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Does Algorithmic Trading Reduce Information Acquisition?

Citations

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Cited by:

  1. Watson, Ethan D. & Woods, Donovan, 2022. "Exchange introduction and market competition: The entrance of MEMX and MIAX," Global Finance Journal, Elsevier, vol. 54(C).
  2. Tao Chen & Andreas Karathanasopoulos, 2022. "Do Heterogeneous Beliefs Matter to Post‐announcement Informed Trading?," Abacus, Accounting Foundation, University of Sydney, vol. 58(4), pages 714-741, December.
  3. Ravi Jagannathan, 2022. "On Frequent Batch Auctions for Stocks [Tail Expectation and Imperfect Competition in Limit Order Book Markets]," Journal of Financial Econometrics, Oxford University Press, vol. 20(1), pages 1-17.
  4. 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).
  5. Chen, Yong & Kelly, Bryan & Wu, Wei, 2020. "Sophisticated investors and market efficiency: Evidence from a natural experiment," Journal of Financial Economics, Elsevier, vol. 138(2), pages 316-341.
  6. Upson, James & McInish, Thomas & IV, B. Hardy Johnson, 2021. "Order based versus level book trade reporting: An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 125(C).
  7. Lof, Matthijs & van Bommel, Jos, 2023. "Asymmetric information and the distribution of trading volume," Journal of Corporate Finance, Elsevier, vol. 82(C).
  8. Matteo Aquilina & Eric Budish & Peter O'Neill, 2021. "Quantifying the high-frequency trading "arms race"," BIS Working Papers 955, Bank for International Settlements.
  9. Justin Cox & Bonnie Van Ness & Robert Van Ness, 2019. "Increasing the Tick: Examining the Impact of the Tick Size Change on Maker‐Taker and Taker‐Maker Market Models," The Financial Review, Eastern Finance Association, vol. 54(3), pages 417-449, August.
  10. Eduardo Dávila & Cecilia Parlatore, 2018. "Identifying Price Informativeness," NBER Working Papers 25210, National Bureau of Economic Research, Inc.
  11. 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.
  12. Edward A. E. Jones & Anthony K. Kyiu & Hao Li, 2021. "Earnings informativeness and trading frequency: Evidence from African markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1064-1086, January.
  13. Di Maggio, Marco & Franzoni, Francesco & Massa, Massimo & Tubaldi, Roberto, 2024. "Strategic trading as a response to short sellers," Journal of Financial Markets, Elsevier, vol. 69(C).
  14. Foucault, T., 2016. "Where are the risks in high frequency trading?," Financial Stability Review, Banque de France, issue 20, pages 53-67, April.
  15. 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).
  16. Alain Chaboud & Dagfinn Rime & Vladyslav Sushko, 2023. "The foreign exchange market," Chapters, in: Refet S. Gürkaynak & Jonathan H. Wright (ed.), Research Handbook of Financial Markets, chapter 12, pages 253-275, Edward Elgar Publishing.
  17. Crego, Julio & Gider, Jasmin, 2024. "The dynamic informativeness of scheduled news," Other publications TiSEM d4538ed2-3aeb-4259-b1f1-2, Tilburg University, School of Economics and Management.
  18. Chen, Marie & Garriott, Corey, 2020. "High-frequency trading and institutional trading costs," Journal of Empirical Finance, Elsevier, vol. 56(C), pages 74-93.
  19. Markus Baldauf & Joshua Mollner, 2020. "High‐Frequency Trading and Market Performance," Journal of Finance, American Finance Association, vol. 75(3), pages 1495-1526, June.
  20. Zheng, Jiayi & Zhu, Yushu, 2023. "Algorithmic trading and block ownership initiation: An information perspective," The British Accounting Review, Elsevier, vol. 55(4).
  21. 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.
  22. 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.
  23. 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.
  24. Dugast, Jérôme & Foucault, Thierry, 2018. "Data abundance and asset price informativeness," Journal of Financial Economics, Elsevier, vol. 130(2), pages 367-391.
  25. Glebkin, Sergei & Kuong, John Chi-Fong, 2023. "When large traders create noise," Journal of Financial Economics, Elsevier, vol. 150(2).
  26. Cox, Justin & Woods, Donovan, 2023. "COVID-19 and market structure dynamics," Journal of Banking & Finance, Elsevier, vol. 147(C).
  27. 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.
  28. 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.
  29. Tao Chen, 2021. "Round‐number biases on trading time: Evidence from international markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(3), pages 469-495, September.
  30. Bastian von Beschwitz & Donald B Keim & Massimo Massa, 2020. "First to “Read” the News: News Analytics and Algorithmic Trading," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 10(1), pages 122-178.
  31. Hatch, Brian C. & Johnson, Shane A. & Wang, Qin Emma & Zhang, Jun, 2021. "Algorithmic trading and firm value," Journal of Banking & Finance, Elsevier, vol. 125(C).
  32. Li, Pan & Chen, Kecai & Zhu, Xiaoneng, 2024. "Extreme Sentiment and Jumps in Analyst Forecast Dispersion," Finance Research Letters, Elsevier, vol. 62(PA).
  33. Sani, Jalal & Shroff, Nemit & White, Hal, 2023. "Spillover effects of mandatory portfolio disclosures on corporate investment," Journal of Accounting and Economics, Elsevier, vol. 76(2).
  34. Yang, Shanxiang & Liu, Zhechen & Wang, Xinjie, 2020. "News sentiment, credit spreads, and information asymmetry," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
  35. Tao Chen, 2022. "Delayed informed trades and opinion divergence: Evidence from earnings releases," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4556-4574, October.
  36. Nicholas Hirschey, 2021. "Do High-Frequency Traders Anticipate Buying and Selling Pressure?," Management Science, INFORMS, vol. 67(6), pages 3321-3345, June.
  37. Rösch, Dominik M. & Subrahmanyam, Avanidhar & van Dijk, Mathijs A., 2022. "Investor short-termism and real investment," Journal of Financial Markets, Elsevier, vol. 59(PB).
  38. Haghighi, Afshin & Zhang, Lei & Oliver, Barry & Faff, Robert, 2023. "Information acquisition and market liquidity: Evidence from EDGAR search activity," Global Finance Journal, Elsevier, vol. 57(C).
  39. 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.
  40. 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.
  41. Foucault, Thierry & Moinas, Sophie, 2018. "Is Trading Fast Dangerous?," TSE Working Papers 18-881, Toulouse School of Economics (TSE).
  42. Nimalendran, Mahendrarajah & Rzayev, Khaladdin & Sagade, Satchit, 2022. "High-frequency trading in the stock market and the costs of option market making," LSE Research Online Documents on Economics 118885, London School of Economics and Political Science, LSE Library.
  43. Pekka Honkanen & Daniel Schmidt & Bastian von Beschwitz, 2022. "Passive Ownership and Short Selling," International Finance Discussion Papers 1365, Board of Governors of the Federal Reserve System (U.S.).
  44. Franzoni, Francesco & Di Maggio, Marco & Massa, Massimo & Tubaldi, Roberto, 2019. "Strategic Trading as a Response to Short Sellers," CEPR Discussion Papers 13812, C.E.P.R. Discussion Papers.
  45. Yuferova, Darya, 2024. "Algorithmic trading and market efficiency around the introduction of the NYSE Hybrid Market," Journal of Financial Markets, Elsevier, vol. 69(C).
  46. Ayad Assoil & Ndéné Ka & Jules Sadefo-Kamdem, 2021. "Analysis of the dynamic relationship between liquidity proxies and returns on the French CAC 40 index," SN Business & Economics, Springer, vol. 1(10), pages 1-23, October.
  47. Chakrabarty, Bidisha & Pascual, Roberto, 2023. "Stock liquidity and algorithmic market making during the COVID-19 crisis," Journal of Banking & Finance, Elsevier, vol. 147(C).
  48. Millicent Chang & John Gould & Yuyun Huang & Sirimon Treepongkaruna & Joey Wenling Yang, 2022. "Insider trading and the algorithmic trading environment," International Review of Finance, International Review of Finance Ltd., vol. 22(4), pages 725-750, December.
  49. Matteo Aquilina & Eric Budish, 2020. "Quantifying the High-Frequency Trading “Arms Race†: A Simple New Methodology and Estimates," Working Papers 2020-86, Becker Friedman Institute for Research In Economics.
  50. Zhou, Hao & Kalev, Petko S. & Frino, Alex, 2020. "Algorithmic trading in turbulent markets," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
  51. Stanislav Anatolyev & Sergei Seleznev & Veronika Selezneva, 2019. "Does Index Arbitrage Distort the Market Reaction to Shocks?," CERGE-EI Working Papers wp651, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  52. Wael DAMMAK, 2024. "Assessing Effect of Market Sentiment on Pricing of European Currency Options ‎," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 8(6), pages 1224-1244, June.
  53. Gider, Jasmin & Schmickler, Simon & Westheide, Christian, 2019. "High-frequency trading and price informativeness," SAFE Working Paper Series 248, Leibniz Institute for Financial Research SAFE, revised 2019.
  54. 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.
  55. Itay Goldstein, 2023. "Information in Financial Markets and Its Real Effects," Review of Finance, European Finance Association, vol. 27(1), pages 1-32.
  56. Kee H. Chung & Chairat Chuwonganant, 2023. "Tick size and price efficiency: Further evidence from the Tick Size Pilot Program," Financial Management, Financial Management Association International, vol. 52(3), pages 483-511, September.
  57. Donald B. Keim & Massimo Massa & Bastian von Beschwitz, 2018. "First to \"Read\" the News: New Analytics and Algorithmic Trading," International Finance Discussion Papers 1233, Board of Governors of the Federal Reserve System (U.S.).
  58. Corey Garriot & Ryan Riordan, 2020. "Trading on Long-term Information," Staff Working Papers 20-20, Bank of Canada.
  59. Rzayev, Khaladdin & Ibikunle, Gbenga & Steffen, Tom, 2023. "The market quality implications of speed in cross-platform trading: evidence from Frankfurt-London microwave," LSE Research Online Documents on Economics 119989, London School of Economics and Political Science, LSE Library.
  60. Matteo Aquilina & Eric Budish & Peter O’Neill, 2022. "Quantifying the High-Frequency Trading “Arms Race”," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 137(1), pages 493-564.
  61. Aliyev, Nihad & Huseynov, Fariz & Rzayev, Khaladdin, 2022. "Algorithmic trading and investment-to-price sensitivity," LSE Research Online Documents on Economics 118844, London School of Economics and Political Science, LSE Library.
  62. Declerck, F., 2016. "High-frequency trading, geographical concerns and the curvature of the Earth," Financial Stability Review, Banque de France, issue 20, pages 153-160, April.
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