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Andrei Kirilenko

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Silvia Bartolucci & Andrei Kirilenko, 2019. "A Model of the Optimal Selection of Crypto Assets," Papers 1906.09632, arXiv.org.

    Cited by:

    1. Silvia Bartolucci & Fabio Caccioli & Pierpaolo Vivo, 2019. "A percolation model for the emergence of the Bitcoin Lightning Network," Papers 1912.03556, arXiv.org.

  2. Matthew Baron & Björn Hagströmer & Andrei Kirilenko, 2017. "Risk and Return in High-Frequency Trading," GRU Working Paper Series GRU_2017_018, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.

    Cited by:

    1. Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2016. "Rock around the clock: An agent-based model of low- and high-frequency trading," Journal of Evolutionary Economics, Springer, vol. 26(1), pages 49-76, March.
    2. 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.
    3. Liu, Wei, 2021. "Can HFT profit in Chinese stock market?," Economics Letters, Elsevier, vol. 209(C).
    4. Banerjee, Anirban & Roy, Prince, 2023. "High-frequency traders’ evolving role as market makers," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
    5. 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).
    6. 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).
    7. 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).
    8. 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.
    9. Jonathan Brogaard & Corey Garriott & Anna Pomeranets, 2014. "High-Frequency Trading Competition," Staff Working Papers 14-19, Bank of Canada.
    10. Foucault , Thierry & Kozhan , Roman, 2014. "Toxic Arbitrage," HEC Research Papers Series 1040, HEC Paris.
    11. Xuefeng Gao & Yunhan Wang, 2018. "Optimal Market Making in the Presence of Latency," Papers 1806.05849, arXiv.org, revised Mar 2020.
    12. 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.
    13. Breckenfelder, Johannes, 2019. "Competition among high-frequency traders, and market quality," Working Paper Series 2290, European Central Bank.
    14. 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.
    15. Marie Chen & Corey Garriott, 2018. "High-Frequency Trading and Institutional Trading Costs," Staff Working Papers 18-8, Bank of Canada.
    16. 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.
    17. Roşu, Ioanid, 2019. "Fast and slow informed trading," Journal of Financial Markets, Elsevier, vol. 43(C), pages 1-30.
    18. Brolley, Michael & Zoican, Marius, 2023. "Liquid speed: A micro-burst fee for low-latency exchanges," Journal of Financial Markets, Elsevier, vol. 64(C).
    19. Paul Bilokon & Burak Gunduz, 2023. "C++ Design Patterns for Low-latency Applications Including High-frequency Trading," Papers 2309.04259, arXiv.org.
    20. Matteo Aquilina & Sean Foley & Peter O'Neill & Matteo Thomas Ruf, 2023. "Sharks in the dark: quantifying HFT dark pool latency arbitrage," BIS Working Papers 1115, Bank for International Settlements.
    21. 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).
    22. Biais, Bruno & Foucault, Thierry & Moinas, Sophie, 2013. "Equilibrium Fast Trading," TSE Working Papers 13-387, Toulouse School of Economics (TSE), revised Sep 2014.
    23. Chakrabarty, Bidisha & Pascual, Roberto, 2023. "Stock liquidity and algorithmic market making during the COVID-19 crisis," Journal of Banking & Finance, Elsevier, vol. 147(C).
    24. Yamada, Masahiro, 2022. "Profitability and liquidity provision of HFTs during large price shocks: Does relative tick size matter?," Finance Research Letters, Elsevier, vol. 46(PA).
    25. Horst Treiblmaier, 2022. "Do cryptocurrencies really have (no) intrinsic value?," Electronic Markets, Springer;IIM University of St. Gallen, vol. 32(3), pages 1749-1758, September.
    26. Thiago W. Alves & Ionuţ Florescu & Dragoş Bozdog, 2023. "Insights on the Statistics and Market Behavior of Frequent Batch Auctions," Mathematics, MDPI, vol. 11(5), pages 1-26, March.
    27. Michael Brolley & Marius Zoican, 2019. "Liquid Speed: On-Demand Fast Trading at Distributed Exchanges," Papers 1907.10720, arXiv.org.
    28. Poutré, Cédric & Dionne, Georges & Yergeau, Gabriel, 2023. "International high-frequency arbitrage for cross-listed stocks," International Review of Financial Analysis, Elsevier, vol. 89(C).
    29. Viktor Manahov, 2024. "The rapid growth of cryptocurrencies: How profitable is trading in digital money?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 2214-2229, April.
    30. José Antonio Núñez-Mora & Mario Iván Contreras-Valdez & Roberto Joaquín Santillán-Salgado, 2023. "Risk Premium of Bitcoin and Ethereum during the COVID-19 and Non-COVID-19 Periods: A High-Frequency Approach," Mathematics, MDPI, vol. 11(20), pages 1-20, October.
    31. Karolis Liaudinskas, 2022. "Human vs. Machine: Disposition Effect among Algorithmic and Human Day Traders," Working Paper 2022/6, Norges Bank.
    32. Luyao Zhang & Fan Zhang, 2023. "Understand Waiting Time in Transaction Fee Mechanism: An Interdisciplinary Perspective," Papers 2305.02552, arXiv.org.
    33. Glebkin, Sergei & Kuong, John Chi-Fong, 2023. "When large traders create noise," Journal of Financial Economics, Elsevier, vol. 150(2).
    34. 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).
    35. 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.
    36. 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).
    37. 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).
    38. 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.
    39. Chengyu Li & Luyi Shen & Guoqi Qian, 2023. "Online Hybrid Neural Network for Stock Price Prediction: A Case Study of High-Frequency Stock Trading in the Chinese Market," Econometrics, MDPI, vol. 11(2), pages 1-19, May.
    40. Rajiv Sethi & Julie Seager & Emily Cai & Daniel M. Benjamin & Fred Morstatter, 2021. "Models, Markets, and the Forecasting of Elections," Papers 2102.04936, arXiv.org, revised May 2021.
    41. Rama Cont & Arseniy Kukanov, 2017. "Optimal order placement in limit order markets," Quantitative Finance, Taylor & Francis Journals, vol. 17(1), pages 21-39, January.
    42. 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.
    43. 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.
    44. Bidisha Chakrabarty & Pankaj K. Jain & Andriy Shkilko & Konstantin Sokolov, 2021. "Unfiltered Market Access and Liquidity: Evidence from the SEC Rule 15c3-5," Management Science, INFORMS, vol. 67(2), pages 1183-1198, February.
    45. Aït-Sahalia, Yacine & Brunetti, Celso, 2020. "High frequency traders and the price process," Journal of Econometrics, Elsevier, vol. 217(1), pages 20-45.
    46. 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).
    47. Arumugam, Devika & Krishna Prasanna, P., 2021. "Commonality and contrarian trading among algorithmic traders," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).

  3. Ing-Haw Cheng & Andrei Kirilenko & Wei Xiong, 2012. "Convective Risk Flows in Commodity Futures Markets," NBER Working Papers 17921, National Bureau of Economic Research, Inc.

    Cited by:

    1. Lim, Kian Guan & Nomikos, Nikos K. & Yap, Nelson, 2019. "Understanding the fundamentals of freight markets volatility," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 130(C), pages 1-15.
    2. Yan, Lei & Irwin, Scott H. & Sanders, Dwight R., 2017. "Identifying the Impact of Financialization in Commodity Futures Prices from Index Rebalancing," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258504, Agricultural and Applied Economics Association.
    3. Miffre, Joëlle & Brooks, Chris, 2013. "Do long-short speculators destabilize commodity futures markets?," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 230-240.
    4. Nicole M. Aulerich & Scott H. Irwin & Philip Garcia, 2014. "Bubbles, Food Prices, and Speculation: Evidence from the CFTC's Daily Large Trader Data Files," NBER Chapters, in: The Economics of Food Price Volatility, pages 211-253, National Bureau of Economic Research, Inc.
    5. Maryam Ahmadi & Niaz Bashiri Behmiri & Matteo Manera, 2020. "The theory of storage in the crude oil futures market, the role of financial conditions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1160-1175, July.
    6. Mo, Xuan & Su, Zhi & Yin, Libo, 2019. "Can the skewness of oil returns affect stock returns? Evidence from China’s A-Share markets," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    7. Yan, Lei & Irwin, Scott H. & Sanders, Dwight R., "undated". "The Relationship between Commodity Investment Flows and Crude Oil Futures Prices: Real or Spurious?," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235933, Agricultural and Applied Economics Association.
    8. Bonnier, Jean-Baptiste, 2021. "Speculation and informational efficiency in commodity futures markets," Journal of International Money and Finance, Elsevier, vol. 117(C).
    9. Camille Aït-Youcef, 2019. "How index investment impacts commodities : A story about the financialization of agricultural commodities," Post-Print hal-03484371, HAL.
    10. Rhys ap Gwilym & M. Shahid Ebrahim & Abdelkader O. El Alaoui & Hamid Rahman & Abderrahim Taamouti, 2019. "Financial Frictions and the Futures Pricing Puzzle," Working Papers 2019_07, Durham University Business School.
    11. Xingguo Luo & Yuting Lin & Xiaoli Yu & Feng He, 2021. "How trading in commodity futures option markets impacts commodity futures prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1333-1347, August.
    12. Vayanos, Dimitri & Kondor, Péter, 2014. "Liquidity Risk and the Dynamics of Arbitrage Capital," CEPR Discussion Papers 9885, C.E.P.R. Discussion Papers.
    13. Bannigidadmath, Deepa & Narayan, Paresh Kumar, 2021. "Economic news and the cross-section of commodity futures returns," Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).
    14. Raza, Syed Ali & Masood, Amna & Benkraiem, Ramzi & Urom, Christian, 2023. "Forecasting the volatility of precious metals prices with global economic policy uncertainty in pre and during the COVID-19 period: Novel evidence from the GARCH-MIDAS approach," Energy Economics, Elsevier, vol. 120(C).
    15. Davide, Marinella & Vesco, Paola, 2016. "Alternative Approaches for Rating INDCs: a Comparative Analysis," MITP: Mitigation, Innovation and Transformation Pathways 232716, Fondazione Eni Enrico Mattei (FEEM).
    16. Algieri, Bernardina & Leccadito, Arturo, 2019. "Price volatility and speculative activities in futures commodity markets: A combination of combinations of p-values test," Journal of Commodity Markets, Elsevier, vol. 13(C), pages 40-54.
    17. Büyükşahin, Bahattin & Robe, Michel A., 2014. "Speculators, commodities and cross-market linkages," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 38-70.
    18. Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Gonzalez-Fernandez, Marcos & Miffre, Joelle, 2020. "Fear of hazards in commodity futures markets," Journal of Banking & Finance, Elsevier, vol. 119(C).
    19. Mokni, Khaled & Al-Shboul, Mohammed & Assaf, Ata, 2021. "Economic policy uncertainty and dynamic spillover among precious metals under market conditions: Does COVID-19 have any effects?," Resources Policy, Elsevier, vol. 74(C).
    20. Lyócsa, Štefan & Molnár, Peter & Todorova, Neda, 2017. "Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 228-247.
    21. Branger, Nicole & Grüning, Patrick & Schlag, Christian, 2016. "Commodities, financialization, and heterogeneous agents," SAFE Working Paper Series 131, Leibniz Institute for Financial Research SAFE.
    22. Baldi, Lucia & Peri, Massimo & Vandone, Daniela, 2016. "Stock markets’ bubbles burst and volatility spillovers in agricultural commodity markets," Research in International Business and Finance, Elsevier, vol. 38(C), pages 277-285.
    23. Mohammad Isleimeyyeh, 2020. "The role of financial investors in determining the commodity futures risk premium," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(9), pages 1375-1397, September.
    24. Conghui Hu & Zhibing Li & Xiaoyu Liu, 2020. "Liquidity shocks, commodity financialization, and market comovements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(9), pages 1315-1336, September.
    25. Boos, Dominik & Grob, Linus, 2023. "Tracking speculative trading," Journal of Financial Markets, Elsevier, vol. 64(C).
    26. Wu, Lei & Zeng, Hongchao, 2019. "The impact of liquidity constraints on the cash-futures basis dynamics: Evidence from the Chinese market," Economic Modelling, Elsevier, vol. 83(C), pages 96-110.
    27. Michael Hachula & Malte Rieth, 2015. "Finanzspekulation und Rohstoffpreise," DIW Roundup: Politik im Fokus 63, DIW Berlin, German Institute for Economic Research.
    28. Ing-Haw Cheng & Wei Xiong, 2013. "Why Do Hedgers Trade So Much?," NBER Working Papers 19670, National Bureau of Economic Research, Inc.
    29. Batista Soares, David & Borocco, Etienne, 2022. "Rational destabilization in commodity markets," Journal of Commodity Markets, Elsevier, vol. 25(C).
    30. Annastiina Silvennoinen & Susan Thorp, 2015. "Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics," NCER Working Paper Series 109, National Centre for Econometric Research.
    31. Ing-Haw Cheng & Wei Xiong, 2014. "Financialization of Commodity Markets," Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 419-441, December.
    32. Figuerola-Ferretti, Isabel & McCrorie, J. Roderick & Paraskevopoulos, Ioannis, 2020. "Mild explosivity in recent crude oil prices," Energy Economics, Elsevier, vol. 87(C).
    33. Gert Peersman & Sebastian K. Rüth & Wouter Van der Veken, 2019. "The Interplay between Oil and Food Commodity Prices: Has It Changed over Time?," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 19/978, Ghent University, Faculty of Economics and Business Administration.
    34. Irwin, Scott H., 2012. "Does the Masters Hypothesis Explain Recent Food Price Spikes?," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 126877, International Association of Agricultural Economists.
    35. Wen, Xiaoqian & Xie, Yuxin & Pantelous, Athanasios A., 2022. "Extreme price co-movement of commodity futures and industrial production growth: An empirical evaluation," Energy Economics, Elsevier, vol. 108(C).
    36. Lyu, Yongjian & Yi, Heling & Hu, Yingyi & Yang, Mo, 2021. "Economic uncertainty shocks and China's commodity futures returns: A time-varying perspective," Resources Policy, Elsevier, vol. 70(C).
    37. KANAMURA Takashi, 2018. "Diversification Effect of Commodity Futures on Financial Markets," Discussion papers 18019, Research Institute of Economy, Trade and Industry (RIETI).
    38. Sanders, Dwight R. & Irwin, Scott H., 2014. "Energy futures prices and commodity index investment: New evidence from firm-level position data," Energy Economics, Elsevier, vol. 46(S1), pages 57-68.
    39. Adams, Zeno & Glück, Thorsten, 2013. "Financialization in Commodity Markets: Disentangling the Crisis from the Style Effect," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79949, Verein für Socialpolitik / German Economic Association.
    40. Xiao, Qin & Yan, Meilan & Zhang, Dalu, 2023. "Commodity market financialization, herding and signals: An asymmetric GARCH R-vine copula approach," International Review of Financial Analysis, Elsevier, vol. 89(C).
    41. Janzen, Joseph P. & Merener, Nicolas, "undated". "Supply Shocks, Futures Prices, and Trader Positions," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205622, Agricultural and Applied Economics Association.
    42. Tröster, Bernhard & Gunter, Ulrich, 2022. "Trading for speculators: The role of physical actors in the financialization of coffee, cocoa and cotton value chains," Working Papers 68, Austrian Foundation for Development Research (ÖFSE).
    43. Bernhard Tröster & Ulrich Gunter, 2023. "The Financialization of Coffee, Cocoa and Cotton Value Chains: The Role of Physical Actors," Development and Change, International Institute of Social Studies, vol. 54(6), pages 1550-1574, November.
    44. Jean-François Carpantier, 2021. "Commodity Prices in Empirical Research," Dynamic Modeling and Econometrics in Economics and Finance, in: Gilles Dufrénot & Takashi Matsuki (ed.), Recent Econometric Techniques for Macroeconomic and Financial Data, pages 199-227, Springer.
    45. James D. Hamilton & Jing Cynthia Wu, 2014. "Effects of Index-Fund Investing on Commodity Futures Prices," NBER Working Papers 19892, National Bureau of Economic Research, Inc.
    46. Lehecka, G., 2014. "Have food and financial markets integrated? An empirical assessment on aggregate data," Proceedings “Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e.V.”, German Association of Agricultural Economists (GEWISOLA), vol. 49, March.
    47. Karin Martín-Bujack & Isabel Figuerola-Ferretti & Teresa Corzo & Ioannis Paraskevopoulos, 2022. "Building Knowledge in the Oil Market," SAGE Open, , vol. 12(1), pages 21582440211, January.
    48. Fernandez-Perez, Adrian & Indriawan, Ivan & Tse, Yiuman & Xu, Yahua, 2023. "Cross-asset time-series momentum: Crude oil volatility and global stock markets," Journal of Banking & Finance, Elsevier, vol. 154(C).
    49. Bianchi, Robert J. & Fan, John Hua & Todorova, Neda, 2020. "Financialization and de-financialization of commodity futures: A quantile regression approach," International Review of Financial Analysis, Elsevier, vol. 68(C).
    50. Dudda, Tom L. & Klein, Tony & Nguyen, Duc Khuong & Walther, Thomas, 2022. "Common Drivers of Commodity Futures?," QBS Working Paper Series 2022/05, Queen's University Belfast, Queen's Business School.
    51. Liu, Lu & Zhang, Xiang, 2019. "Financialization and commodity excess spillovers," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 195-216.
    52. Itay Goldstein & Liyan Yang, 2022. "Commodity Financialization and Information Transmission," Journal of Finance, American Finance Association, vol. 77(5), pages 2613-2667, October.
    53. Lyu, Yongjian & Tuo, Siwei & Wei, Yu & Yang, Mo, 2021. "Time-varying effects of global economic policy uncertainty shocks on crude oil price volatility：New evidence," Resources Policy, Elsevier, vol. 70(C).
    54. Gao, Lin & Süss, Stephan, 2015. "Market sentiment in commodity futures returns," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 84-103.
    55. Yan, Lei & Irwin, Scott H. & Sanders, Dwight R., 2022. "Sunshine vs. predatory trading effects in commodity futures markets: New evidence from index rebalancing," Journal of Commodity Markets, Elsevier, vol. 26(C).
    56. Badshah, Ihsan & Demirer, Riza & Suleman, Muhammad Tahir, 2019. "The effect of economic policy uncertainty on stock-commodity correlations and its implications on optimal hedging," Energy Economics, Elsevier, vol. 84(C).
    57. Lyu, Yongjian & Wei, Yu & Hu, Yingyi & Yang, Mo, 2021. "Good volatility, bad volatility and economic uncertainty: Evidence from the crude oil futures market," Energy, Elsevier, vol. 222(C).
    58. Bohl, Martin T. & Irwin, Scott H. & Pütz, Alexander & Sulewski, Christoph, 2023. "The impact of financialization on the efficiency of commodity futures markets," Journal of Commodity Markets, Elsevier, vol. 31(C).
    59. Nikolaos T. Milonas & Evangelia K. Photina, 2024. "The convenience yield under commodity financialization," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(4), pages 631-652, April.
    60. Barras, Laurent & Malkhozov, Aytek, 2016. "Does variance risk have two prices? Evidence from the equity and option markets," Journal of Financial Economics, Elsevier, vol. 121(1), pages 79-92.
    61. Steven J. Cochran & Iqbal Mansur & Babatunde Odusami, 2016. "Conditional higher order moments in metal asset returns," Quantitative Finance, Taylor & Francis Journals, vol. 16(1), pages 151-167, January.
    62. Reboredo, Juan C. & Uddin, Gazi Salah, 2016. "Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 284-298.
    63. Jaehwan Park & Byungkwon Lim, 2018. "Testing Efficiency of the London Metal Exchange: New Evidence," IJFS, MDPI, vol. 6(1), pages 1-10, March.
    64. Li, Bingxin, 2018. "Speculation, risk aversion, and risk premiums in the crude oil market," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 64-81.
    65. Christian A. Conrad, 2023. "Speculation in Food and Commodities - A Research Report: A Critical Discussion of the Econometric Research Method and an Alternative Analysis," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 15(6), pages 1-14, June.
    66. Niaz Bashiri Behmiri, Maryam Ahmadi, Juha-Pekka Junttila, and Matteo Manera, 2021. "Financial Stress and Basis in Energy Markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
    67. Pankaj K. Jain & Ayla Kayhan & Esen Onur, 2024. "Determinants of commodity market liquidity," The Financial Review, Eastern Finance Association, vol. 59(1), pages 9-30, February.
    68. Ana I. Sanjuán-López & Philip J. Dawson, 2017. "Volatility Effects of Index Trading and Spillovers on US Agricultural Futures Markets: A Multivariate GARCH Approach," Journal of Agricultural Economics, Wiley Blackwell, vol. 68(3), pages 822-838, September.
    69. Shimeng Shi, 2022. "Bitcoin futures risk premia," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2190-2217, December.
    70. Robert Czudaj, 2019. "Crude oil futures trading and uncertainty," Chemnitz Economic Papers 027, Department of Economics, Chemnitz University of Technology, revised Jan 2019.
    71. Niaz Bashiri Behmiri & Matteo Manera & Marcella Nicolini, 2016. "Understanding Dynamic Conditional Correlations between Commodities Futures Markets," Working Papers 2016.17, Fondazione Eni Enrico Mattei.
    72. Heidorn, Thomas & Mokinski, Frieder & Rühl, Christoph & Schmaltz, Christian, 2014. "The impact of fundamental and financial traders on the term structure of oil," Frankfurt School - Working Paper Series 209, Frankfurt School of Finance and Management.
    73. Algieri, Bernardina, 2018. "A Journey Through the History of Commodity Derivatives Markets and the Political Economy of (De)Regulation," Discussion Papers 281139, University of Bonn, Center for Development Research (ZEF).
    74. Algieri, Bernardina & Kalkuhl, Matthias & Koch, Nicolas, 2015. "A Tale for Two Tails: Explaining Extreme Events in Financialized Agricultural markets," 2015 Conference (59th), February 10-13, 2015, Rotorua, New Zealand 202529, Australian Agricultural and Resource Economics Society.
    75. Ordu-Akkaya, Beyza Mina & Soytas, Ugur, 2020. "Does foreign portfolio investment strengthen stock-commodity markets connection?," Resources Policy, Elsevier, vol. 65(C).
    76. Filippo Natoli, 2021. "Financialization Of Commodities Before And After The Great Financial Crisis," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 488-511, April.
    77. Viral V. Acharya & Lars A. Lochstoer & Tarun Ramadorai, 2011. "Limits to Arbitrage and Hedging: Evidence from Commodity Markets," NBER Working Papers 16875, National Bureau of Economic Research, Inc.
    78. Bierbaumer, Daniel & Rieth, Malte & Velinov, Anton, 2021. "The state-dependent trading behavior of banks in the oil futures market," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 1011-1024.
    79. Awan, Obaid A., 2019. "Price discovery or noise: The role of arbitrage and speculation in explaining crude oil price behaviour," Journal of Commodity Markets, Elsevier, vol. 16(C).
    80. Matteo Bonato & Luca Taschini, 2016. "Comovement and the financialization of commodities," GRI Working Papers 215, Grantham Research Institute on Climate Change and the Environment.
    81. Uddin, Gazi Salah & Bekiros, Stelios & Ahmed, Ali, 2018. "The nexus between geopolitical uncertainty and crude oil markets: An entropy-based wavelet analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 495(C), pages 30-39.
    82. Brunetti, Celso & Büyükşahin, Bahattin & Harris, Jeffrey H., 2016. "Speculators, Prices, and Market Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 51(5), pages 1545-1574, October.
    83. Mixon, Scott & Onur, Esen & Riggs, Lynn, 2018. "Integrating swaps and futures: A new direction for commodity research," Journal of Commodity Markets, Elsevier, vol. 10(C), pages 3-21.
    84. Covindassamy, Genevre & Robe, Michel A. & Wallen, Jonathan, 2016. "Sugar With Your Coffee?: Financials, Fundamentals, and Soft Price Uncertainty," IDB Publications (Working Papers) 8588, Inter-American Development Bank.
    85. Koch, Nicolas, 2014. "Tail events: A new approach to understanding extreme energy commodity prices," Energy Economics, Elsevier, vol. 43(C), pages 195-205.
    86. Takashi Kanamura, 2023. "Portfolio diversification and sustainable assets from new perspectives," Journal of Asset Management, Palgrave Macmillan, vol. 24(7), pages 581-600, December.
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    92. Wimmer, Thomas & Geyer-Klingeberg, Jerome & Hütter, Marie & Schmid, Florian & Rathgeber, Andreas, 2021. "The impact of speculation on commodity prices: A Meta-Granger analysis," Journal of Commodity Markets, Elsevier, vol. 22(C).
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    94. Lyu, Yongjian & Yi, Heling & Wei, Yu & Yang, Mo, 2021. "Revisiting the role of economic uncertainty in oil price fluctuations: Evidence from a new time-varying oil market model," Economic Modelling, Elsevier, vol. 103(C).
    95. Bernardina Algieri, 2021. "Fast & furious: Do psychological and legal factors affect commodity price volatility?," The World Economy, Wiley Blackwell, vol. 44(4), pages 980-1017, April.
    96. Jacobs, Keri & Li, Ziran & Hayes, Dermot, 2016. "Price responses in forward contracting: do we limit the upside and expose the downside?," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235539, Agricultural and Applied Economics Association.
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    98. Chatziantoniou, Ioannis & Filippidis, Michail & Filis, George & Gabauer, David, 2021. "A closer look into the global determinants of oil price volatility," Energy Economics, Elsevier, vol. 95(C).
    99. Christina Sklibosios Nikitopoulos & Alice Carole Thomas & Jianxin Wang, 2024. "Hedging pressure and oil volatility: Insurance versus liquidity demands," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(2), pages 252-280, February.
    100. Berger, Theo & Czudaj, Robert L., 2020. "Commodity futures and a wavelet-based risk assessment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
    101. Ordu-Akkaya, Beyza Mina & Soytas, Ugur, 2020. "Unconventional monetary policy and financialization of commodities," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
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    105. Das, Debojyoti & Kumar, Surya Bhushan & Tiwari, Aviral Kumar & Shahbaz, Muhammad & Hasim, Haslifah M., 2018. "On the relationship of gold, crude oil, stocks with financial stress: A causality-in-quantiles approach," Finance Research Letters, Elsevier, vol. 27(C), pages 169-174.
    106. Silvennoinen, Annastiina & Thorp, Susan, 2013. "Financialization, crisis and commodity correlation dynamics," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 42-65.
    107. Bredin, Don & O'Sullivan, Conall & Spencer, Simon, 2021. "Forecasting WTI crude oil futures returns: Does the term structure help?," Energy Economics, Elsevier, vol. 100(C).
    108. Jun Yuan & Qi Xu & Ying Wang, 2023. "Probability weighting in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(4), pages 516-548, April.
    109. Yan, Lei & Irwin, Scott H. & Sanders, Dwight R., 2018. "Mapping algorithms, agricultural futures, and the relationship between commodity investment flows and crude oil futures prices," Energy Economics, Elsevier, vol. 72(C), pages 486-504.
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    111. Ivan, Miruna-Daniela & Banti, Chiara & Kellard, Neil, 2022. "Prime money market funds regulation, global liquidity, and the crude oil market," Journal of International Money and Finance, Elsevier, vol. 127(C).
    112. Michael Hachula & Malte Rieth, 2020. "Estimating the Impact of Financial Investments on Agricultural Futures Prices using Changes in Volatility," American Journal of Agricultural Economics, John Wiley & Sons, vol. 102(3), pages 759-785, May.
    113. Boyd, Naomi E. & Harris, Jeffrey H. & Li, Bingxin, 2018. "An update on speculation and financialization in commodity markets," Journal of Commodity Markets, Elsevier, vol. 10(C), pages 91-104.
    114. Loïc Maréchal, 2023. "A tale of two premiums revisited," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(5), pages 580-614, May.
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    120. Brian J. Henderson & Neil D. Pearson & Li Wang, 2015. "Editor's Choice New Evidence on the Financialization of Commodity Markets," The Review of Financial Studies, Society for Financial Studies, vol. 28(5), pages 1285-1311.
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  4. Ethan Cohen-Cole & Andrei Kirilenko & Eleonora Patacchini, 2010. "Are Networks Priced? Network Topology and Order Trading Strategies in High Liquidity Markets," EIEF Working Papers Series 1011, Einaudi Institute for Economics and Finance (EIEF), revised Apr 2010.

    Cited by:

    1. Henry, Jérôme & Zimmermann, Maik & Leber, Miha & Kolb, Markus & Grodzicki, Maciej & Amzallag, Adrien & Vouldis, Angelos & Hałaj, Grzegorz & Pancaro, Cosimo & Gross, Marco & Baudino, Patrizia & Sydow, , 2013. "A macro stress testing framework for assessing systemic risks in the banking sector," Occasional Paper Series 152, European Central Bank.
    2. Silvia Gabrieli, 2011. "The microstructure of the money market before and after the financial crisis: a network perspective," CEIS Research Paper 181, Tor Vergata University, CEIS, revised 19 Jan 2011.
    3. Cohen-Cole, Ethan & Patacchini, Eleonora & Zenou, Yves, 2011. "Systemic Risk and Network Formation in the Interbank Market," Research Papers in Economics 2011:6, Stockholm University, Department of Economics.
    4. Gabrieli, S., 2012. "Too-connected versus too-big-to-fail: banks’ network centrality and overnight interest rates," Working papers 398, Banque de France.

  5. Jorge Baca-Campodónico & Luiz de Mello & Andrei Kirilenko, 2006. "The Rates and Revenue of Bank Transaction Taxes," OECD Economics Department Working Papers 494, OECD Publishing.

    Cited by:

    1. Andrés Murcia Pabón, 2007. "Determinantes del acceso al crédito de los hogares colombianos," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 25(55), pages 40-83, December.
    2. Ms. Thornton Matheson, 2011. "Taxing Financial Transactions: Issues and Evidence," IMF Working Papers 2011/054, International Monetary Fund.
    3. Ignacio Lozano-Espitia & Hernando Vargas-Herrera & Norberto Rodríguez-Niño, 2017. "Financial transaction tax and banking margins: An empirical note for Colombia," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 35(83), pages 154-160, June.
    4. Restrepo, Felipe, 2019. "The effects of taxing bank transactions on bank credit and industrial growth: Evidence from Latin America," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 335-355.
    5. Martínez-Vázquez, Jorge & Vulovic, Violeta, 2011. "Tax structure in Latin America: its impact on the real economy and compliance," Research Department working papers 224, CAF Development Bank Of Latinamerica.
    6. Lucia Pacheco & Liliana Rojas-Suarez, 2017. "An Index of Regulatory Practices for Financial Inclusion in Latin America," Working Papers 17/15, BBVA Bank, Economic Research Department.
    7. Serra, José & Afonso, José Roberto Rodrigues, 2007. "Tributação, seguridade e coesão social no Brasil," Políticas Sociales 6140, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).

Articles

  1. Baron, Matthew & Brogaard, Jonathan & Hagströmer, Björn & Kirilenko, Andrei, 2019. "Risk and Return in High-Frequency Trading," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(3), pages 993-1024, June.
    See citations under working paper version above.
  2. Andrei Kirilenko & Albert S. Kyle & Mehrdad Samadi & Tugkan Tuzun, 2017. "The Flash Crash: High-Frequency Trading in an Electronic Market," Journal of Finance, American Finance Association, vol. 72(3), pages 967-998, June.

    Cited by:

    1. Kharma, Céline & Eugster, Nicolas, 2021. "Is competition beneficial? The case of exchange traded funds," International Review of Financial Analysis, Elsevier, vol. 76(C).
    2. Gunther Capelle-Blancard, 2018. "What is the Point of (the Hundreds of Thousands of Billions of) Stock Transactions?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03029284, HAL.
    3. Vasilios Mavroudis, 2019. "Market Manipulation as a Security Problem," Papers 1903.12458, arXiv.org.
    4. Rama Cont & Marvin S. Mueller, 2019. "A stochastic partial differential equation model for limit order book dynamics," Papers 1904.03058, arXiv.org, revised May 2021.
    5. Borch, Christian, 2022. "Machine learning, knowledge risk, and principal-agent problems in automated trading," Technology in Society, Elsevier, vol. 68(C).
    6. Kyle, Albert S. & Obizhaeva, Anna A. & Tuzun, Tugkan, 2020. "Microstructure invariance in U.S. stock market trades," Journal of Financial Markets, Elsevier, vol. 49(C).
    7. Iryna Veryzhenko & Arthur Jonath & Etienne Harb, 2020. "Non-Value-Added Tax to Improve Market Fairness," Working Papers hal-02881064, HAL.
    8. Iryna Veryzhenko & Arthur Jonath & Etienne Harb, 2022. "Non-Value-Added Tax to improve market fairness and quality," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-30, December.
    9. 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.
    10. 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.
    11. 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".
    12. 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).
    13. Pankaj Kumar, 2021. "Deep Hawkes Process for High-Frequency Market Making," Papers 2109.15110, arXiv.org.
    14. Söhnke M. Bartram & Jürgen Branke & Mehrshad Motahari, 2020. "Artificial intelligence in asset management," Working Papers 20202001, Cambridge Judge Business School, University of Cambridge.
    15. Jagannathan, Ravi & Pelizzon, Loriana & Schaumburg, Ernst & Getmansky Sherman, Mila & Yuferova, Darya, 2021. "Recovery from fast crashes: Role of mutual funds," SAFE Working Paper Series 227, Leibniz Institute for Financial Research SAFE, revised 2021.
    16. Christensen, Kim & Oomen, Roel & Renò, Roberto, 2022. "The drift burst hypothesis," Journal of Econometrics, Elsevier, vol. 227(2), pages 461-497.
    17. Stavros Degiannakis & George Filis & Grigorios Siourounis & Lorenzo Trapani, 2023. "Superkurtosis," Working Papers 318, Bank of Greece.
      • Degiannakis, Stavros & Filis, George & Siourounis, Grigorios & Trapani, Lorenzo, 2019. "Superkurtosis," MPRA Paper 96563, University Library of Munich, Germany.
      • Stavros Degiannakis & George Filis & Grigorios Siourounis & Lorenzo Trapani, 2023. "Superkurtosis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(8), pages 2061-2091, December.
      • Degiannakis, Stavros & Filis, George & Siourounis, Grigorios & Trapani, Lorenzo, 2019. "Superkurtosis," MPRA Paper 94473, University Library of Munich, Germany.
    18. 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.
    19. Carlos Castro & Diego A. Agudelo & Sergio Preciado, 2018. "Measuring the effectiveness of volatility auctions," Documentos de Trabajo de Valor Público 16988, Universidad EAFIT.
    20. 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.
    21. 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.
    22. Murinde, Victor & Rizopoulos, Efthymios & Zachariadis, Markos, 2022. "The impact of the FinTech revolution on the future of banking: Opportunities and risks," International Review of Financial Analysis, Elsevier, vol. 81(C).
    23. Joseph, Andreas & Vasios, Michalis, 2022. "OTC Microstructure in a period of stress: A Multi-layered network approach," Journal of Banking & Finance, Elsevier, vol. 138(C).
    24. Wang, Keli & Liu, Xiaoquan & Ye, Wuyi, 2023. "Intraday VaR: A copula-based approach," Journal of Empirical Finance, Elsevier, vol. 74(C).
    25. Marcello Rambaldi & Emmanuel Bacry & Jean-Franc{c}ois Muzy, 2018. "Disentangling and quantifying market participant volatility contributions," Papers 1807.07036, arXiv.org.
    26. 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).
    27. 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.
    28. Yamada, Masahiro & Ito, Takatoshi, 2022. "Price discovery and liquidity recovery: Forex market reactions to macro announcements," Journal of International Money and Finance, Elsevier, vol. 120(C).
    29. Rama Cont & Alessandro Micheli & Eyal Neuman, 2022. "Fast and Slow Optimal Trading with Exogenous Information," Papers 2210.01901, arXiv.org, revised Jun 2023.
    30. Nicholas Hirschey, 2021. "Do High-Frequency Traders Anticipate Buying and Selling Pressure?," Management Science, INFORMS, vol. 67(6), pages 3321-3345, June.
    31. Xusen Cheng & Danya Huang & Jin Chen & Xiangsong Meng & Chengyao Li, 2019. "An Investigation on Factors Affecting Stock Valuation Using Text Mining for Automated Trading," Sustainability, MDPI, vol. 11(7), pages 1-17, April.
    32. 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.
    33. Wilkoff, Sean & Yildiz, Serhat, 2023. "The behavior and determinants of illiquidity in the non-fungible tokens (NFTs) market," Global Finance Journal, Elsevier, vol. 55(C).
    34. 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.
    35. Masahiro Yamada & Takatoshi Ito, 2020. "Price Discovery and Liquidity Recovery: Forex Market Reactions to Macro Announcements," NBER Working Papers 27036, National Bureau of Economic Research, Inc.
    36. Bogousslavsky, Vincent & Collin-Dufresne, Pierre & Sağlam, Mehmet, 2021. "Slow-moving capital and execution costs: Evidence from a major trading glitch," Journal of Financial Economics, Elsevier, vol. 139(3), pages 922-949.
    37. 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.
    38. 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.
    39. David Saltiel & Eric Benhamou, 2018. "Trade Selection with Supervised Learning and OCA," Papers 1812.04486, arXiv.org.
    40. Xu, Hai-Chuan & Zhang, Wei & Xiong, Xiong & Wang, Xue & Zhou, Wei-Xing, 2021. "The double-edged role of social learning: Flash crash and lower total volatility," Journal of Economic Behavior & Organization, Elsevier, vol. 182(C), pages 405-420.
    41. Laure Batz, 2023. "Financial market enforcement in France," European Journal of Law and Economics, Springer, vol. 55(3), pages 409-468, June.
    42. Butler, David & Cheung, Stephen L., 2018. "Mind, Body, Bubble! Psychological and Biophysical Dimensions of Behavior in Experimental Asset Markets," IZA Discussion Papers 11563, Institute of Labor Economics (IZA).
    43. 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).
    44. Breckenfelder, Johannes, 2019. "Competition among high-frequency traders, and market quality," Working Paper Series 2290, European Central Bank.
    45. 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).
    46. 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).
    47. Marie Chen & Corey Garriott, 2018. "High-Frequency Trading and Institutional Trading Costs," Staff Working Papers 18-8, Bank of Canada.
    48. Benjamin Patrick Evans & Mikhail Prokopenko, 2022. "Bounded strategic reasoning explains crisis emergence in multi-agent market games," Papers 2206.05568, arXiv.org.
    49. 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.
    50. Emiliano Pagnotta & Thomas Philippon, 2011. "Competing on Speed," NBER Working Papers 17652, National Bureau of Economic Research, Inc.
    51. Roşu, Ioanid, 2019. "Fast and slow informed trading," Journal of Financial Markets, Elsevier, vol. 43(C), pages 1-30.
    52. 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.
    53. Sensoy, Ahmet & Serdengeçti, Süleyman, 2020. "Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market," International Review of Financial Analysis, Elsevier, vol. 68(C).
    54. Foucault, Thierry & Moinas, Sophie, 2018. "Is Trading Fast Dangerous?," TSE Working Papers 18-881, Toulouse School of Economics (TSE).
    55. Karvik, Geir-Are & Noss, Joseph & Worlidge, Jack & Beale, Daniel, 2018. "The deeds of speed: an agent-based model of market liquidity and flash episodes," Bank of England working papers 743, Bank of England.
    56. Matteo Aquilina & Sean Foley & Peter O'Neill & Matteo Thomas Ruf, 2023. "Sharks in the dark: quantifying HFT dark pool latency arbitrage," BIS Working Papers 1115, Bank for International Settlements.
    57. Bernales, Alejandro, 2019. "Make-take decisions under high-frequency trading competition," Journal of Financial Markets, Elsevier, vol. 45(C), pages 1-18.
    58. Degryse, Hans & De Winne, Rudy & Gresse, Carole & Payne, Richard, 2019. "Cross-Venue Liquidity Provision: High Frequency Trading and Ghost Liquidity," LIDAM Discussion Papers LFIN 2019001, Université catholique de Louvain, Louvain Finance (LFIN).
    59. Corgnet, Brice & DeSantis, Mark & Siemroth, Christoph, 2023. "Algorithmic Trading, Price Efficiency and Welfare: An Experimental Approach," Economics Discussion Papers 36273, University of Essex, Department of Economics.
    60. Chakrabarty, Bidisha & Pascual, Roberto, 2023. "Stock liquidity and algorithmic market making during the COVID-19 crisis," Journal of Banking & Finance, Elsevier, vol. 147(C).
    61. Vasilios Mavroudis & Hayden Melton, 2019. "Libra: Fair Order-Matching for Electronic Financial Exchanges," Papers 1910.00321, arXiv.org.
    62. Rama Cont & Marvin Muller, 2019. "A Stochastic Pde Model For Limit Order Book Dynamics," Working Papers hal-02090449, HAL.
    63. 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.
    64. Yamada, Masahiro, 2022. "Profitability and liquidity provision of HFTs during large price shocks: Does relative tick size matter?," Finance Research Letters, Elsevier, vol. 46(PA).
    65. 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.
    66. Marszk, Adam & Lechman, Ewa, 2021. "Reshaping financial systems: The role of ICT in the diffusion of financial innovations – Recent evidence from European countries," Technological Forecasting and Social Change, Elsevier, vol. 167(C).
    67. 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).
    68. Joseph, Andreas & Vasios, Michalis & Maizels, Olga & Shreyas, Ujwal & Tanner, John, 2019. "OTC microstructure in a period of stress: a multi‑layered network approach," Bank of England working papers 832, Bank of England.
    69. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Endogenous Liquidity Crises," Post-Print hal-02567495, HAL.
    70. 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.
    71. 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).
    72. Sadoghi, Amirhossein & Vecer, Jan, 2022. "Optimal liquidation problem in illiquid markets," European Journal of Operational Research, Elsevier, vol. 296(3), pages 1050-1066.
    73. 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.
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    75. Jin, Miao & Liu, Yu-Jane & Meng, Juanjuan, 2019. "Fat-finger event and risk-taking behavior," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 126-143.
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    129. Abdi, Farshid & Kormanyos, Emily & Pelizzon, Loriana & Getmansky, Mila & Simon, Zorka, 2021. "Market impact of government communication: The case of presidential tweets," SAFE Working Paper Series 314, Leibniz Institute for Financial Research SAFE, revised 2021.
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    132. 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.
    133. 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).
    134. 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).
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    139. Tsai, I-Chun, 2018. "Flash crash and policy uncertainty," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 57(C), pages 248-260.
    140. Bentes, Sónia R., 2022. "On the stylized facts of precious metals’ volatility: A comparative analysis of pre- and during COVID-19 crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 600(C).
    141. Diego A. Agudelo & Sergio Preciado & Carlos Castro, 2018. "Measuring the effectiveness of volatility auctions," Documentos de Trabajo de Valor Público 16943, Universidad EAFIT.
    142. Takuo Higashide & Katsuyuki Tanaka & Takuji Kinkyo & Shigeyuki Hamori, 2021. "New Dataset for Forecasting Realized Volatility: Is the Tokyo Stock Exchange Co-Location Dataset Helpful for Expansion of the Heterogeneous Autoregressive Model in the Japanese Stock Market?," JRFM, MDPI, vol. 14(5), pages 1-18, May.
    143. 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.
    144. Corbet, Shaen & Larkin, Charles & Lucey, Brian, 2020. "The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies," Finance Research Letters, Elsevier, vol. 35(C).
    145. Thiago W. Alves & Ionut Florescu & George Calhoun & Dragos Bozdog, 2020. "SHIFT: A Highly Realistic Financial Market Simulation Platform," Papers 2002.11158, arXiv.org, revised Aug 2020.
    146. Steffen, Viktoria, 2023. "A literature review on extreme price movements with reversal," Journal of Behavioral and Experimental Finance, Elsevier, vol. 38(C).
    147. 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).
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    149. Benjamin Clapham & Martin Haferkorn & Kai Zimmermann, 2023. "The Impact of High-Frequency Trading on Modern Securities Markets," Business & Information Systems Engineering: The International Journal of WIRTSCHAFTSINFORMATIK, Springer;Gesellschaft für Informatik e.V. (GI), vol. 65(1), pages 7-24, February.
    150. Ulze, Markus & Stadler, Johannes & Rathgeber, Andreas W., 2021. "No country for old distributions? On the comparison of implied option parameters between the Brownian motion and variance gamma process," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 163-184.
    151. 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).
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    156. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events," Papers 2005.05730, arXiv.org.
    157. Stefan Zeranski & Ibrahim E. Sancak, 2021. "Prudential supervisory disclosure (PSD) with supervisory technology (SupTech): lessons from a FinTech crisis," International Journal of Disclosure and Governance, Palgrave Macmillan, vol. 18(4), pages 315-335, December.
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    163. Kun Li, 2018. "Do high-frequency fleeting orders exacerbate market illiquidity?," Electronic Commerce Research, Springer, vol. 18(2), pages 241-255, June.
    164. Vasilios Mavroudis, 2019. "Bounded Temporal Fairness for FIFO Financial Markets," Papers 1911.09209, arXiv.org.
    165. Gianluca P. M. Virgilio, 2022. "A theory of very short-time price change: security price drivers in times of high-frequency trading," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-34, December.

  3. Lada Adamic & Celso Brunetti & Jeffrey H. Harris & Andrei Kirilenko, 2017. "Trading networks," Econometrics Journal, Royal Economic Society, vol. 20(3), pages 126-149, October.

    Cited by:

    1. Li, Ming-Xia & Jiang, Zhi-Qiang & Xie, Wen-Jie & Xiong, Xiong & Zhang, Wei & Zhou, Wei-Xing, 2015. "Unveiling correlations between financial variables and topological metrics of trading networks: Evidence from a stock and its warrant," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 575-584.
    2. Bertrand Candelon & Laurent Ferrara & Marc Joëts, 2017. "Global Financial Interconnectedness: A nonlinear Assessment of the Uncertainty Channel," Post-Print hal-01667126, HAL.
    3. Diebold, Francis X. & Yilmaz, Kamil, 2015. "Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring," OUP Catalogue, Oxford University Press, number 9780199338306, Decembrie.
    4. Wen-Jie Xie & Ming-Xia Li & Hai-Chuan Xu & Wei Chen & Wei-Xing Zhou & H. E. Stanley, 2016. "Quantifying immediate price impact of trades based on the $k$-shell decomposition of stock trading networks," Papers 1611.06666, arXiv.org, revised Dec 2016.
    5. Franco Peracchi & Claudio Rossetti, 2013. "The heterogeneous thresholds ordered response model: identification and inference," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 176(3), pages 703-722, June.
    6. Sam Langfield & Kimmo Soramäki, 2016. "Interbank Exposure Networks," Computational Economics, Springer;Society for Computational Economics, vol. 47(1), pages 3-17, January.
    7. Ethan Cohen-Cole & Andrei Kirilenko & Eleonora Patacchini, 2010. "Are Networks Priced? Network Topology and Order Trading Strategies in High Liquidity Markets," EIEF Working Papers Series 1011, Einaudi Institute for Economics and Finance (EIEF), revised Apr 2010.
    8. David Garcia & Frank Schweitzer, 2015. "Social signals and algorithmic trading of Bitcoin," Papers 1506.01513, arXiv.org, revised Sep 2015.

  4. Steve Y. Yang & Qifeng Qiao & Peter A. Beling & William T. Scherer & Andrei A. Kirilenko, 2015. "Gaussian process-based algorithmic trading strategy identification," Quantitative Finance, Taylor & Francis Journals, vol. 15(10), pages 1683-1703, October.

    Cited by:

    1. Mahmoud Mahfouz & Angelos Filos & Cyrine Chtourou & Joshua Lockhart & Samuel Assefa & Manuela Veloso & Danilo Mandic & Tucker Balch, 2019. "On the Importance of Opponent Modeling in Auction Markets," Papers 1911.12816, arXiv.org.
    2. 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.
    3. Marcello Rambaldi & Emmanuel Bacry & Jean-Franc{c}ois Muzy, 2018. "Disentangling and quantifying market participant volatility contributions," Papers 1807.07036, arXiv.org.
    4. Gkillas, Konstantinos & Konstantatos, Christoforos & Floros, Christos & Tsagkanos, Athanasios, 2021. "Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis," International Review of Financial Analysis, Elsevier, vol. 74(C).
    5. Guang Zhang, 2020. "Pairs Trading with Nonlinear and Non-Gaussian State Space Models," Papers 2005.09794, arXiv.org.
    6. Mahmoud Mahfouz & Tucker Balch & Manuela Veloso & Danilo Mandic, 2021. "Learning to Classify and Imitate Trading Agents in Continuous Double Auction Markets," Papers 2110.01325, arXiv.org, revised Oct 2021.
    7. Iwao Maeda & David deGraw & Michiharu Kitano & Hiroyasu Matsushima & Kiyoshi Izumi & Hiroki Sakaji & Atsuo Kato, 2020. "Latent Segmentation of Stock Trading Strategies Using Multi-Modal Imitation Learning," JRFM, MDPI, vol. 13(11), pages 1-12, October.
    8. Dimitrios Vortelinos & Konstantinos Gkillas (Gillas) & Costas Syriopoulos & Argyro Svingou, 2017. "Asymmetric and nonlinear inter-relations of US stock indices," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 14(1), pages 78-129, December.
    9. Mark E. Paddrik & Richard Haynes & Andrew E. Todd & William T. Scherer & Peter A. Beling, 2016. "Visual analysis to support regulators in electronic order book markets," Environment Systems and Decisions, Springer, vol. 36(2), pages 167-182, June.
    10. Qifeng Qiao & Peter A. Beling, 2016. "Decision analytics and machine learning in economic and financial systems," Environment Systems and Decisions, Springer, vol. 36(2), pages 109-113, June.

  5. Ing-Haw Cheng & Andrei Kirilenko & Wei Xiong, 2015. "Convective Risk Flows in Commodity Futures Markets," Review of Finance, European Finance Association, vol. 19(5), pages 1733-1781.
    See citations under working paper version above.
  6. Matthew Elliott & Benjamin Golub & Andrei Kirilenko, 2014. "How Sharing Information Can Garble Experts' Advice," American Economic Review, American Economic Association, vol. 104(5), pages 463-468, May.

    Cited by:

    1. Catonini, Emiliano & Kurbatov, Andrey & Stepanov, Sergey, 2024. "Independent versus collective expertise," Games and Economic Behavior, Elsevier, vol. 143(C), pages 340-356.
    2. Martin Gregor, 2014. "Access fees for competing lobbies," Working Papers IES 2014/22, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2014.

  7. Cohen-Cole, Ethan & Kirilenko, Andrei & Patacchini, Eleonora, 2014. "Trading networks and liquidity provision," Journal of Financial Economics, Elsevier, vol. 113(2), pages 235-251.

    Cited by:

    1. Marc van Kralingen & Diego Garlaschelli & Karolina Scholtus & Iman van Lelyveld, 2020. "Crowded trades, market clustering, and price instability," Papers 2002.03319, arXiv.org.
    2. Han, Rui-Qi & Li, Ming-Xia & Chen, Wei & Zhou, Wei-Xing & Stanley, H. Eugene, 2019. "Structural properties of statistically validated empirical information networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 747-756.
    3. Lawford, Steve & Mehmeti, Yll, 2020. "Cliques and a new measure of clustering: With application to U.S. domestic airlines," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).
    4. Gong, Xiao-Li & Liu, Xi-Hua & Xiong, Xiong & Zhang, Wei, 2019. "Financial systemic risk measurement based on causal network connectedness analysis," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 290-307.
    5. Gibbons, Steve & Overman, Henry G. & Patacchini, Eleonora, 2015. "Spatial Methods," Handbook of Regional and Urban Economics, in: Gilles Duranton & J. V. Henderson & William C. Strange (ed.), Handbook of Regional and Urban Economics, edition 1, volume 5, chapter 0, pages 115-168, Elsevier.
    6. Murat Tiniç & Ahmet Sensoy & Muge Demir & Duc Khuong Nguyen, 2021. "Broker Network Connectivity and the Cross-Section of Expected Stock Returns," Working Papers 2021-002, Department of Research, Ipag Business School.
    7. Áureo de Paula, 2015. "Econometrics of network models," CeMMAP working papers CWP52/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    8. Shaowei Chen & Long Guo & Weike Zhang, 2023. "Financial Risk Measurement and Spatial Spillover Effects Based on an Imported Financial Risk Network: Evidence from Countries along the Belt and Road," Mathematics, MDPI, vol. 11(6), pages 1-25, March.
    9. Ushchev, Philip & Zenou, Yves, 2016. "Price Competition in Product Variety Networks," ETA: Economic Theory and Applications 244535, Fondazione Eni Enrico Mattei (FEEM).
    10. Anil K. Jain & Robert M. Townsend, 2021. "The economics of platforms in a Walrasian framework," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(3), pages 877-924, April.
    11. Hua Chen & Tao Sun, 2020. "Tail Risk Networks of Insurers Around the Globe: An Empirical Examination of Systemic Risk for G‐SIIs vs Non‐G‐SIIs," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 87(2), pages 285-318, June.
    12. Kromidha, Endrit & Li, Matthew C., 2019. "Determinants of leadership in online social trading: A signaling theory perspective," Journal of Business Research, Elsevier, vol. 97(C), pages 184-197.
    13. Ethan Cohen-Cole & Eleonora Patacchini & Yves Zenou, 2014. "Static and Dynamic Networks in Interbank Markets," EIEF Working Papers Series 1408, Einaudi Institute for Economics and Finance (EIEF), revised Sep 2014.
    14. Rainone, Edoardo, 2020. "The network nature of over-the-counter interest rates," Journal of Financial Markets, Elsevier, vol. 47(C).
    15. Xie, Wen-Jie & Li, Mu-Yao & Zhou, Wei-Xing, 2021. "Learning representation of stock traders and immediate price impacts," Emerging Markets Review, Elsevier, vol. 48(C).
    16. Zhang, Weiping & Zhuang, Xintian & Lu, Yang, 2020. "Spatial spillover effects and risk contagion around G20 stock markets based on volatility network," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    17. Panzica, Roberto Calogero, 2018. "Idiosyncratic volatility puzzle: The role of assets' interconnections," SAFE Working Paper Series 228, Leibniz Institute for Financial Research SAFE.
    18. Patacchini, Eleonora & Hsieh, Chih-Sheng & Lin, Xu, 2019. "Social Interaction Methods," CEPR Discussion Papers 14141, C.E.P.R. Discussion Papers.
    19. Shan Lu & Jichang Zhao & Huiwen Wang, 2019. "The emergence of critical stocks in market crash," Papers 1908.07244, arXiv.org.

  8. Kirilenko, Andrei & Sowers, Richard B. & Meng, Xiangqian, 2013. "A multiscale model of high-frequency trading," Algorithmic Finance, IOS Press, vol. 2(1), pages 59-98.

    Cited by:

    1. Jose Blanchet & Xinyun Chen, 2013. "Continuous-time Modeling of Bid-Ask Spread and Price Dynamics in Limit Order Books," Papers 1310.1103, arXiv.org.
    2. José Da Fonseca & Riadh Zaatour, 2017. "Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(3), pages 260-285, March.
    3. Xin Guo & Zhao Ruan & Lingjiong Zhu, 2015. "Dynamics of Order Positions and Related Queues in a Limit Order Book," Papers 1505.04810, arXiv.org, revised Oct 2015.
    4. Xuefeng Gao & S. J. Deng, 2014. "Hydrodynamic limit of order book dynamics," Papers 1411.7502, arXiv.org, revised Feb 2016.

  9. Andrei A. Kirilenko & Andrew W. Lo, 2013. "Moore's Law versus Murphy's Law: Algorithmic Trading and Its Discontents," Journal of Economic Perspectives, American Economic Association, vol. 27(2), pages 51-72, Spring.

    Cited by:

    1. Li-Xin Wang, 2014. "Dynamical Models of Stock Prices Based on Technical Trading Rules Part I: The Models," Papers 1401.1888, arXiv.org, revised Feb 2016.
    2. Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2016. "Rock around the clock: An agent-based model of low- and high-frequency trading," Journal of Evolutionary Economics, Springer, vol. 26(1), pages 49-76, March.
    3. Jaqueson K. Galimberti & Nicolas Suhadolnik & Sergio Silva, 2017. "Cowboying Stock Market Herds with Robot Traders," Computational Economics, Springer;Society for Computational Economics, vol. 50(3), pages 393-423, October.
    4. Tamer Khraisha & Keren Arthur, 2018. "Can we have a general theory of financial innovation processes? A conceptual review," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 4(1), pages 1-27, December.
    5. 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.
    6. 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.
    7. Matthew Zook & Michael H Grote, 2017. "The microgeographies of global finance: High-frequency trading and the construction of information inequality," Environment and Planning A, , vol. 49(1), pages 121-140, January.
    8. Stavros Degiannakis & George Filis & Grigorios Siourounis & Lorenzo Trapani, 2023. "Superkurtosis," Working Papers 318, Bank of Greece.
      • Degiannakis, Stavros & Filis, George & Siourounis, Grigorios & Trapani, Lorenzo, 2019. "Superkurtosis," MPRA Paper 96563, University Library of Munich, Germany.
      • Stavros Degiannakis & George Filis & Grigorios Siourounis & Lorenzo Trapani, 2023. "Superkurtosis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(8), pages 2061-2091, December.
      • Degiannakis, Stavros & Filis, George & Siourounis, Grigorios & Trapani, Lorenzo, 2019. "Superkurtosis," MPRA Paper 94473, University Library of Munich, Germany.
    9. Gao, Bin & Liu, Xihua, 2020. "Intraday sentiment and market returns," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 48-62.
    10. Corsetti, Giancarlo & Lafarguette, Romain & Mehl, Arnaud, 2019. "Fast trading and the virtue of entropy: evidence from the foreign exchange market," Working Paper Series 2300, European Central Bank.
    11. Wall, Larry D., 2018. "Some financial regulatory implications of artificial intelligence," Journal of Economics and Business, Elsevier, vol. 100(C), pages 55-63.
    12. Reihaneh Hajishirzi & Carlos J. Costa & Manuela Aparicio, 2022. "Boosting Sustainability through Digital Transformation’s Domains and Resilience," Sustainability, MDPI, vol. 14(3), pages 1-16, February.
    13. Mike Farjam & Oliver Kirchkamp, 2015. "Bubbles in hybrid markets - How expectations about algorithmic trading affect human trading," Jena Economics Research Papers 2015-003, Friedrich-Schiller-University Jena.
    14. Hudson, Robert & McGroarty, Frank & Urquhart, Andrew, 2017. "Sampling frequency and the performance of different types of technical trading rules," Finance Research Letters, Elsevier, vol. 22(C), pages 136-139.
    15. Chenjing Zhang & Qiaoge Li & Di Mao & Mancang Wang, 2023. "Research on the Threshold Effect of Internet Development on Regional Inclusive Finance in China," Sustainability, MDPI, vol. 15(8), pages 1-20, April.
    16. Marco B Caminati & Manfred Kerber & Christoph Lange & Colin Rowat, 2015. "Sound Auction Specification and Implementation," Discussion Papers 15-08, Department of Economics, University of Birmingham.
    17. Arumugam, Devika, 2023. "Algorithmic trading: Intraday profitability and trading behavior," Economic Modelling, Elsevier, vol. 128(C).
    18. Rossi, Stefano & Tinn, Katrin, 2014. "Man or machine? Rational trading without information about fundamentals," CEPR Discussion Papers 9958, C.E.P.R. Discussion Papers.
    19. Li-Xin Wang, 2014. "Dynamical Models of Stock Prices Based on Technical Trading Rules Part III: Application to Hong Kong Stocks," Papers 1401.1892, arXiv.org, revised Feb 2016.
    20. 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.
    21. Francis Breedon & Louisa Chen & Angelo Ranaldo & Nicholas Vause, 2018. "Judgement Day: Algorithmic Trading Around the Swiss Franc Cap Removal," Working Papers on Finance 1808, University of St. Gallen, School of Finance.
    22. Kromidha, Endrit & Li, Matthew C., 2019. "Determinants of leadership in online social trading: A signaling theory perspective," Journal of Business Research, Elsevier, vol. 97(C), pages 184-197.
    23. Fung, Derrick W.H. & Lee, Wing Yan & Yeh, Jason J.H. & Yuen, Fei Lung, 2020. "Friend or foe: The divergent effects of FinTech on financial stability," Emerging Markets Review, Elsevier, vol. 45(C).
    24. Flood, M. D. & Jagadish, H. V. & Raschid, L., 2016. "Big data challenges and opportunities in financial stability monitoring," Financial Stability Review, Banque de France, issue 20, pages 129-142, April.
    25. Qian Chen & Chuang Shen, 2024. "How FinTech Affects Bank Systemic Risk: Evidence from China," Journal of Financial Services Research, Springer;Western Finance Association, vol. 65(1), pages 77-101, February.
    26. Smales, Lee A., 2023. "Classification of RBA monetary policy announcements using ChatGPT," Finance Research Letters, Elsevier, vol. 58(PC).
    27. Karolis Liaudinskas, 2022. "Human vs. Machine: Disposition Effect among Algorithmic and Human Day Traders," Working Paper 2022/6, Norges Bank.
    28. Li-Xin Wang, 2014. "Dynamical Models of Stock Prices Based on Technical Trading Rules Part II: Analysis of the Models," Papers 1401.1891, arXiv.org, revised Feb 2016.
    29. Virgilio, Gianluca, 2017. "Is high-frequency trading tiering the financial markets?," Research in International Business and Finance, Elsevier, vol. 41(C), pages 158-171.
    30. 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.
    31. 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).

  10. Kirilenko, Andrei A., 2000. "On the endogeneity of trading arrangements," Journal of Financial Markets, Elsevier, vol. 3(3), pages 287-314, August.

    Cited by:

    1. Christian Opp & Vincent Glode, 2016. "(De)centralizing Trade," 2016 Meeting Papers 1591, Society for Economic Dynamics.

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