IDEAS home Printed from https://ideas.repec.org/r/fip/fedgif/980.html
   My bibliography  Save this item

Rise of the machines: algorithmic trading in the foreign exchange market

Citations

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


Cited by:

  1. Dionne, Georges & Zhou, Xiaozhou, 2019. "Information Environments and High Price Impact Trades: Implication for Volatility and Price Efficiency," Working Papers 19-3, HEC Montreal, Canada Research Chair in Risk Management, revised 04 Nov 2019.
  2. Baoqiang Zhan & Shu Zhang & Helen S. Du & Xiaoguang Yang, 2022. "Exploring Statistical Arbitrage Opportunities Using Machine Learning Strategy," Computational Economics, Springer;Society for Computational Economics, vol. 60(3), pages 861-882, October.
  3. Benos, Evangelos & Sagade, Satchit, 2012. "High-frequency trading behaviour and its impact on market quality: evidence from the UK equity market," Bank of England working papers 469, Bank of England.
  4. 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.
  5. Ye, Cheng & Qiu, Yanjun & Lu, Guohao & Hou, Yawen, 2018. "Quantitative strategy for the Chinese commodity futures market based on a dynamic weighted money flow model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 1009-1018.
  6. 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.
  7. 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.
  8. 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.
  9. Chen, Tao, 2018. "Round-number biases and informed trading in global markets," Journal of Business Research, Elsevier, vol. 92(C), pages 105-117.
  10. 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).
  11. Salman Bahoo & Marco Cucculelli & Xhoana Goga & Jasmine Mondolo, 2024. "Artificial intelligence in Finance: a comprehensive review through bibliometric and content analysis," SN Business & Economics, Springer, vol. 4(2), pages 1-46, February.
  12. Arumugam, Devika & Prasanna, P. Krishna & Marathe, Rahul R., 2023. "Do algorithmic traders exploit volatility?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
  13. Gradojevic, Nikola & Erdemlioglu, Deniz & Gençay, Ramazan, 2020. "A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage," Economic Modelling, Elsevier, vol. 85(C), pages 57-73.
  14. 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.
  15. Chiarucci, Riccardo & Loffredo, Maria I. & Ruzzenenti, Franco, 2017. "Evidences for a structural change in the oil market before a financial crisis: The flat horizon effect," Research in International Business and Finance, Elsevier, vol. 42(C), pages 912-921.
  16. Jahanshahloo, Hossein & Spokeviciute, Laima, 2018. "A modification to the WPC model," Economics Letters, Elsevier, vol. 171(C), pages 76-78.
  17. Álvaro Cartea & José Penalva, 2012. "Where is the Value in High Frequency Trading?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 2(03), pages 1-46.
  18. NIdhi Aggarwal & Venkatesh Panchapagesan & Susan Thomas, 2022. "When is the Order to Trade Ratio fee effective?," Working Papers 8, xKDR.
  19. 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.
  20. 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).
  21. Corsetti, G. & Lafarguette, R. & Mehl, A., 2019. "Fast Trading and the Virtue of Entropy: Evidence from the Foreign Exchange Market," Cambridge Working Papers in Economics 1970, Faculty of Economics, University of Cambridge.
  22. 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.
  23. Robert J. Kauffman & Yuzhou Hu & Dan Ma, 2015. "Will high-frequency trading practices transform the financial markets in the Asia Pacific Region?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 1(1), pages 1-27, December.
  24. Takatoshi Ito & Kenta Yamada & Misako Takayasu & Hideki Takayasu, 2020. "Execution Risk and Arbitrage Opportunities in the Foreign Exchange Markets," NBER Working Papers 26706, National Bureau of Economic Research, Inc.
  25. Stephen N. Jurich, 2020. "Size Precedence And Share Volume: The Case Of The Psx Exchange," Journal of Financial Management, Markets and Institutions (JFMMI), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 1-28, December.
  26. Ms. Thornton Matheson, 2011. "Taxing Financial Transactions: Issues and Evidence," IMF Working Papers 2011/054, International Monetary Fund.
  27. Gerig, Austin & Michayluk, David, 2017. "Automated liquidity provision," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 1-13.
  28. 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).
  29. Linde, Jona & Gietl, Daniel & Sonnemans, Joep & Tuinstra, Jan, 2023. "The effect of quantity and quality of information in strategy tournaments," Journal of Economic Behavior & Organization, Elsevier, vol. 211(C), pages 305-323.
  30. 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.
  31. George Jiang & Ingrid Lo & Giorgio Valente, 2014. "High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market," Staff Working Papers 14-56, Bank of Canada.
  32. 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.
  33. Aggarwal, Nidhi & Panchapagesan, Venkatesh & Thomas, Susan, 2023. "When is the order-to-trade ratio fee effective?," Journal of Financial Markets, Elsevier, vol. 62(C).
  34. 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).
  35. 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.
  36. Qixuan Luo & Yu Shi & Xuan Zhou & Handong Li, 2021. "Research on the Effects of Institutional Liquidation Strategies on the Market Based on Multi-agent Model," Computational Economics, Springer;Society for Computational Economics, vol. 58(4), pages 1025-1049, December.
  37. Kristoufek, Ladislav & Vosvrda, Miloslav, 2016. "Gold, currencies and market efficiency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 449(C), pages 27-34.
  38. 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.
  39. 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.
  40. Tao Chen & Kam C. Chan & Haodong Chang, 2022. "Periodicity of trading activity in foreign exchange markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(2), pages 445-465, June.
  41. Jing Nie, 2019. "High‐Frequency Price Discovery and Price Efficiency on Interest Rate Futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(11), pages 1394-1434, November.
  42. Seddon, Jonathan J.J.M. & Currie, Wendy L., 2017. "A model for unpacking big data analytics in high-frequency trading," Journal of Business Research, Elsevier, vol. 70(C), pages 300-307.
  43. Farjam, Mike & Kirchkamp, Oliver, 2018. "Bubbles in hybrid markets: How expectations about algorithmic trading affect human trading," Journal of Economic Behavior & Organization, Elsevier, vol. 146(C), pages 248-269.
  44. 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.
  45. Elizabeth B. Booth & G. Geoffrey Booth & John P. Broussard, 2014. "Communication Technology and Exchanging Financial Assets: A Historical Perspective," Business and Economic Research, Macrothink Institute, vol. 4(2), pages 308-322, December.
  46. Linnenluecke, Martina K. & Chen, Xiaoyan & Ling, Xin & Smith, Tom & Zhu, Yushu, 2017. "Research in finance: A review of influential publications and a research agenda," Pacific-Basin Finance Journal, Elsevier, vol. 43(C), pages 188-199.
  47. 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).
  48. 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).
  49. Gulten Mero & Serge Darolles & Gaëlle Le Fol, 2015. "Financial Market Liquidity: Who Is Acting Strategically?," THEMA Working Papers 2015-14, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  50. Chen, Marie & Garriott, Corey, 2020. "High-frequency trading and institutional trading costs," Journal of Empirical Finance, Elsevier, vol. 56(C), pages 74-93.
  51. Dionne, Georges & Pacurar, Maria & Zhou, Xiaozhou, 2015. "Liquidity-adjusted Intraday Value at Risk modeling and risk management: An application to data from Deutsche Börse," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 202-219.
  52. 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.
  53. 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.
  54. Caporin, Massimiliano & Pelizzon, Loriana & Ravazzolo, Francesco & Rigobon, Roberto, 2018. "Measuring sovereign contagion in Europe," Journal of Financial Stability, Elsevier, vol. 34(C), pages 150-181.
  55. Christopher J. Neely & Paul A. Weller, 2011. "Technical analysis in the foreign exchange market," Working Papers 2011-001, Federal Reserve Bank of St. Louis.
  56. Osler, Carol & Savaser, Tanseli, 2011. "Extreme returns: The case of currencies," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2868-2880, November.
  57. 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.
  58. James Schmitz & David Rothschild, 2019. "Understanding market functionality and trading success," PLOS ONE, Public Library of Science, vol. 14(8), pages 1-28, August.
  59. Roşu, Ioanid, 2019. "Fast and slow informed trading," Journal of Financial Markets, Elsevier, vol. 43(C), pages 1-30.
  60. 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.
  61. Foucault, Thierry & Moinas, Sophie, 2018. "Is Trading Fast Dangerous?," TSE Working Papers 18-881, Toulouse School of Economics (TSE).
  62. Erdinc Akyildirim & Shaen Corbet & Guzhan Gulay & Duc Khuong Nguyen & Ahmet Sensoy, 2019. "Order Flow Persistence in Equity Spot and Futures Markets: Evidence from a Dynamic Emerging Market," Working Papers 2019-011, Department of Research, Ipag Business School.
  63. Rod Cross & Victor Kozyakin, 2012. "Fact and Fiction in FX Arbitrage Processes," Working Papers 1211, University of Strathclyde Business School, Department of Economics.
  64. Melvin, Michael & Pan, Wenqiang & Wikstrom, Petra, 2020. "Retaining alpha: The effect of trade size and rebalancing frequency on FX strategy returns," Journal of Financial Markets, Elsevier, vol. 51(C).
  65. Hans Degryse & Frank de Jong & Vincent van Kervel, 2015. "The Impact of Dark Trading and Visible Fragmentation on Market Quality," Review of Finance, European Finance Association, vol. 19(4), pages 1587-1622.
  66. 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.
  67. Buckmann, Marcus & Haldane, Andy & Hüser, Anne-Caroline, 2021. "Comparing minds and machines: implications for financial stability," Bank of England working papers 937, Bank of England.
  68. Bernales, Alejandro, 2019. "Make-take decisions under high-frequency trading competition," Journal of Financial Markets, Elsevier, vol. 45(C), pages 1-18.
  69. Cécile Bastidon, 2017. "Stock markets fragmentation, volatility and final investors," Annals of Finance, Springer, vol. 13(4), pages 435-451, November.
  70. 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.
  71. Brice Corgnet & Mark DeSantis & Christoph Siemroth, 2023. "Algorithmic Trading, Price Efficiency and Welfare: An Experimental Approach," Working Papers 2313, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
  72. Chaboud, Alain & Hjalmarsson, Erik & Zikes, Filip, 2021. "The evolution of price discovery in an electronic market," Journal of Banking & Finance, Elsevier, vol. 130(C).
  73. Soumyadip Sarkar, 2023. "Harnessing Deep Q-Learning for Enhanced Statistical Arbitrage in High-Frequency Trading: A Comprehensive Exploration," Papers 2311.10718, arXiv.org.
  74. Morten Linnemann Bech & Anamaria Illes & Ulf Lewrick & Andreas Schrimpf, 2016. "Hanging up the phone - electronic trading in fixed income markets and its implications," BIS Quarterly Review, Bank for International Settlements, March.
  75. Ya‐Kai Chang & Robin K. Chou, 2022. "Algorithmic trading and market quality: Evidence from the Taiwan index futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1837-1855, October.
  76. Hoffmann, Peter, 2014. "A dynamic limit order market with fast and slow traders," Journal of Financial Economics, Elsevier, vol. 113(1), pages 156-169.
  77. Ranaldo, Angelo & Somogyi, Fabricius, 2021. "Asymmetric information risk in FX markets," Journal of Financial Economics, Elsevier, vol. 140(2), pages 391-411.
  78. 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).
  79. Boilard, J.-F. & Kanazawa, K. & Takayasu, H. & Takayasu, M., 2018. "Empirical scaling relations of market event rates in foreign currency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 1152-1161.
  80. Hoffmann, Peter, 2012. "A dynamic limit order market with fast and slow traders," MPRA Paper 39855, University Library of Munich, Germany.
  81. John Cotter & Niall McGeever, 2018. "Are equity market anomalies disappearing? Evidence from the U.K," Working Papers 201804, Geary Institute, University College Dublin.
  82. Takatoshi Ito & Masahiro Yamada, 2015. "High-frequency, Algorithmic Spillovers Between NASDAQ and Forex," NBER Working Papers 21122, National Bureau of Economic Research, Inc.
  83. Nino Antulov-Fantulin & Tian Guo & Fabrizio Lillo, 2021. "Temporal mixture ensemble models for probabilistic forecasting of intraday cryptocurrency volume," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 905-940, December.
  84. Dimitrios Vezeris & Themistoklis Kyrgos & Christos Schinas, 2018. "Take Profit and Stop Loss Trading Strategies Comparison in Combination with an MACD Trading System," JRFM, MDPI, vol. 11(3), pages 1-23, September.
  85. 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.
  86. 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).
  87. Czarniawska, Barbara, 2013. "Is speed good?," Scandinavian Journal of Management, Elsevier, vol. 29(1), pages 7-12.
  88. Zhou, Hao & Kalev, Petko S. & Frino, Alex, 2020. "Algorithmic trading in turbulent markets," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
  89. Lei Wu & Kuan Xu & Qingbin Meng, 2021. "Information flow and price discovery dynamics," Review of Quantitative Finance and Accounting, Springer, vol. 56(1), pages 329-367, January.
  90. 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).
  91. Han, Bing & Tang, Ya & Yang, Liyan, 2016. "Public information and uninformed trading: Implications for market liquidity and price efficiency," Journal of Economic Theory, Elsevier, vol. 163(C), pages 604-643.
  92. 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.
  93. Aitken, Michael & Cumming, Douglas & Zhan, Feng, 2015. "High frequency trading and end-of-day price dislocation," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 330-349.
  94. Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2015. "Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina?," SAFE Working Paper Series 95, Leibniz Institute for Financial Research SAFE.
  95. 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.
  96. Michael R King & Dagfinn Rime, 2011. "The $4 trillion question: what explains FX growth since the 2007 survey?," BIS Quarterly Review, Bank for International Settlements, March.
  97. 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.
  98. Keller, Jonas & von der Gracht, Heiko A., 2014. "The influence of information and communication technology (ICT) on future foresight processes — Results from a Delphi survey," Technological Forecasting and Social Change, Elsevier, vol. 85(C), pages 81-92.
  99. 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.
  100. Martín García, Rodrigo & Ventura Pérez, Enrique & Arguedas Sanz, Raquel, 2020. "Temporal optimisation of signals emitted automatically by securities exchange indicators," Cuadernos de Gestión, Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE).
  101. 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).
  102. Ravi Kashyap, 2019. "Imitation in the Imitation Game," Papers 1911.06893, arXiv.org.
  103. Lee, Kyungsub & Seo, Byoung Ki, 2017. "Marked Hawkes process modeling of price dynamics and volatility estimation," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 174-200.
  104. Hasbrouck, Joel & Levich, Richard M., 2021. "Network structure and pricing in the FX market," Journal of Financial Economics, Elsevier, vol. 141(2), pages 705-729.
  105. 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.
  106. Alex Frino & Ognjen Kovacevic & Vito Mollica & Robert I. Webb, 2022. "Connectivity costs and price efficiency: An event study," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(2), pages 296-309, February.
  107. Michael R. King & Carol Osler & Dagfinn Rime, 2011. "Foreign exchange market structure, players and evolution," Working Paper 2011/10, Norges Bank.
  108. Alsayed, Hamad & McGroarty, Frank, 2012. "Arbitrage and the Law of One Price in the market for American depository receipts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1258-1276.
  109. Klein, Olga & Song, Shiyun, 2021. "Commonality in intraday liquidity and multilateral trading facilities: Evidence from Chi-X Europe," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
  110. Duong, Huu Nhan & Lajbcygier, Paul & Vu, Van Hoang, 2017. "The information content of special orders," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 68-81.
  111. Eichengreen, Barry & Mehl, Arnaud & Lafarguette, Romain, 2016. "Cables, Sharks and Servers: Technology and the Geography of the Foreign Exchange Market," CEPR Discussion Papers 11053, C.E.P.R. Discussion Papers.
  112. 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.
  113. Ahmed, Shamima & Alshater, Muneer M. & Ammari, Anis El & Hammami, Helmi, 2022. "Artificial intelligence and machine learning in finance: A bibliometric review," Research in International Business and Finance, Elsevier, vol. 61(C).
  114. 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).
  115. Markus Baldauf & Joshua Mollner, 2020. "High‐Frequency Trading and Market Performance," Journal of Finance, American Finance Association, vol. 75(3), pages 1495-1526, June.
  116. Paweł Mielcarz & Dmytro Osiichuk & Jarosław Cymerski, 2020. "Algorithmic Sangfroid? The Decline of Sensitivity of Crude Oil Prices to News on Potentially Disruptive Terror Attacks and Political Unrest," Sustainability, MDPI, vol. 13(1), pages 1-24, December.
  117. 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.
  118. 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.).
  119. Menkveld, Albert J., 2013. "High frequency trading and the new market makers," Journal of Financial Markets, Elsevier, vol. 16(4), pages 712-740.
  120. Ibikunle, Gbenga, 2018. "Trading places: Price leadership and the competition for order flow," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 178-200.
  121. Nino Antulov-Fantulin & Tian Guo & Fabrizio Lillo, 2020. "Temporal mixture ensemble models for intraday volume forecasting in cryptocurrency exchange markets," Papers 2005.09356, arXiv.org, revised Dec 2020.
  122. Debarati Bhattacharya & Wei-Hsien Li & Gokhan Sonaer, 2017. "Has momentum lost its momentum?," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 191-218, January.
  123. 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.
  124. Keiichi Goshima & Yusuke Kumano, 2018. "Monetary Policy Announcement and Algorithmic News Trading in the Foreign Exchange Market," IMES Discussion Paper Series 18-E-13, Institute for Monetary and Economic Studies, Bank of Japan.
  125. Martin D. Gould & Mason A. Porter & Sam D. Howison, 2017. "Quasi-centralized limit order books," Quantitative Finance, Taylor & Francis Journals, vol. 17(6), pages 831-853, June.
  126. Gbenga Ibikunle & Davide Mare & Yuxin Sun, 2020. "The paradoxical effects of market fragmentation on adverse selection risk and market efficiency," The European Journal of Finance, Taylor & Francis Journals, vol. 26(14), pages 1439-1461, September.
  127. 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.
  128. Carol Osler & Geir Bjonnes & Neophytos Kathitziotis, 2016. "Bid-Ask Spreads in OTC Markets," Working Papers 102, Brandeis University, Department of Economics and International Business School.
  129. Georges, Christophre & Pereira, Javier, 2021. "Market stability with machine learning agents," Journal of Economic Dynamics and Control, Elsevier, vol. 122(C).
  130. Bauer, Kevin & Pfeuffer, Nicolas & Abdel-Karim, Benjamin M. & Hinz, Oliver & Kosfeld, Michael, 2020. "The terminator of social welfare? The economic consequences of algorithmic discrimination," SAFE Working Paper Series 287, Leibniz Institute for Financial Research SAFE.
  131. Karolis Liaudinskas, 2022. "Human vs. Machine: Disposition Effect among Algorithmic and Human Day Traders," Working Paper 2022/6, Norges Bank.
  132. Pascual, Roberto & Pascual-Fuster, Bartolomé, 2014. "The relative contribution of ask and bid quotes to price discovery," Journal of Financial Markets, Elsevier, vol. 20(C), pages 129-150.
  133. King, Michael R. & Osler, Carol L. & Rime, Dagfinn, 2013. "The market microstructure approach to foreign exchange: Looking back and looking forward," Journal of International Money and Finance, Elsevier, vol. 38(C), pages 95-119.
  134. O'Connor, James & Wackett, James & Zammit, Robert, 2011. "The use of foreign exchange markets by non-banks," Bank of England Quarterly Bulletin, Bank of England, vol. 51(2), pages 119-126.
  135. Juraj Hruška, 2016. "Aggressive and Defensive High-Frequency Trading and its Impact on Liquidity of German Stock Market," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 64(6), pages 1911-1918.
  136. Henao-Londono, Juan C. & Guhr, Thomas, 2022. "Foreign exchange markets: Price response and spread impact," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 589(C).
  137. Irtisam, Rasheek & Sokolov, Konstantin, 2023. "Do stock exchanges specialize? Evidence from the New Jersey transaction tax proposal," Journal of Banking & Finance, Elsevier, vol. 154(C).
  138. Cox, Justin & Woods, Donovan, 2023. "COVID-19 and market structure dynamics," Journal of Banking & Finance, Elsevier, vol. 147(C).
  139. 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.
  140. Benos, Evangelos & Brugler, James & Hjalmarsson, Erik & Zikes, Filip, 2017. "Interactions among High-Frequency Traders," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(4), pages 1375-1402, August.
  141. Jahanshahloo, Hossein & Spokeviciute, Laima, 2021. "Time weighted price contribution," Finance Research Letters, Elsevier, vol. 43(C).
  142. Juan Camilo Henao Londono & Thomas Guhr, 2021. "Foreign exchange markets: price response and spread impact," Papers 2104.09309, arXiv.org, revised Jul 2021.
  143. Purba Mukerji & Christine Chung & Timothy Walsh & Bo Xiong, 2019. "The Impact of Algorithmic Trading in a Simulated Asset Market," JRFM, MDPI, vol. 12(2), pages 1-11, April.
  144. Alexander Pütz & Pierre L. Siklos & Christoph Sulewski, 2019. "“Who pays the piper calls the tune” – Networks and transaction costs in commodity markets," CQE Working Papers 8819, Center for Quantitative Economics (CQE), University of Muenster.
  145. Rösch, Dominik, 2021. "The impact of arbitrage on market liquidity," Journal of Financial Economics, Elsevier, vol. 142(1), pages 195-213.
  146. Anagnostidis, Panagiotis & Fontaine, Patrice, 2020. "Liquidity commonality and high frequency trading: Evidence from the French stock market," International Review of Financial Analysis, Elsevier, vol. 69(C).
  147. Fry, John & Serbera, Jean-Philippe, 2017. "Modelling and mitigation of Flash Crashes," MPRA Paper 82457, University Library of Munich, Germany.
  148. Ben Omrane, Walid & Welch, Robert, 2016. "Tick test accuracy in foreign exchange ECN markets," Research in International Business and Finance, Elsevier, vol. 37(C), pages 135-152.
  149. Rzayev, Khaladdin & Ibikunle, Gbenga, 2019. "A state-space modeling of the information content of trading volume," Journal of Financial Markets, Elsevier, vol. 46(C).
  150. Geetu Aggarwal & Navdeep Aggarwal, 2021. "Risk-adjusted Returns from Statistical Arbitrage Opportunities in Indian Stock Futures Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(1), pages 79-99, March.
  151. Thierry Foucault & Sophie Moinas & Bruno Biais, 2014. "Equilibrium Fast Traders," 2014 Meeting Papers 1207, Society for Economic Dynamics.
  152. Das, Sougata & Kadapakkam, Palani-Rajan, 2020. "Machine over Mind? Stock price clustering in the era of algorithmic trading," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  153. 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.
  154. Kozhan, Roman & Salmon, Mark, 2012. "The information content of a limit order book: The case of an FX market," Journal of Financial Markets, Elsevier, vol. 15(1), pages 1-28.
  155. Andriy Shkilko & Konstantin Sokolov, 2020. "Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity, and Trading Costs," Journal of Finance, American Finance Association, vol. 75(6), pages 2899-2927, December.
  156. Alex Frino & Michael Garcia & Zeyang Zhou, 2020. "Impact of algorithmic trading on speed of adjustment to new information: Evidence from interest rate derivatives," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(5), pages 749-760, May.
  157. Huang, Wenqian & Ranaldo, Angelo & Schrimpf, Andreas & Somogyi, Fabricius, 2022. "Constrained Dealers and Market Efficiency," VfS Annual Conference 2022 (Basel): Big Data in Economics 264054, Verein für Socialpolitik / German Economic Association.
  158. Siem Jan Koopman & Rutger Lit & André Lucas, 2014. "The Dynamic Skellam Model with Applications," Tinbergen Institute Discussion Papers 14-032/IV/DSF73, Tinbergen Institute, revised 06 Jul 2015.
  159. Tarun Chordia & Alexander Kurov & Dmitriy Muravyev & Avanidhar Subrahmanyam, 2021. "The joint cross section of stocks and options," Management Science, INFORMS, vol. 67(3), pages 1758-1778, March.
  160. 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).
  161. 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.
  162. Hoffmann, Peter, 2012. "A dynamic limit order market with fast and slow traders," MPRA Paper 44621, University Library of Munich, Germany, revised Jan 2013.
  163. Valcarcel, Victor J. & Vivian, Andrew J. & Wohar, Mark E., 2017. "Predictability and underreaction in industry-level returns: Evidence from commodity markets," Journal of Commodity Markets, Elsevier, vol. 6(C), pages 1-15.
  164. Su, Fei & Zhang, Jingjing, 2018. "Global price discovery in the Australian dollar market and its determinants," Pacific-Basin Finance Journal, Elsevier, vol. 48(C), pages 35-55.
  165. Wu, Zhen-Xing & Gau, Yin-Feng & Chen, Yu-Lun, 2023. "Price discovery and triangular arbitrage in currency markets," Journal of International Money and Finance, Elsevier, vol. 137(C).
  166. (Meni) Abudy, Menachem & Gildin, Ilan & Mugerman, Yevgeny, 2022. "Do computerized traders follow social norms? Evidence from the holocaust remembrance moment of silence," Finance Research Letters, Elsevier, vol. 48(C).
  167. Li, Zeming & Sakkas, Athanasios & Urquhart, Andrew, 2022. "Intraday time series momentum: Global evidence and links to market characteristics," Journal of Financial Markets, Elsevier, vol. 57(C).
  168. Mohammad El Hajj & Jamil Hammoud, 2023. "Unveiling the Influence of Artificial Intelligence and Machine Learning on Financial Markets: A Comprehensive Analysis of AI Applications in Trading, Risk Management, and Financial Operations," JRFM, MDPI, vol. 16(10), pages 1-16, October.
  169. Bank for International Settlements, 2017. "Foreign exchange liquidity in the Americas," BIS Papers, Bank for International Settlements, number 90.
  170. Antoine Bouveret & Martin Haferkorn & Gaetano Marseglia & Onofrio Panzarino, 2022. "Flash crashes on sovereign bond markets – EU evidence," Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems) 20, Bank of Italy, Directorate General for Markets and Payment System.
  171. Aït-Sahalia, Yacine & Brunetti, Celso, 2020. "High frequency traders and the price process," Journal of Econometrics, Elsevier, vol. 217(1), pages 20-45.
  172. 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).
  173. 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).
  174. Arumugam, Devika & Krishna Prasanna, P., 2021. "Commonality and contrarian trading among algorithmic traders," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
  175. Paulo Sergio Ceretta & Alexandre Silva Da costa, 2017. "The Gap Effect on the Brazilian Exchange," Economics Bulletin, AccessEcon, vol. 37(4), pages 2505-2516.
  176. Alasdair Brown & Fuyu Yang, 2015. "Adverse Selection, Speed Bumps and Asset Market Quality," University of East Anglia Applied and Financial Economics Working Paper Series 070, School of Economics, University of East Anglia, Norwich, UK..
  177. John Coughlan & Alexei G. Orlov, 2023. "High‐frequency trading and market quality: Evidence from account‐level futures data," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(8), pages 1126-1160, August.
  178. Anirban Banerjee & Ashok Banerjee, 2020. "Does trade size restriction affect trading behavior? Evidence from Indian single stock futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 355-373, March.
  179. Riordan, Ryan & Storkenmaier, Andreas & Wagener, Martin & Sarah Zhang, S., 2013. "Public information arrival: Price discovery and liquidity in electronic limit order markets," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1148-1159.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.