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Low-latency trading

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Cited by:

  1. Cartea, Álvaro & Payne, Richard & Penalva, José & Tapia, Mikel, 2019. "Ultra-fast activity and intraday market quality," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 157-181.
  2. Huszár, Zsuzsa R. & Prado, Melissa Porras, 2019. "An analysis of over-the-counter and centralized stock lending markets," Journal of Financial Markets, Elsevier, vol. 43(C), pages 31-53.
  3. Michael J. Aitken & Angelo Aspris & Sean Foley & Frederick H. de B. Harris, 2018. "Market Fairness: The Poor Country Cousin of Market Efficiency," Journal of Business Ethics, Springer, vol. 147(1), pages 5-23, January.
  4. Massa, Massimo & von Beschwitz, Bastian & Keim, Donald B, 2015. "First to ?Read? the News: News Analytics and Institutional Trading," CEPR Discussion Papers 10534, C.E.P.R. Discussion Papers.
  5. Poutré, Cédric & Dionne, Georges & Yergeau, Gabriel, 2023. "International high-frequency arbitrage for cross-listed stocks," International Review of Financial Analysis, Elsevier, vol. 89(C).
  6. Li, Sida & Wang, Xin & Ye, Mao, 2021. "Who provides liquidity, and when?," Journal of Financial Economics, Elsevier, vol. 141(3), pages 968-980.
  7. Phiri, Andrew, 2017. "Threshold convergence between the federal fund rate and South African equity returns around the colocation period," Business and Economic Horizons (BEH), Prague Development Center (PRADEC), vol. 13(1).
  8. Tian, Xiao & Do, Binh & Duong, Huu Nhan & Kalev, Petko S., 2015. "Liquidity provision and informed trading by individual investors," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 143-162.
  9. Erik Vogt & Michael Fleming & Or Shachar & Tobias Adrian, 2017. "Market Liquidity After the Financial Crisis," Annual Review of Financial Economics, Annual Reviews, vol. 9(1), pages 43-83, November.
  10. Aldrich, Eric M. & Heckenbach, Indra & Laughlin, Gregory, 2016. "A compound duration model for high-frequency asset returns," Journal of Empirical Finance, Elsevier, vol. 39(PA), pages 105-128.
  11. Carrion, Allen, 2013. "Very fast money: High-frequency trading on the NASDAQ," Journal of Financial Markets, Elsevier, vol. 16(4), pages 680-711.
  12. Anderson, Nicola & Webber, Lewis & Noss, Joseph & Beale, Daniel & Crowley-Reidy, Liam, 2015. "Financial Stability Paper 34: The resilience of financial market liquidity," Bank of England Financial Stability Papers 34, Bank of England.
  13. Cziraki, Peter & Lyandres, Evgeny & Michaely, Roni, 2021. "What do insiders know? Evidence from insider trading around share repurchases and SEOs," Journal of Corporate Finance, Elsevier, vol. 66(C).
  14. Foley, Sean & Kwan, Amy & Philip, Richard & Ødegaard, Bernt Arne, 2022. "Contagious margin calls: How COVID-19 threatened global stock market liquidity," Journal of Financial Markets, Elsevier, vol. 59(PA).
  15. Gao, Cheng & Mizrach, Bruce, 2016. "Market quality breakdowns in equities," Journal of Financial Markets, Elsevier, vol. 28(C), pages 1-23.
  16. Ligot, Stephanie & Gillet, Roland & Veryzhenko, Iryna, 2021. "Intraday volatility smile: Effects of fragmentation and high frequency trading on price efficiency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
  17. Dionne, Georges & Zhou, Xiaozhou, 2016. "The Dynamics of Ex-ante High-Frequency Liquidity: An Empirical Analysis," Working Papers 15-5, HEC Montreal, Canada Research Chair in Risk Management.
  18. Elias Strehle, 2016. "Optimal Execution in a Multiplayer Model of Transient Price Impact," Papers 1609.00599, arXiv.org, revised Mar 2019.
  19. Kin‐Yip Ho & Wai‐Man Liu & Jing Yu, 2018. "Public News Arrival and Cross‐Asset Correlation Breakdown," International Review of Finance, International Review of Finance Ltd., vol. 18(3), pages 411-451, September.
  20. Mark Paddrik & Roy Hayes & William Scherer & Peter Beling, 2017. "Effects of limit order book information level on market stability metrics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(2), pages 221-247, July.
  21. O'Hara, Maureen & Alex Zhou, Xing, 2021. "The electronic evolution of corporate bond dealers," Journal of Financial Economics, Elsevier, vol. 140(2), pages 368-390.
  22. Liu, Wei, 2021. "Can HFT profit in Chinese stock market?," Economics Letters, Elsevier, vol. 209(C).
  23. Arumugam, Devika & Prasanna, P. Krishna & Marathe, Rahul R., 2023. "Do algorithmic traders exploit volatility?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
  24. Park, Seongkyu Gilbert & Ryu, Doojin, 2019. "Speed and trading behavior in an order-driven market," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 145-164.
  25. Hussain, Syed Mujahid & Ahmad, Nisar & Ahmed, Sheraz, 2023. "Applications of high-frequency data in finance: A bibliometric literature review," International Review of Financial Analysis, Elsevier, vol. 89(C).
  26. Banerjee, Anirban & Roy, Prince, 2023. "High-frequency traders’ evolving role as market makers," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
  27. Leal, Sandrine Jacob & Napoletano, Mauro, 2019. "Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 15-41.
  28. Bazzana, Flavio & Collini, Andrea, 2020. "How does HFT activity impact market volatility and the bid-ask spread after an exogenous shock? An empirical analysis on S&P 500 ETF," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  29. Rzayev, Khaladdin & Ibikunle, Gbenga & Steffen, Tom, 2023. "The market quality implications of speed in cross-platform trading: Evidence from Frankfurt-London microwave," Journal of Financial Markets, Elsevier, vol. 66(C).
  30. Adrian, Tobias & Capponi, Agostino & Fleming, Michael & Vogt, Erik & Zhang, Hongzhong, 2020. "Intraday market making with overnight inventory costs," Journal of Financial Markets, Elsevier, vol. 50(C).
  31. Ash Booth & Enrico Gerding & Frank McGroarty, 2015. "Performance-weighted ensembles of random forests for predicting price impact," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1823-1835, November.
  32. Adamantios Ntakaris & Martin Magris & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis, 2017. "Benchmark Dataset for Mid-Price Forecasting of Limit Order Book Data with Machine Learning Methods," Papers 1705.03233, arXiv.org, revised Mar 2020.
  33. Menkveld, Albert J., 2013. "High frequency trading and the new market makers," Journal of Financial Markets, Elsevier, vol. 16(4), pages 712-740.
  34. Ibikunle, Gbenga, 2018. "Trading places: Price leadership and the competition for order flow," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 178-200.
  35. Xu, Ke, 2023. "High frequency market making during stressed periods," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 379-397.
  36. Wang, Ming-Chang & Cheng, Lee-Young & Ko, Chien-Chuan & Chou, Pang-Ying, 2018. "Does public latency influence market quality? An analysis of pre-trade transparency at the Taiwan futures exchange," The Quarterly Review of Economics and Finance, Elsevier, vol. 70(C), pages 227-240.
  37. Lepone, Andrew & Wen, Jun & Yang, Jin Young, 2018. "Message traffic restrictions and relative pricing efficiency: Evidence from index futures contracts and exchange-traded funds," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 366-375.
  38. Ripamonti, Alexandre, 2016. "Corwin-Schultz bid-ask spread estimator in the Brazilian stock market," MPRA Paper 79459, University Library of Munich, Germany.
  39. Zheng, Jiayi & Zhu, Yushu, 2023. "Algorithmic trading and block ownership initiation: An information perspective," The British Accounting Review, Elsevier, vol. 55(4).
  40. Friederich, Sylvain & Payne, Richard, 2015. "Order-to-trade ratios and market liquidity," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 214-223.
  41. Frijns, Bart & Indriawan, Ivan & Tourani-Rad, Alireza, 2018. "The interactions between price discovery, liquidity and algorithmic trading for U.S.-Canadian cross-listed shares," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 136-152.
  42. Bizzozero, Paolo & Flepp, Raphael & Franck, Egon, 2018. "The effect of fast trading on price discovery and efficiency: Evidence from a betting exchange," Journal of Economic Behavior & Organization, Elsevier, vol. 156(C), pages 126-143.
  43. Kang, Jongho & Kang, Jangkoo & Kwon, Kyung Yoon, 2022. "Market versus limit orders of speculative high-frequency traders and price discovery," Research in International Business and Finance, Elsevier, vol. 63(C).
  44. Mahmoodzadeh, Soheil & Gençay, Ramazan, 2017. "Human vs. high-frequency traders, penny jumping, and tick size," Journal of Banking & Finance, Elsevier, vol. 85(C), pages 69-82.
  45. Scholtus, Martin & van Dijk, Dick & Frijns, Bart, 2014. "Speed, algorithmic trading, and market quality around macroeconomic news announcements," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 89-105.
  46. Viktor Manahov & Robert Hudson, 2014. "The implications of high-frequency trading on market efficiency and price discovery," Applied Economics Letters, Taylor & Francis Journals, vol. 21(16), pages 1148-1151, November.
  47. Taiga Saito & Takanori Adachi & Teruo Nakatsuma & Akihiko Takahashi & Hiroshi Tsuda & Naoyuki Yoshino, 2018. "Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment: Empirical Study in the Japanese Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 25(3), pages 179-220, September.
  48. Brolley, Michael & Malinova, Katya, 2021. "Informed liquidity provision in a limit order market," Journal of Financial Markets, Elsevier, vol. 52(C).
  49. Moriyasu, Hiroshi & Wee, Marvin & Yu, Jing, 2018. "The role of algorithmic trading in stock liquidity and commonality in electronic limit order markets," Pacific-Basin Finance Journal, Elsevier, vol. 49(C), pages 103-128.
  50. Bada, O. & Kneip, A. & Liebl, D. & Mensinger, T. & Gualtieri, J. & Sickles, R.C., 2022. "A wavelet method for panel models with jump discontinuities in the parameters," Journal of Econometrics, Elsevier, vol. 226(2), pages 399-422.
  51. Gerig, Austin & Michayluk, David, 2017. "Automated liquidity provision," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 1-13.
  52. Breedon, Francis & Chen, Louisa & Ranaldo, Angelo & Vause, Nicholas, 2023. "Judgment day: Algorithmic trading around the Swiss franc cap removal," Journal of International Economics, Elsevier, vol. 140(C).
  53. Kupfer, Alexander & Schmidt, Markus G., 2021. "In search of retail investors: The effect of retail investor attention on odd lot trades," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 315-326.
  54. Olgun, Onur & Ekinci, Cumhur & Arıkan, Ramazan, 2024. "The performance of selected high-frequency trading proxies: An application on Turkish index futures market," Finance Research Letters, Elsevier, vol. 65(C).
  55. Ben Ammar, Imen & Hellara, Slaheddine, 2022. "High-frequency trading, stock volatility, and intraday crashes," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 337-344.
  56. Fricke, Daniel & Gerig, Austin, 2014. "Liquidity Risk, Speculative Trade, and the Optimal Latency of Financial Markets," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100402, Verein für Socialpolitik / German Economic Association.
  57. Brogaard, Jonathan & Garriott, Corey, 2019. "High-Frequency Trading Competition," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(4), pages 1469-1497, August.
  58. Saggese, Pietro & Belmonte, Alessandro & Dimitri, Nicola & Facchini, Angelo & Böhme, Rainer, 2023. "Arbitrageurs in the Bitcoin ecosystem: Evidence from user-level trading patterns in the Mt. Gox exchange platform," Journal of Economic Behavior & Organization, Elsevier, vol. 213(C), pages 251-270.
  59. Aggarwal, Nidhi & Panchapagesan, Venkatesh & Thomas, Susan, 2023. "When is the order-to-trade ratio fee effective?," Journal of Financial Markets, Elsevier, vol. 62(C).
  60. Henryk Gurgul & Robert Syrek, 2016. "The logarithmic ACD model: The microstructure of the German and Polish stock markets," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 17(1), pages 77-92.
  61. Zhang, Chris H. & Kalev, Petko S., 2021. "How noise trading affects informational efficiency: Evidence from an order-driven market," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
  62. Anagnostidis, Panagiotis & Fontaine, Patrice & Varsakelis, Christos, 2020. "Are high–frequency traders informed?," Economic Modelling, Elsevier, vol. 93(C), pages 365-383.
  63. Brogaard, Jonathan & Carrion, Allen & Moyaert, Thibaut & Riordan, Ryan & Shkilko, Andriy & Sokolov, Konstantin, 2018. "High frequency trading and extreme price movements," Journal of Financial Economics, Elsevier, vol. 128(2), pages 253-265.
  64. Antoine Bouveret & Mr. Peter Breuer & Ms. Yingyuan Chen & David Jones & Tsuyoshi Sasaki, 2015. "Fragilities in the U.S. Treasury Market: Lessons from the “Flash Rally” of October 15, 2014," IMF Working Papers 2015/222, International Monetary Fund.
  65. Bank, Matthias & Baumann, Ralf H., 2016. "Price formation, market quality and the effects of reduced latency in the very short run," Research in International Business and Finance, Elsevier, vol. 37(C), pages 629-645.
  66. Santos, Francisco Luna & Garcia, Márcio Gomes Pinto & Medeiros, Marcelo Cunha, 2015. "Price Discovery in Brazilian FX Markets," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 35(1), October.
  67. Peter Gomber & Satchit Sagade & Erik Theissen & Moritz Christian Weber & Christian Westheide, 2017. "Competition Between Equity Markets: A Review Of The Consolidation Versus Fragmentation Debate," Journal of Economic Surveys, Wiley Blackwell, vol. 31(3), pages 792-814, July.
  68. Cox, Justin & Woods, Donovan, 2023. "COVID-19 and market structure dynamics," Journal of Banking & Finance, Elsevier, vol. 147(C).
  69. Armstrong, Will J. & Cardella, Laura & Sabah, Nasim, 2021. "Information shocks, disagreement, and drift," Journal of Financial Economics, Elsevier, vol. 140(3), pages 916-940.
  70. Tian, Xiao & Duong, Huu Nhan & Kalev, Petko S., 2019. "Information content of the limit order book for crude oil futures price volatility," Energy Economics, Elsevier, vol. 81(C), pages 584-597.
  71. Otsubo, Yoichi, 2014. "International cross-listing and price discovery under trading concentration in the domestic market: Evidence from Japanese shares," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 36-51.
  72. Zhou, Hao & Elliott, Robert J. & Kalev, Petko S., 2019. "Information or noise: What does algorithmic trading incorporate into the stock prices?," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 27-39.
  73. Amaya, Diego & Filbien, Jean-Yves & Okou, Cédric & Roch, Alexandre F., 2018. "Distilling liquidity costs from limit order books," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 16-34.
  74. Zhang, Zeyu & Ibikunle, Gbenga, 2023. "The market quality effects of sub-second frequent batch auctions: Evidence from dark trading restrictions," International Review of Financial Analysis, Elsevier, vol. 89(C).
  75. Ekinci, Cumhur & Ersan, Oguz, 2018. "A new approach for detecting high-frequency trading from order and trade data," Finance Research Letters, Elsevier, vol. 24(C), pages 313-320.
  76. Virgilio, Gianluca Piero Maria, 2020. "When spread bites fast – Volatility and wide bid-ask spread in a mixed high-frequency and low-frequency environment," Research in International Business and Finance, Elsevier, vol. 51(C).
  77. Ben Ammar, Imen & Hellara, Slaheddine, 2021. "Intraday interactions between high-frequency trading and price efficiency," Finance Research Letters, Elsevier, vol. 41(C).
  78. Le, Anh Tu & Le, Thai-Ha & Liu, Wai-Man & Fong, Kingsley Y., 2020. "Multiple duration analyses of dynamic limit order placement strategies and aggressiveness in a low-latency market environment," International Review of Financial Analysis, Elsevier, vol. 72(C).
  79. 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).
  80. Juan Eberhard & Jaime F. Lavín & Alejandro Montecinos-Pearce & José Arenas, 2019. "Analyzing Stock Brokers’ Trading Patterns: A Network Decomposition and Spatial Econometrics Approach," Complexity, Hindawi, vol. 2019, pages 1-18, July.
  81. Benjamin Myers & Austin Gerig, 2013. "Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets," Papers 1311.4160, arXiv.org.
  82. Wang, Qin & Zhang, Jun, 2015. "Does individual investor trading impact firm valuation?," Journal of Corporate Finance, Elsevier, vol. 35(C), pages 120-135.
  83. Frino, Alex & Mollica, Vito & Webb, Robert I. & Zhang, Shunquan, 2017. "The impact of latency sensitive trading on high frequency arbitrage opportunities," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 91-102.
  84. Mestel, Roland & Murg, Michael & Theissen, Erik, 2018. "Algorithmic trading and liquidity: Long term evidence from Austria," Finance Research Letters, Elsevier, vol. 26(C), pages 198-203.
  85. Dodd, Olga & Frijns, Bart & Indriawan, Ivan & Pascual, Roberto, 2023. "US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 301-320.
  86. Arumugam, Devika, 2023. "Algorithmic trading: Intraday profitability and trading behavior," Economic Modelling, Elsevier, vol. 128(C).
  87. Upson, James & Van Ness, Robert A., 2017. "Multiple markets, algorithmic trading, and market liquidity," Journal of Financial Markets, Elsevier, vol. 32(C), pages 49-68.
  88. Jurich, Stephen N. & Mishra, Ajay Kumar & Parikh, Bhavik, 2020. "Indecisive algos: Do limit order revisions increase market load?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 28(C).
  89. Aitken, Michael & Chen, Haoming & Foley, Sean, 2017. "The impact of fragmentation, exchange fees and liquidity provision on market quality," Journal of Empirical Finance, Elsevier, vol. 41(C), pages 140-160.
  90. Efstathios Panayi & Gareth Peters, 2015. "Stochastic simulation framework for the Limit Order Book using liquidity motivated agents," Papers 1501.02447, arXiv.org, revised Jan 2015.
  91. Roşu, Ioanid, 2019. "Fast and slow informed trading," Journal of Financial Markets, Elsevier, vol. 43(C), pages 1-30.
  92. Kemme, David M. & McInish, Thomas H. & Zhang, Jiang, 2022. "Market fairness and efficiency: Evidence from the Tokyo Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 134(C).
  93. Wu, Ming & Ohk, Ki Yool, 2023. "Who benefits more? Shanghai-Hong Kong stock Connect—“Through Train”," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 409-427.
  94. 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).
  95. Comerton-Forde, Carole & Putniņš, Tālis J., 2015. "Dark trading and price discovery," Journal of Financial Economics, Elsevier, vol. 118(1), pages 70-92.
  96. Craig W. Holden & Stacey Jacobsen & Avanidhar Subrahmanyam, 2014. "The Empirical Analysis of Liquidity," Foundations and Trends(R) in Finance, now publishers, vol. 8(4), pages 263-365, December.
  97. Anand, Amber & Venkataraman, Kumar, 2016. "Market conditions, fragility, and the economics of market making," Journal of Financial Economics, Elsevier, vol. 121(2), pages 327-349.
  98. Van Vliet, Ben, 2017. "Capability satisficing in high frequency trading," Research in International Business and Finance, Elsevier, vol. 42(C), pages 509-521.
  99. Nawn, Samarpan & Banerjee, Ashok, 2019. "Do the limit orders of proprietary and agency algorithmic traders discover or obscure security prices?," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 109-125.
  100. Murray, Hamish & Pham, Thu Phuong & Singh, Harminder, 2016. "Latency reduction and market quality: The case of the Australian Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 257-265.
  101. Degryse, Hans & Karagiannis, Nikolaos & Tombeur, Geoffrey & Wuyts, Gunther, 2021. "Two shades of opacity: Hidden orders and dark trading," Journal of Financial Intermediation, Elsevier, vol. 47(C).
  102. Virgilio, Gianluca, 2017. "Is high-frequency trading tiering the financial markets?," Research in International Business and Finance, Elsevier, vol. 41(C), pages 158-171.
  103. 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.
  104. Ben Ammar, Imen & Hellara, Slaheddine & Ghadhab, Imen, 2020. "High-frequency trading and stock liquidity: An intraday analysis," Research in International Business and Finance, Elsevier, vol. 53(C).
  105. O’Hara, Maureen, 2015. "High frequency market microstructure," Journal of Financial Economics, Elsevier, vol. 116(2), pages 257-270.
  106. Chakrabarty, Bidisha & Pascual, Roberto & Shkilko, Andriy, 2015. "Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm," Journal of Financial Markets, Elsevier, vol. 25(C), pages 52-79.
  107. Hagströmer, Björn & Nordén, Lars, 2013. "The diversity of high-frequency traders," Journal of Financial Markets, Elsevier, vol. 16(4), pages 741-770.
  108. Chung, Kee H. & Lee, Albert J. & Rösch, Dominik, 2020. "Tick size, liquidity for small and large orders, and price informativeness: Evidence from the Tick Size Pilot Program," Journal of Financial Economics, Elsevier, vol. 136(3), pages 879-899.
  109. Vitale, Paolo, 2018. "Robust trading for ambiguity-averse insiders," Journal of Banking & Finance, Elsevier, vol. 90(C), pages 113-130.
  110. Hoffmann, Peter, 2014. "A dynamic limit order market with fast and slow traders," Journal of Financial Economics, Elsevier, vol. 113(1), pages 156-169.
  111. 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.
  112. Chordia, Tarun & Miao, Bin, 2020. "Market efficiency in real time: Evidence from low latency activity around earnings announcements," Journal of Accounting and Economics, Elsevier, vol. 70(2).
  113. 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).
  114. Bogoev, Dimitar & Karam, Arzé, 2017. "Detection of algorithmic trading," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 484(C), pages 168-181.
  115. Karkowska, Renata & Palczewski, Andrzej, 2023. "Does high-frequency trading actually improve market liquidity? A comparative study for selected models and measures," Research in International Business and Finance, Elsevier, vol. 64(C).
  116. Li, Zhicheng & Chen, Xinyun & Xing, Haipeng, 2023. "A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market," Economic Modelling, Elsevier, vol. 118(C).
  117. Monaco, Eleonora & Ibikunle, Gbenga & Palumbo, Riccardo & Zhang, Zeyu, 2022. "The liquidity and trading activity effects of acquisition payment methods: Evidence from the announcements of private firms' acquisitions," International Review of Financial Analysis, Elsevier, vol. 82(C).
  118. Buti, Sabrina & Consonni, Francesco & Rindi, Barbara & Werner, Ingrid M., 2013. "Sub-Penny and Queue-Jumping," Working Paper Series 2013-18, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  119. Ramos, Henrique Pinto & Perlin, Marcelo Scherer, 2020. "Does algorithmic trading harm liquidity? Evidence from Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  120. Kou, Mingting & Yang, Yuanqi & Chen, Kaihua, 2024. "Financial technology research: Past and future trajectories," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 162-181.
  121. Rif, Alexandru & Utz, Sebastian, 2021. "Short-term stock price reversals after extreme downward price movements," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 123-133.
  122. Economou, Fotini & Gavriilidis, Konstantinos & Goyal, Abhinav & Kallinterakis, Vasileios, 2015. "Herding dynamics in exchange groups: Evidence from Euronext," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 228-244.
  123. Hautsch, Nikolaus & Noé, Michael & Zhang, S. Sarah, 2017. "The ambivalent role of high-frequency trading in turbulent market periods," CFS Working Paper Series 580, Center for Financial Studies (CFS).
  124. Markus Baldauf & Joshua Mollner, 2015. "High-Frequency Trading and Market Performance," Discussion Papers 15-017, Stanford Institute for Economic Policy Research.
  125. Ibikunle, Gbenga & Rzayev, Khaladdin, 2023. "Volatility and dark trading: Evidence from the Covid-19 pandemic," The British Accounting Review, Elsevier, vol. 55(4).
  126. Zhou, Hao & Kalev, Petko S. & Frino, Alex, 2020. "Algorithmic trading in turbulent markets," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
  127. Yılmaz, Mustafa Kemal & Erdem, Orhan & Eraslan, Veysel & Arık, Evren, 2015. "Technology upgrades in emerging equity markets: Effects on liquidity and trading activity," Finance Research Letters, Elsevier, vol. 14(C), pages 87-92.
  128. Ersan, Oguz & Simsir, Serif Aziz & Simsek, Koray D. & Hasan, Afan, 2021. "The speed of stock price adjustment to corporate announcements: Insights from Turkey," Emerging Markets Review, Elsevier, vol. 47(C).
  129. Jain, Pankaj K. & Jain, Pawan & McInish, Thomas H., 2016. "Does high-frequency trading increase systemic risk?," Journal of Financial Markets, Elsevier, vol. 31(C), pages 1-24.
  130. Bill Hu & Joon Ho Hwang & Christine Jiang, 2014. "The Impact of Earnings Guidance Cessation on Information Asymmetry," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 41(1-2), pages 73-99, January.
  131. Aït-Sahalia, Yacine & Brunetti, Celso, 2020. "High frequency traders and the price process," Journal of Econometrics, Elsevier, vol. 217(1), pages 20-45.
  132. 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).
  133. Syamala, Sudhakara Reddy & Wadhwa, Kavita, 2020. "Trading performance and market efficiency: Evidence from algorithmic trading," Research in International Business and Finance, Elsevier, vol. 54(C).
  134. Ibikunle, Gbenga & Aquilina, Matteo & Diaz-Rainey, Ivan & Sun, Yuxin, 2021. "City goes dark: Dark trading and adverse selection in aggregate markets," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 1-22.
  135. Arumugam, Devika & Krishna Prasanna, P., 2021. "Commonality and contrarian trading among algorithmic traders," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
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  137. Manahov, Viktor & Hudson, Robert & Gebka, Bartosz, 2014. "Does high frequency trading affect technical analysis and market efficiency? And if so, how?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 131-157.
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