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Editor's Choice The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response

Citations

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  1. Treasury Round II: The Capital Markets Report
    by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2017-10-23 17:04:21

Citations

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Cited by:

  1. Collins, Sean M. & James, Duncan & Servátka, Maroš & Vadovič, Radovan, 2021. "Attainment of equilibrium via Marshallian path adjustment: Queueing and buyer determinism," Games and Economic Behavior, Elsevier, vol. 125(C), pages 94-106.
  2. Kharma, Céline & Eugster, Nicolas, 2021. "Is competition beneficial? The case of exchange traded funds," International Review of Financial Analysis, Elsevier, vol. 76(C).
  3. Andrea Attar & Thomas Mariotti & François Salanié, 2021. "Entry-Proofness and Discriminatory Pricing under Adverse Selection," American Economic Review, American Economic Association, vol. 111(8), pages 2623-2659, August.
  4. Gunther Capelle-Blancard, 2018. "What is the Point of (the Hundreds of Thousands of Billions of) Stock Transactions?," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 60(1), pages 15-33, March.
  5. Vasilios Mavroudis, 2019. "Market Manipulation as a Security Problem," Papers 1903.12458, arXiv.org.
  6. Danilo Liuzzi & Paolo Pellizzari & Marco Tolotti, 2019. "Fast traders and slow price adjustments: an artificial market with strategic interaction and transaction costs," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(3), pages 643-662, September.
  7. Makarov, Igor & Schoar, Antoinette, 2018. "Trading and Arbitrage in Cryptocurrency Markets," LSE Research Online Documents on Economics 118909, London School of Economics and Political Science, LSE Library.
  8. Banerji, Sanjay & Fang, Dawei, 2021. "Money as a weapon: Financing a winner-take-all competition," Journal of Corporate Finance, Elsevier, vol. 66(C).
  9. Li, Sida & Wang, Xin & Ye, Mao, 2021. "Who provides liquidity, and when?," Journal of Financial Economics, Elsevier, vol. 141(3), pages 968-980.
  10. 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.
  11. Kondor, Péter & Zawadowski, Adam, 2019. "Learning in crowded markets," Journal of Economic Theory, Elsevier, vol. 184(C).
  12. Ross Anderson & Itai Ashlagi & David Gamarnik & Yash Kanoria, 2017. "Efficient Dynamic Barter Exchange," Operations Research, INFORMS, vol. 65(6), pages 1446-1459, December.
  13. Jason Allen & Milena Wittwer, 2023. "Centralizing Over-the-Counter Markets?," Journal of Political Economy, University of Chicago Press, vol. 131(12), pages 3310-3351.
  14. Cespa, Giovanni & Vives, Xavier, 2017. "High frequency trading and fragility," Working Paper Series 2020, European Central Bank.
  15. Scott Duke Kominers & Alexander Teytelboym & Vincent P Crawford, 2017. "An invitation to market design," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 33(4), pages 541-571.
  16. Jeanne Hagenbach & Dorothea Kübler, 2021. "Allocation des rendez-vous en ligne : un mécanisme pour décourager le trafic," Institut des Politiques Publiques halshs-03247287, HAL.
  17. Makarov, Igor & Schoar, Antoinette, 2020. "Trading and arbitrage in cryptocurrency markets," LSE Research Online Documents on Economics 100409, London School of Economics and Political Science, LSE Library.
  18. Brolley, Michael & Cimon, David A., 2020. "Order-Flow Segmentation, Liquidity, and Price Discovery: The Role of Latency Delays," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(8), pages 2555-2587, December.
  19. Bellia, Mario & Christensen, Kim & Kolokolov, Aleksey & Pelizzon, Loriana & Renò, Roberto, 2022. "Do designated market makers provide liquidity during a flash crash?," SAFE Working Paper Series 270, Leibniz Institute for Financial Research SAFE, revised 2022.
  20. 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.
  21. Bellia, Mario & Pelizzon, Loriana & Subrahmanyam, Marti & Uno, Jun & Yuferova, Darya, 2017. "Coming early to the party," SAFE Working Paper Series 182, Leibniz Institute for Financial Research SAFE.
    • Mario Bellia & Loriana Pelizzon & Marti G. Subrahmanyam & Jun Uno & Darya Yuferova, 2020. "Coming early to the party," Working Papers 2020:11, Department of Economics, University of Venice "Ca' Foscari".
  22. Haynes, Richard & Onur, Esen, 2020. "Precedence rules in matching algorithms," Journal of Commodity Markets, Elsevier, vol. 19(C).
  23. Markus Baldauf & Joshua Mollner, 2015. "Trading in Fragmented Markets," Discussion Papers 15-018, Stanford Institute for Economic Policy Research.
  24. Gil Hersch, 2023. "Procedural Fairness in Exchange Matching Systems," Journal of Business Ethics, Springer, vol. 188(2), pages 367-377, November.
  25. 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.
  26. 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).
  27. Brian F Tivnan & David Rushing Dewhurst & Colin M Van Oort & John H Ring IV & Tyler J Gray & Brendan F Tivnan & Matthew T K Koehler & Matthew T McMahon & David M Slater & Jason G Veneman & Christopher, 2020. "Fragmentation and inefficiencies in US equity markets: Evidence from the Dow 30," PLOS ONE, Public Library of Science, vol. 15(1), pages 1-24, January.
  28. 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.
  29. Robert Garrison & Pankaj Jain & Mark Paddrik, 2019. "Cross-Asset Market Order Flow, Liquidity, and Price Discovery," Working Papers 19-04, Office of Financial Research, US Department of the Treasury.
  30. Eduard Hartwich & Alexander Rieger & Johannes Sedlmeir & Dominik Jurek & Gilbert Fridgen, 2023. "Machine economies," Electronic Markets, Springer;IIM University of St. Gallen, vol. 33(1), pages 1-13, December.
  31. Mohammed Salek & Damien Challet & Ioane Muni Toke, 2023. "Price impact in equity auctions: zero, then linear," Working Papers hal-03938660, HAL.
  32. Barardehi, Yashar H. & Bernhardt, Dan & Ruchti, Thomas G., 2019. "A test of speculative arbitrage: is the cross-section of volatility invariant?," The Warwick Economics Research Paper Series (TWERPS) 1204, University of Warwick, Department of Economics.
  33. 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.
  34. Mila Getmansky & Ravi Jagannathan & Loriana Pelizzon & Ernst Schaumburg & Darya Yuferova, 2017. "Stock Price Crashes: Role of Slow-Moving Capital," NBER Working Papers 24098, National Bureau of Economic Research, Inc.
  35. Viktor Manahov, 2018. "The rise of the machines in commodities markets: new evidence obtained using Strongly Typed Genetic Programming," Annals of Operations Research, Springer, vol. 260(1), pages 321-352, January.
  36. Roberto Riccò & Barbara Rindi & Duane J. Seppi, 2020. "Information, Liquidity, and Dynamic Limit Order Markets," Working Papers 660, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  37. Johann, Thomas & Putnins, Talis & Sagade, Satchit & Westheide, Christian, 2019. "Quasi-dark trading: The effects of banning dark pools in a world of many alternatives," SAFE Working Paper Series 253, Leibniz Institute for Financial Research SAFE.
  38. 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).
  39. Panayotis Mertikopoulos & Heinrich H. Nax & Bary S. R. Pradelski, 2019. "Quick or cheap? Breaking points in dynamic markets," ECON - Working Papers 338, Department of Economics - University of Zurich.
  40. Hu, Grace Xing & Pan, Jun & Wang, Jiang, 2017. "Early peek advantage? Efficient price discovery with tiered information disclosure," Journal of Financial Economics, Elsevier, vol. 126(2), pages 399-421.
  41. Gerig, Austin & Michayluk, David, 2017. "Automated liquidity provision," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 1-13.
  42. Giovanni Cespa & Xavier Vives, 2022. "Exchange Competition, Entry, and Welfare," The Review of Financial Studies, Society for Financial Studies, vol. 35(5), pages 2570-2624.
  43. Nicholas Hirschey, 2021. "Do High-Frequency Traders Anticipate Buying and Selling Pressure?," Management Science, INFORMS, vol. 67(6), pages 3321-3345, June.
  44. Roberto Riccó & Barbara Rindi & Duane J. Seppi, 2021. "Optimal Market Asset Pricing," Working Papers 675, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  45. 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.
  46. Dubey, Ritesh Kumar & Chauhan, Yogesh & Syamala, Sudhakara Reddy, 2017. "Evidence of algorithmic trading from Indian equity market: Interpreting the transaction velocity element of financialization," Research in International Business and Finance, Elsevier, vol. 42(C), pages 31-38.
  47. Somayeh Kokabisaghi & Eric J Pauwels & Andre B Dorsman, 2019. "To snipe or not to snipe, that is the question! Transitions in sniping behaviour among competing algorithmic traders," Papers 1912.04012, arXiv.org, revised Sep 2020.
  48. Aggarwal, Nidhi & Panchapagesan, Venkatesh & Thomas, Susan, 2023. "When is the order-to-trade ratio fee effective?," Journal of Financial Markets, Elsevier, vol. 62(C).
  49. Thierry Foucault & Roman Kozhan & Wing Wah Tham, 2017. "Toxic Arbitrage," The Review of Financial Studies, Society for Financial Studies, vol. 30(4), pages 1053-1094.
  50. 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.
  51. Aldrich, Eric M. & Demirci, Hasan Ali & López Vargas, Kristian, 2020. "An oTree-based flexible architecture for financial market experiments," Journal of Behavioral and Experimental Finance, Elsevier, vol. 25(C).
  52. Daniel Chen & Darrell Duffie, 2021. "Market Fragmentation," American Economic Review, American Economic Association, vol. 111(7), pages 2247-2274, July.
  53. Tobias Brünner & René Levínský, 2023. "Price discovery and gains from trade in asset markets with insider trading," The European Journal of Finance, Taylor & Francis Journals, vol. 29(3), pages 255-277, February.
  54. Jing Nie & Juliana Malagon & Julian Williams, 2022. "The impact of high speed quoting on execution risk dynamics: Evidence from interest rate futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1434-1465, August.
  55. Chen, Shi & Härdle, Wolfgang & Schienle, Melanie, 2021. "High-dimensional statistical learning techniques for time-varying limit order book networks," IRTG 1792 Discussion Papers 2021-015, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  56. Breckenfelder, Johannes, 2024. "Competition among high-frequency traders and market quality," Journal of Economic Dynamics and Control, Elsevier, vol. 166(C).
  57. Kaihua Qin & Liyi Zhou & Yaroslav Afonin & Ludovico Lazzaretti & Arthur Gervais, 2021. "CeFi vs. DeFi -- Comparing Centralized to Decentralized Finance," Papers 2106.08157, arXiv.org, revised Jun 2021.
  58. Valeed Ahmad Ansari, 2018. "Financialization and Inequalities in Income and Wealth طغيان النشاط المالي وعدم المساواة في الدخل والثروة," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., vol. 31(1), pages 129-135, January.
  59. Rustamdjan Hakimov & C.-Philipp Heller & Dorothea Kübler & Morimitsu Kurino, 2021. "How to Avoid Black Markets for Appointments with Online Booking Systems," American Economic Review, American Economic Association, vol. 111(7), pages 2127-2151, July.
  60. Eric Budish & Robin S. Lee & John J. Shim, 2024. "A Theory of Stock Exchange Competition and Innovation: Will the Market Fix the Market?," Journal of Political Economy, University of Chicago Press, vol. 132(4), pages 1209-1246.
  61. 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.
  62. Attar, Andrea & Mariotti, Thomas & Salanié, François, 2021. "Competitive Nonlinear Pricing under Adverse Selection," TSE Working Papers 21-1201, Toulouse School of Economics (TSE), revised Aug 2022.
  63. 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.
  64. Hung, Pi-Hsia & Lien, Donald, 2019. "Trading aggressiveness, order execution quality, and stock price movements: Evidence from the Taiwan stock exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 60(C), pages 231-251.
  65. James Schmitz & David Rothschild, 2019. "Understanding market functionality and trading success," PLOS ONE, Public Library of Science, vol. 14(8), pages 1-28, August.
  66. Roşu, Ioanid, 2019. "Fast and slow informed trading," Journal of Financial Markets, Elsevier, vol. 43(C), pages 1-30.
  67. Andrea Canidio & Vincent Danos, 2024. "Commitment Against Front-Running Attacks," Management Science, INFORMS, vol. 70(7), pages 4429-4440, July.
  68. S. Sarah Zhang, 2018. "Need for speed: Hard information processing in a high‐frequency world," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(1), pages 3-21, January.
  69. Franzoni, Francesco & Di Maggio, Marco & Egan, Mark, 2019. "The Value of Intermediation in the Stock Market," CEPR Discussion Papers 13936, C.E.P.R. Discussion Papers.
  70. Foucault, Thierry & Moinas, Sophie, 2018. "Is Trading Fast Dangerous?," TSE Working Papers 18-881, Toulouse School of Economics (TSE).
  71. Morone, Andrea & Nuzzo, Simone, 2015. "Market Efficiency, Trading Institutions and Information Mirages: evidence from an experimental asset market," MPRA Paper 67448, University Library of Munich, Germany.
  72. Wittwer, Milena, 2017. "Centralizing Disconnected Markets? An Irrelevance Result," MPRA Paper 76534, University Library of Munich, Germany.
  73. Alvin E. Roth & Robert B. Wilson, 2019. "How Market Design Emerged from Game Theory: A Mutual Interview," Journal of Economic Perspectives, American Economic Association, vol. 33(3), pages 118-143, Summer.
  74. 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).
  75. Eric M. Aldrich & Daniel Friedman, 2023. "Order Protection Through Delayed Messaging," Management Science, INFORMS, vol. 69(2), pages 774-790, February.
  76. Eduardo Dávila & Cecilia Parlatore, 2021. "Trading Costs and Informational Efficiency," Journal of Finance, American Finance Association, vol. 76(3), pages 1471-1539, June.
  77. Vives, Xavier & Cespa, Giovanni, 2016. "Market Transparency and Fragility," CEPR Discussion Papers 11732, C.E.P.R. Discussion Papers.
  78. Matteo Aquilina & Sean Foley & Leonardo Gambacorta & William Krekel, "undated". "Decentralised dealers? examining liquidity provision in decentralised exchanges," BIS Working Papers 1227, Bank for International Settlements.
  79. Yan Chen & Peter Cramton & John A. List & Axel Ockenfels, 2021. "Market Design, Human Behavior, and Management," Management Science, INFORMS, vol. 67(9), pages 5317-5348, September.
  80. Alangi, Somayeh Rahimi & Bjørndal, Endre & Bjørndal, Mette, 2022. "Can the European intraday market be designed as a congestion management tool?," Energy Economics, Elsevier, vol. 113(C).
  81. Vasilios Mavroudis & Hayden Melton, 2019. "Libra: Fair Order-Matching for Electronic Financial Exchanges," Papers 1910.00321, arXiv.org.
  82. 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).
  83. Holmberg, Pär, 2024. "The Inc-Dec Game and How to Mitigate It," Working Paper Series 1512, Research Institute of Industrial Economics.
  84. Zura Kakushadze & Juan Andrés Serur, 2018. "151 Trading Strategies," Springer Books, Springer, number 978-3-030-02792-6, June.
  85. Michael Brolley & Marius Zoican, 2019. "Liquid Speed: On-Demand Fast Trading at Distributed Exchanges," Papers 1907.10720, arXiv.org.
  86. 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).
  87. Holmberg, Pär & Tangerås, Thomas, 2021. "Sweden's Energy Investment Challenge," Working Paper Series 1383, Research Institute of Industrial Economics.
  88. Shiyang Huang & Bart Zhou Yueshen, 2021. "Speed Acquisition," Management Science, INFORMS, vol. 67(6), pages 3492-3518, June.
  89. Pavan, Alessandro & Vives, Xavier, 2015. "Information, Coordination, and Market Frictions: An Introduction," Journal of Economic Theory, Elsevier, vol. 158(PB), pages 407-426.
  90. 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.
  91. Notheisen, Benedikt & Marino, Vincenzo & Englert, Daniel & Weinhardt, Christof, 2019. "Trading stocks on blocks: The quality of decentralized markets," Working Paper Series in Economics 129, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
  92. Collins, Sean M. & James, Duncan & Servátka, Maroš & Vadovič, Radovan, 2020. "Attainment of Equilibrium: Marshallian Path Adjustment and Buyer Determinism," MPRA Paper 104103, University Library of Munich, Germany.
  93. 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).
  94. James Paulin & Anisoara Calinescu & Michael Wooldridge, 2018. "Understanding Flash Crash Contagion and Systemic Risk: A Micro-Macro Agent-Based Approach," Papers 1805.08454, arXiv.org.
  95. Nilabhra Bhattacharya & Bidisha Chakrabarty & Xu (Frank) Wang, 2020. "High-frequency traders and price informativeness during earnings announcements," Review of Accounting Studies, Springer, vol. 25(3), pages 1156-1199, September.
  96. Bellia, Mario & Pelizzon, Loriana & Subrahmanyam, Marti G. & Yuferova, Darya, 2020. "Designated Market Makers: Competition and Incentives," SAFE Working Paper Series 247, Leibniz Institute for Financial Research SAFE, revised 2020.
  97. Vincent Grégoire & Charles Martineau, 2022. "How is Earnings News Transmitted to Stock Prices?," Journal of Accounting Research, Wiley Blackwell, vol. 60(1), pages 261-297, March.
  98. Matthew F Dixon, 2017. "A High Frequency Trade Execution Model for Supervised Learning," Papers 1710.03870, arXiv.org, revised Dec 2017.
  99. Delaney, L., 2016. "Equilibrium Investment in High Frequency Trading Technology: A Real Options Approach," Working Papers 15/14, Department of Economics, City University London.
  100. Nimalendran, Mahendrarajah & Rzayev, Khaladdin & Sagade, Satchit, 2024. "High-frequency trading in the stock market and the costs of options market making," Journal of Financial Economics, Elsevier, vol. 159(C).
  101. Sida Li & Xin Wang & Mao Ye, 2019. "Who Provides Liquidity, and When?," NBER Working Papers 25972, National Bureau of Economic Research, Inc.
  102. Lu, Dong & Zhan, Yaosong, 2022. "Over-the-counter versus double auction in asset markets with near-zero-intelligence traders," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
  103. Angerer, Martin & Neugebauer, Tibor & Shachat, Jason, 2023. "Arbitrage bots in experimental asset markets," Journal of Economic Behavior & Organization, Elsevier, vol. 206(C), pages 262-278.
  104. Fabrice Rousseau & Herve Boco & Laurent Germain, 2020. "High Frequency Trading: Strategic Competition Between Slow and Fast Traders," Economics Department Working Paper Series n296-20.pdf, Department of Economics, National University of Ireland - Maynooth.
  105. Brewer, Paul & Ratan, Anmol, 2019. "Profitability, efficiency, and inequality in double auction markets with snipers," Journal of Economic Behavior & Organization, Elsevier, vol. 164(C), pages 486-499.
  106. 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).
  107. Ravi Kashyap, 2019. "Imitation in the Imitation Game," Papers 1911.06893, arXiv.org.
  108. Charles-Albert Lehalle & Othmane Mounjid, 2016. "Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency," Papers 1610.00261, arXiv.org, revised Mar 2018.
  109. Gonçalves, Jorge & Kräussl, Roman & Levin, Vladimir, 2019. "Do "speed bumps" prevent accidents in financial markets?," CFS Working Paper Series 636, Center for Financial Studies (CFS).
  110. Bastien Baldacci & Paul Jusselin & Mathieu Rosenbaum, 2019. "How to design a derivatives market?," Papers 1909.09257, arXiv.org.
  111. Laurence Lescourret, 2017. "Cold Case File? Inventory Risk and Information Sharing during the pre†1997 NASDAQ," European Financial Management, European Financial Management Association, vol. 23(4), pages 761-806, September.
  112. Radu BORES, Author-Workplace-Name : Stefan cel Mare University of Suceava, 720229, Romania & Ana-Maria HLACIUC Author-Workplace-Name : Stefan cel Mare University of Suceava, 720229, Romania, 2016. "New Technologies And Infrastructures Of Financial Services," EcoForum, "Stefan cel Mare" University of Suceava, Romania, Faculty of Economics and Public Administration - Economy, Business Administration and Tourism Department., vol. 5(Special I), pages 1-25, august.
  113. Zade, Michel & Lumpp, Sebastian Dirk & Tzscheutschler, Peter & Wagner, Ulrich, 2022. "Satisfying user preferences in community-based local energy markets — Auction-based clearing approaches," Applied Energy, Elsevier, vol. 306(PA).
  114. 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.
  115. Haeringer, Guillaume & Melton, Hayden, 2020. "High Frequency Fairness," MPRA Paper 103907, University Library of Munich, Germany.
  116. Marco Di Maggio & Mark L. Egan & Francesco Franzoni, 2019. "The Value of Intermediation in the Stock Market," NBER Working Papers 26147, National Bureau of Economic Research, Inc.
  117. Poutré, Cédric & Dionne, Georges & Yergeau, Gabriel, 2023. "International high-frequency arbitrage for cross-listed stocks," International Review of Financial Analysis, Elsevier, vol. 89(C).
  118. Rohan Dutta & David K Levine & Salvatore Modica, 2018. "Interventions when Social Norms are Endogenous: A Critique," Levine's Bibliography 786969000000001479, UCLA Department of Economics.
  119. Thibaut Mastrolia & Tianrui Xu, 2024. "Clearing time randomization and transaction fees for auction market design," Papers 2405.09764, arXiv.org, revised Oct 2024.
  120. Panayotis Mertikopoulos & Heinrich H. Nax & Bary S. R. Pradelski, 2019. "Quick or Cheap? Breaking Points in Dynamic Markets," Cowles Foundation Discussion Papers 2217, Cowles Foundation for Research in Economics, Yale University.
  121. Aditya Bhave & Eric Budish, 2017. "Primary-Market Auctions for Event Tickets: Eliminating the Rents of 'Bob the Broker'?," NBER Working Papers 23770, National Bureau of Economic Research, Inc.
  122. 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.
  123. Thomas Kuppelwieser & David Wozabal, 2023. "Intraday power trading: toward an arms race in weather forecasting?," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 45(1), pages 57-83, March.
  124. repec:spo:wpmain:info:hdl:2441/3utlh0ehcn860pus6p2p683ade is not listed on IDEAS
  125. Nikhil Agarwal & Eric Budish, 2021. "Market Design," NBER Working Papers 29367, National Bureau of Economic Research, Inc.
  126. Markus Baldauf & Joshua Mollner, 2020. "High‐Frequency Trading and Market Performance," Journal of Finance, American Finance Association, vol. 75(3), pages 1495-1526, June.
  127. Hagströmer, Björn, 2021. "Bias in the effective bid-ask spread," Journal of Financial Economics, Elsevier, vol. 142(1), pages 314-337.
  128. Yang, Haijun & Ge, Hengshun & Luo, Ying, 2020. "The optimal bid-ask price strategies of high-frequency trading and the effect on market liquidity," Research in International Business and Finance, Elsevier, vol. 53(C).
  129. Hautsch, Nikolaus & Scheuch, Christoph & Voigt, Stefan, 2018. "Limits to arbitrage in markets with stochastic settlement latency," CFS Working Paper Series 616, Center for Financial Studies (CFS).
  130. David Rushing Dewhurst & Michael Vincent Arnold & Colin Michael Van Oort, 2018. "Selection mechanisms affect volatility in evolving markets," Papers 1812.05657, arXiv.org, revised Apr 2019.
  131. Haas, Marlene & Khapko, Mariana & Zoican, Marius, 2021. "Speed and learning in high-frequency auctions," Journal of Financial Markets, Elsevier, vol. 54(C).
  132. Diamond, Stephen F. & Kuan, Jennifer W., 2018. "Are the stock markets “rigged”? An empirical analysis of regulatory change," International Review of Law and Economics, Elsevier, vol. 55(C), pages 33-40.
  133. Marlene Haas & Marius Andrei Zoican, 2016. "Beyond the Frequency Wall: Speed and Liquidity on Batch Auction Markets," Post-Print hal-01484805, HAL.
  134. Jørgensen, Kjell & Skjeltorp, Johannes & Ødegaard, Bernt Arne, 2018. "Throttling hyperactive robots – Order-to-trade ratios at the Oslo Stock Exchange," Journal of Financial Markets, Elsevier, vol. 37(C), pages 1-16.
  135. Viktor Manahov, 2021. "High‐frequency trading order cancellations and market quality: Is stricter regulation the answer?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5385-5407, October.
  136. Robert Garrison & Pankaj K. Jain & Mark Paddrik, 2024. "Cross‐Asset Tandem Trading and Extraordinary Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(9), pages 1508-1542, September.
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