IDEAS home Printed from https://ideas.repec.org/r/chf/rpseri/rp1163.html
   My bibliography  Save this item

Crashes and High Frequency Trading

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2016. "Rock around the clock: An agent-based model of low- and high-frequency trading," Journal of Evolutionary Economics, Springer, vol. 26(1), pages 49-76, March.
  2. repec:hal:spmain:info:hdl:2441/f6h8764enu2lskk9p4oq9ig8k is not listed on IDEAS
  3. repec:spo:wpmain:info:hdl:2441/f6h8764enu2lskk9p4oq9ig8k is not listed on IDEAS
  4. STEFANOVA, Julia, 2018. "High-Speed Technology Trading Innovations And Capital Market Performance In Bulgaria," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 22(2), pages 6-37, June.
  5. Peter Lerner, 2015. "Patience vs. impatience of traders: Formation of the value-at-price distribution through competition for liquidity," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(03), pages 1-30.
  6. Gianluca Piero Maria Virgilio, 2019. "High-frequency trading: a literature review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(2), pages 183-208, June.
  7. Thomas H. McInish & Olena Nikolsko‐Rzhevska & Alex Nikolsko‐Rzhevskyy & Irina Panovska, 2020. "Fast and slow cancellations and trader behavior," Financial Management, Financial Management Association International, vol. 49(4), pages 973-996, December.
  8. Virgilio, Gianluca, 2017. "Is high-frequency trading tiering the financial markets?," Research in International Business and Finance, Elsevier, vol. 41(C), pages 158-171.
  9. Kempf, Alexander & Mayston, Daniel & Gehde-Trapp, Monika & Yadav, Pradeep K., 2015. "Resiliency: A dynamic view of liquidity," CFR Working Papers 15-04, University of Cologne, Centre for Financial Research (CFR).
  10. Gianluca Piero Maria Virgilio, 2020. "You Need Three Butterflies to Cause a Hurricane," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 67(1), pages 139-155, March.
  11. Floris Laly & Mikael Petitjean, 2020. "Mini flash crashes: Review, taxonomy and policy responses," Bulletin of Economic Research, Wiley Blackwell, vol. 72(3), pages 251-271, July.
  12. Didier Sornette & Peter Cauwels, 2014. "1980–2008: The Illusion of the Perpetual Money Machine and What It Bodes for the Future," Risks, MDPI, vol. 2(2), pages 1-29, April.
  13. Alexandru Mandes, 2020. "Impact of Electronic Liquidity Providers Within a High-Frequency Agent-Based Modeling Framework," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 407-450, February.
  14. Steffen, Viktoria, 2023. "A literature review on extreme price movements with reversal," Journal of Behavioral and Experimental Finance, Elsevier, vol. 38(C).
  15. Nikolsko-Rzhevska, Olena & Nikolsko-Rzhevskyy, Alex & Black, Jeffrey R., 2020. "The life of U’s: Order revisions on NASDAQ," Journal of Banking & Finance, Elsevier, vol. 111(C).
  16. Alfonso Puorro, 2013. "High frequency trading: an overview," Questioni di Economia e Finanza (Occasional Papers) 198, Bank of Italy, Economic Research and International Relations Area.
  17. Qixuan Luo & Shijia Song & Handong Li, 2023. "Research on the Effects of Liquidation Strategies in the Multi-asset Artificial Market," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1721-1750, December.
  18. AlShelahi, Abdullah & Saigal, Romesh, 2018. "Insights into the macroscopic behavior of equity markets: Theory and application," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 778-793.
  19. Blasco, Natividad & Corredor, Pilar & Ferreruela, Sandra, 2017. "Can agents sensitive to cultural, organizational and environmental issues avoid herding?," Finance Research Letters, Elsevier, vol. 22(C), pages 114-121.
  20. Christopher M Wray & Steven R Bishop, 2016. "A Financial Market Model Incorporating Herd Behaviour," PLOS ONE, Public Library of Science, vol. 11(3), pages 1-28, March.
  21. Gianluca P. M. Virgilio & Manuel Ernesto Paz López, 2024. "Revisiting noise—Fischer Black’s noise at the time of high-frequency trading," Risk Management, Palgrave Macmillan, vol. 26(4), pages 1-22, December.
  22. Meynhardt, Timo & von Müller, Camillo, 2013. "„Wir wollen Werte schaffen für die Gesellschaft“ – Der Public Value im Spannungsfeld zwischen Aktienwert und Gemeinwohl. Eine Fallstudie am Beispiel der Deutsche Börse AG," ZögU - Zeitschrift für öffentliche und gemeinwirtschaftliche Unternehmen, Nomos Verlagsgesellschaft mbH & Co. KG, vol. 36(2-3), pages 119-149.
  23. Capper, Timothy & Kuriakose, Jaise & Sharmina, Maria, 2024. "Facilitating domestic demand response in Britain’s electricity system," Utilities Policy, Elsevier, vol. 89(C).
  24. Alexandru Mandes, 2015. "Impact of inventory-based electronic liquidity providers within a high-frequency event- and agent-based modeling framework," MAGKS Papers on Economics 201515, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  25. Andrikopoulos, Panagiotis & Kallinterakis, Vasileios & Leite Ferreira, Mario Pedro & Verousis, Thanos, 2017. "Intraday herding on a cross-border exchange," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 25-36.
  26. Chu, Gang & Zhang, Yongjie & Zhang, Xiaotao, 2021. "An analysis of impact of cancellation activity on market quality: Evidence from China," Economic Modelling, Elsevier, vol. 102(C).
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.