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An ecological perspective on the future of computer trading

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  • J. Doyne Farmer
  • Spyros Skouras

Abstract

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  • J. Doyne Farmer & Spyros Skouras, 2013. "An ecological perspective on the future of computer trading," Quantitative Finance, Taylor & Francis Journals, vol. 13(3), pages 325-346, February.
  • Handle: RePEc:taf:quantf:v:13:y:2013:i:3:p:325-346
    DOI: 10.1080/14697688.2012.757636
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    References listed on IDEAS

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    1. Thierry Foucault & Ohad Kadan & Eugene Kandel, 2013. "Liquidity Cycles and Make/Take Fees in Electronic Markets," Journal of Finance, American Finance Association, vol. 68(1), pages 299-341, February.
    2. Muravyev, Dmitriy & Pearson, Neil D. & Paul Broussard, John, 2013. "Is there price discovery in equity options?," Journal of Financial Economics, Elsevier, vol. 107(2), pages 259-283.
    3. Menkveld, Albert J., 2013. "High frequency trading and the new market makers," Journal of Financial Markets, Elsevier, vol. 16(4), pages 712-740.
    4. Thierry Foucault, 2009. "Liquidity Cycles and Made Take Fees in electronics markets," Post-Print hal-00495920, HAL.
    5. Terrence Hendershott & Charles M. Jones & Albert J. Menkveld, 2011. "Does Algorithmic Trading Improve Liquidity?," Journal of Finance, American Finance Association, vol. 66(1), pages 1-33, February.
    6. Pedro A. C. Saffi & Kari Sigurdsson, 2011. "Price Efficiency and Short Selling," Review of Financial Studies, Society for Financial Studies, vol. 24(3), pages 821-852.
    7. Michael Kearns & Alex Kulesza & Yuriy Nevmyvaka, 2010. "Empirical Limitations on High Frequency Trading Profitability," Papers 1007.2593, arXiv.org, revised Sep 2010.
    8. Ole Peters, 2009. "Optimal leverage from non-ergodicity," Papers 0902.2965, arXiv.org, revised Aug 2010.
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    Cited by:

    1. repec:kap:compec:v:50:y:2017:i:3:d:10.1007_s10614-016-9591-2 is not listed on IDEAS
    2. Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High- Frequency Trading," Sciences Po publications 2016-12, Sciences Po.
    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. Dinh, Minh Thi Hong, 2017. "The returns, risk and liquidity relationship in high frequency trading: Evidence from the Oslo stock market," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 30-40.
    5. repec:eee:riibaf:v:42:y:2017:i:c:p:509-521 is not listed on IDEAS

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