of Economic Theory, Elsevier, vol. 176(C), pages 118-157.
- Hatheway, Frank & Kwan, Amy & Zheng, Hui, 2017. "An Empirical Analysis of Market Segmentation on U.S. Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(6), pages 2399-2427, December.
- Sánchez Serrano Antonio, 2020. "High-Frequency Trading and Systemic Risk: A Structured Review of Findings and Policies," Review of Economics, De Gruyter, vol. 71(3), pages 169-195, December.
More about this item
Keywords
High-frequency trading; Externalities; Welfare;All these keywords.
JEL classification:
- D4 - Microeconomics - - Market Structure, Pricing, and Design
- D62 - Microeconomics - - Welfare Economics - - - Externalities
- G1 - Financial Economics - - General Financial Markets
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- L1 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance
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:hal:journl:halshs-01400252. 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: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.