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HFT and Market Quality

Citations

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Cited by:

  1. Li, Sida & Wang, Xin & Ye, Mao, 2021. "Who provides liquidity, and when?," Journal of Financial Economics, Elsevier, vol. 141(3), pages 968-980.
  2. 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.
  3. 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".
  4. Gil Hersch, 2023. "Procedural Fairness in Exchange Matching Systems," Journal of Business Ethics, Springer, vol. 188(2), pages 367-377, November.
  5. 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.
  6. Giancarlo Corsetti & Romain Lafarguette & Arnaud Mehl, 2019. "Fast Trading and the Virtue of Entropy: Evidence from the Foreign Exchange Market," Discussion Papers 1914, Centre for Macroeconomics (CFM).
  7. Peter Gomber & Jascha-Alexander Koch & Michael Siering, 2017. "Digital Finance and FinTech: current research and future research directions," Journal of Business Economics, Springer, vol. 87(5), pages 537-580, July.
  8. Marcello Rambaldi & Emmanuel Bacry & Jean-Franc{c}ois Muzy, 2018. "Disentangling and quantifying market participant volatility contributions," Papers 1807.07036, arXiv.org.
  9. 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).
  10. 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.
  11. Anagnostidis, Panagiotis & Fontaine, Patrice & Varsakelis, Christos, 2020. "Are high–frequency traders informed?," Economic Modelling, Elsevier, vol. 93(C), pages 365-383.
  12. Zhang, Wei & Huang, Ke & Feng, Xu & Zhang, Yongjie, 2017. "Market maker competition and price efficiency: Evidence from China," Economic Modelling, Elsevier, vol. 66(C), pages 121-131.
  13. 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.
  14. 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.
  15. 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.
  16. Johnson, Hardy & Van Ness, Bonnie F. & Van Ness, Robert A., 2017. "Are all odd-lots the same? Odd-lot transactions by order submission and trader type," Journal of Banking & Finance, Elsevier, vol. 79(C), pages 1-11.
  17. Zura Kakushadze & Juan Andrés Serur, 2018. "151 Trading Strategies," Springer Books, Springer, number 978-3-030-02792-6, September.
  18. Shiyang Huang & Bart Zhou Yueshen, 2021. "Speed Acquisition," Management Science, INFORMS, vol. 67(6), pages 3492-3518, June.
  19. 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).
  20. Sida Li & Xin Wang & Mao Ye, 2019. "Who Provides Liquidity, and When?," NBER Working Papers 25972, National Bureau of Economic Research, Inc.
  21. 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.
  22. 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).
  23. 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).
  24. Poutré, Cédric & Dionne, Georges & Yergeau, Gabriel, 2023. "International high-frequency arbitrage for cross-listed stocks," International Review of Financial Analysis, Elsevier, vol. 89(C).
  25. Panagiotis Anagnostidis & Patrice Fontaine & Christos Varsakelis, 2020. "Are high–frequency traders informed?," Post-Print hal-03062831, HAL.
  26. 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.
  27. 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.
  28. 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).
  29. Viktoria Dalko & Michael H. Wang, 2020. "High-frequency trading: Order-based innovation or manipulation?," Journal of Banking Regulation, Palgrave Macmillan, vol. 21(4), pages 289-298, December.
  30. Zijian Shi & John Cartlidge, 2023. "Neural Stochastic Agent-Based Limit Order Book Simulation: A Hybrid Methodology," Papers 2303.00080, arXiv.org.
  31. Gonçalves, Jorge & Kräussl, Roman & Levin, Vladimir, 2023. "Dark trading and financial markets stability," CFS Working Paper Series 691, Center for Financial Studies (CFS).
  32. 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.
  33. Giuliano Graziani & Barbara Rindi, 2023. "Optimal Tick Size," Working Papers 688, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  34. 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).
  35. 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).
  36. 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.
  37. Zhenwei Li & Jing Han & Yuping Song, 2020. "On the forecasting of high‐frequency financial time series based on ARIMA model improved by deep learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1081-1097, November.
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