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High‐Frequency Trading and Market Performance
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Cited by:
- Haeringer, Guillaume & Melton, Hayden, 2020. "High Frequency Fairness," MPRA Paper 103907, University Library of Munich, Germany.
- Ye, Mao & Zheng, Miles Y. & Zhu, Wei, 2023. "The effect of tick size on managerial learning from stock prices," Journal of Accounting and Economics, Elsevier, vol. 75(1).
- Ziyi Xu & Xue Cheng, 2023. "The Effects of High-frequency Anticipatory Trading: Small Informed Trader vs. Round-Tripper," Papers 2304.13985, arXiv.org, revised Feb 2024.
- Ao, Han & Li, Munan, 2024. "Exploiting the potential of a directional changes-based trading algorithm in the stock market," Finance Research Letters, Elsevier, vol. 60(C).
- Liu, Wei, 2021. "Can HFT profit in Chinese stock market?," Economics Letters, Elsevier, vol. 209(C).
- Haas, Marlene & Khapko, Mariana & Zoican, Marius, 2021. "Speed and learning in high-frequency auctions," Journal of Financial Markets, Elsevier, vol. 54(C).
- Jasmin Gider & Simon N. M. Schmickler & Christian Westheide, 2021. "High-Frequency Trading and Price Informativeness," CRC TR 224 Discussion Paper Series crctr224_2021_257, University of Bonn and University of Mannheim, Germany.
- Chih-Chen Hsu & Chung-Gee Lin & Tsung-Jung Kuo, 2020. "Pricing of Arithmetic Asian Options under Stochastic Volatility Dynamics: Overcoming the Risks of High-Frequency Trading," Mathematics, MDPI, vol. 8(12), pages 1-16, December.
- Aquilina, Matteo & Foley, Sean & O'Neill, Peter & Ruf, Thomas, 2024. "Sharks in the dark: Quantifying HFT dark pool latency arbitrage," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
- Nicholas Hirschey, 2021. "Do High-Frequency Traders Anticipate Buying and Selling Pressure?," Management Science, INFORMS, vol. 67(6), pages 3321-3345, June.
- Ge, Hengshun & Yang, Haijun & Doukas, John A., 2024. "The optimal strategies of competitive high-frequency traders and effects on market liquidity," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 653-679.
- Corey Garriot & Ryan Riordan, 2020. "Trading on Long-term Information," Staff Working Papers 20-20, Bank of Canada.
- Mark Marner-Hausen, 2022. "Developing a Framework for Real-Time Trading in a Laboratory Financial Market," ECONtribute Discussion Papers Series 172, University of Bonn and University of Cologne, Germany.
- Li, Sida & Ye, Mao & Zheng, Miles, 2023. "Refusing the best price?," Journal of Financial Economics, Elsevier, vol. 147(2), pages 317-337.
- Chuliá, Helena & Mosquera-López, Stephania & Uribe, Jorge M., 2023. "Nonlinear market liquidity: An empirical examination," International Review of Financial Analysis, Elsevier, vol. 87(C).
- Chung, Kiseo & Kim, Seoyoung, 2024. "Technological disparity and its impact on market quality," Journal of Empirical Finance, Elsevier, vol. 75(C).
- Baldauf, Markus & Mollner, Joshua, 2022. "Fast traders make a quick buck: The role of speed in liquidity provision," Journal of Financial Markets, Elsevier, vol. 58(C).
- Matteo Aquilina & Sean Foley & Peter O'Neill & Matteo Thomas Ruf, 2023. "Sharks in the dark: quantifying HFT dark pool latency arbitrage," BIS Working Papers 1115, Bank for International Settlements.
- Suchismita Mishra & Le Zhao, 2021. "Order Routing Decisions for a Fragmented Market: A Review," JRFM, MDPI, vol. 14(11), pages 1-32, November.
- Ziyi Xu & Xue Cheng, 2024. "Trading Large Orders in the Presence of Multiple High-Frequency Anticipatory Traders," Papers 2403.08202, arXiv.org.
- Khapko, Mariana & Zoican, Marius, 2021. "Do speed bumps curb low-latency investment? Evidence from a laboratory market," Journal of Financial Markets, Elsevier, vol. 55(C).
- Eric M. Aldrich & Daniel Friedman, 2023.
"Order Protection Through Delayed Messaging,"
Management Science, INFORMS, vol. 69(2), pages 774-790, February.
- Aldrich, Eric M. & Friedman, Daniel, 2017. "Order protection through delayed messaging," Discussion Papers, Research Professorship Market Design: Theory and Pragmatics SP II 2017-502, WZB Berlin Social Science Center.
- Aldrich, Eric M & Friedman, Daniel, 2019. "Order Protection through Delayed Messaging," Santa Cruz Department of Economics, Working Paper Series qt4938f518, Department of Economics, UC Santa Cruz.
- Sagade, Satchit & Scharnowski, Stefan & Westheide, Christian, 2022. "Broker colocation and the execution costs of customer and proprietary orders," SAFE Working Paper Series 366, Leibniz Institute for Financial Research SAFE.
- Michael Goldstein & Amy Kwan & Richard Philip, 2023. "High-Frequency Trading Strategies," Management Science, INFORMS, vol. 69(8), pages 4413-4434, August.
- Ziyi Xu & Xue Cheng, 2022. "Are Large Traders Harmed by Front-running HFTs?," Papers 2211.06046, arXiv.org, revised Jul 2023.
- Ekinci, Cumhur & Ersan, Oğuz, 2022. "High-frequency trading and market quality: The case of a “slightly exposed” market," International Review of Financial Analysis, Elsevier, vol. 79(C).
- Aquilina, Matteo & Budish, Eric B. & O'Neill, Peter, 2020. "Quantifying the High-Frequency Trading "Arms Race": A Simple New Methodology and Estimates," Working Papers 300, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
- Eibelshäuser, Steffen & Smetak, Fabian, 2022. "Frequent batch auctions and informed trading," SAFE Working Paper Series 344, Leibniz Institute for Financial Research SAFE.