IDEAS home Printed from https://ideas.repec.org/f/c/pme346.html
   My authors  Follow this author

Albert J. Menkveld

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. Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Hasse, Jean-Baptiste & e.a.,, 2023. "Non-Standard Errors," LIDAM Reprints LFIN 2023002, Université catholique de Louvain, Louvain Finance (LFIN).
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian Brownlees & Javier Gil-Bazo, 2021. "Non-Standard Errors," Working Papers 1303, Barcelona School of Economics.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," IWH Discussion Papers 11/2021, Halle Institute for Economic Research (IWH).
    • Albert J. et al. Menkveld, 2021. "Non-Standard Errors," CESifo Working Paper Series 9453, CESifo.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Post-Print halshs-03500882, HAL.
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Cambridge Working Papers in Economics 2182, Faculty of Economics, University of Cambridge.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," SAFE Working Paper Series 327, Leibniz Institute for Financial Research SAFE.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Dí­az & Menachem Abudy & Tobi, 2021. "Non-Standard Errors," Working Papers 2021-31, Faculty of Economics and Statistics, Universität Innsbruck.
    • Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-Standard Errors," CEPR Discussion Papers 16751, C.E.P.R. Discussion Papers.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Díaz & Menachem Abudy & To, 2021. "Non-Standard Errors," Working Paper Series, Social and Economic Sciences 2021-11, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021. "Non-standard errors," Economics Working Papers 1807, Department of Economics and Business, Universitat Pompeu Fabra.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021. "Non-Standard Errors," Working Papers 2021:17, Lund University, Department of Economics.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Frömmel & et al, 2021. "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1032, Ghent University, Faculty of Economics and Business Administration.
    • Moinas, Sophie & Declerck, Fany & Menkveld, Albert J. & Dreber, Anna, 2023. "Non-Standard Errors," TSE Working Papers 23-1451, Toulouse School of Economics (TSE).
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03500882, HAL.
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Janeway Institute Working Papers 2112, Faculty of Economics, University of Cambridge.
    • Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021. "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne 21033, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

    Cited by:

    1. Fišar, Miloš & Greiner, Ben & Huber, Christoph & Katok, Elena & Ozkes, Ali & Collaboration, Management Science Reproducibility, 2023. "Reproducibility in Management Science," OSF Preprints mydzv, Center for Open Science.
    2. Christoph Huber & Christian König-Kersting, 2022. "Experimenting with Financial Professionals," Working Papers 2022-07, Faculty of Economics and Statistics, Universität Innsbruck.
    3. Müller, Isabella & Noth, Felix & Tonzer, Lena, 2022. "A note on the use of syndicated loan data," IWH Discussion Papers 17/2022, Halle Institute for Economic Research (IWH).

  2. Christophe Pérignon & Olivier Akmansoy & Christophe Hurlin & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johanneson & Michael Kirchler & Albert Menkveld & Michael Razen & Utz Weitzel, 2022. "Reproducibility of Empirical Results: Evidence from 1,000 Tests in Finance," Working Papers hal-03810013, HAL.

    Cited by:

    1. Dreber, Anna & Johannesson, Magnus, 2023. "A framework for evaluating reproducibility and replicability in economics," Ruhr Economic Papers 1055, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.

  3. Bruno Biais & Christophe Bisière & Matthieu Bouvard & Catherine Casamatta & Albert J. Menkveld, 2020. "Equilibrium Bitcoin Pricing," EconPol Working Paper 48, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.

    Cited by:

    1. Asongu, Simplice A. & Ngoungou, Yolande E. & Nnanna, Joseph, 2023. "Mobile money innovations and health performance in sub-Saharan Africa," Technology in Society, Elsevier, vol. 74(C).
    2. Haffar, Adlane & Le Fur, Éric, 2022. "Time-varying dependence of Bitcoin," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 211-220.
    3. Guglielmo Maria Caporale & Woo-Young Kang, 2020. "Bitcoin Price Co-Movements and Culture," CESifo Working Paper Series 8076, CESifo.
    4. Klaus Grobys, 2021. "When the blockchain does not block: on hackings and uncertainty in the cryptocurrency market," Quantitative Finance, Taylor & Francis Journals, vol. 21(8), pages 1267-1279, August.
    5. Foley, Sean & Frijns, Bart & Garel, Alexandre & Roh, Tai-Yong, 2022. "Who buys Bitcoin? The cultural determinants of Bitcoin activity," International Review of Financial Analysis, Elsevier, vol. 84(C).
    6. Simplice A. Asongu & Nicholas M. Odhiambo, 2023. "Female unemployment, mobile money innovations and doing business by females," Working Papers of the African Governance and Development Institute. 23/033, African Governance and Development Institute..
    7. Korniotis, George & Bhambhwani, Siddharth & Delikouras, Stefanos, 2019. "Blockchain Characteristics and the Cross-Section of Cryptocurrency Returns," CEPR Discussion Papers 13724, C.E.P.R. Discussion Papers.
    8. Huang, Guan-Ying & Gau, Yin-Feng & Wu, Zhen-Xing, 2022. "Price discovery in fiat currency and cryptocurrency markets," Finance Research Letters, Elsevier, vol. 47(PA).
    9. Simplice A. Asongu & Peter Agyemang-Mintah & Joseph Nnanna & Yolande E. Ngoungou, 2023. "Mobile money innovations, income inequality and gender inclusion in sub-Saharan Africa," Working Papers 23/047, European Xtramile Centre of African Studies (EXCAS).
    10. Cole, Benjamin M. & Dyhrberg, Anne H. & Foley, Sean & Svec, Jiri, 2022. "Can Bitcoin be Trusted? Quantifying the economic value of blockchain transactions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    11. Yae, James & Tian, George Zhe, 2022. "Out-of-sample forecasting of cryptocurrency returns: A comprehensive comparison of predictors and algorithms," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 598(C).
    12. Chen, Yi-Hsuan & Kräussl, Roman & Verwijmeren, Patrick, 2023. "The pricing of digital art," CFS Working Paper Series 716, Center for Financial Studies (CFS).
    13. Julián A. Parra & Carlos Arango - Joaquín Bernal & José E. Gómez - Javier Gómez & Carlos León - Clara Machado & Daniel Osorio - Daniel Rojas & Nicolás Suárez - Eduardo Yanquen, 2019. "Criptoactivos: análisis y revisión de literatura," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, issue 92, pages 1-37, November.
    14. Lee, Adrian D. & Li, Mengling & Zheng, Huanhuan, 2020. "Bitcoin: Speculative asset or innovative technology?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
    15. Al Guindy, Mohamed, 2021. "Cryptocurrency price volatility and investor attention," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 556-570.
    16. Şoiman, Florentina & Dumas, Jean-Guillaume & Jimenez-Garces, Sonia, 2023. "What drives DeFi market returns?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
    17. Harald Uhlig & Taojun Xie, 2020. "Parallel Digital Currencies and Sticky Prices," NBER Working Papers 28300, National Bureau of Economic Research, Inc.
    18. Chen, Yi-Hsuan & Vinogradov, Dmitri V., 2021. "Coins with benefits: On existence, pricing kernel and risk premium of cryptocurrencies," IRTG 1792 Discussion Papers 2021-006, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    19. Fantazzini, Dean & Calabrese, Raffaella, 2021. "Crypto-exchanges and Credit Risk: Modelling and Forecasting the Probability of Closure," MPRA Paper 110391, University Library of Munich, Germany.
    20. Michael Sockin & Wei Xiong, 2021. "A Model of Cryptocurrencies," Working Papers 2021-67, Princeton University. Economics Department..
    21. Michael Sockin & Wei Xiong, 2020. "A Model of Cryptocurrencies," NBER Working Papers 26816, National Bureau of Economic Research, Inc.
    22. Alexis Derviz, 2019. "Coexistence of Physical and Crypto Assets in a Stochastic Endogenous Growth Model," Working Papers 2019/7, Czech National Bank.
    23. Biktimirov, Ernest N. & Biktimirova, Liana E., 2023. "All topics are not created equal: Sentiment and hype of business media topics and the bitcoin market," Economics Letters, Elsevier, vol. 231(C).
    24. Zhang, Wei & Li, Yi, 2020. "Is idiosyncratic volatility priced in cryptocurrency markets?," Research in International Business and Finance, Elsevier, vol. 54(C).
    25. Caferra, Rocco & Morone, Andrea & Potì, Valerio, 2022. "Crypto-environment network connectivity and Bitcoin returns distribution tail behaviour," Economics Letters, Elsevier, vol. 218(C).
    26. Simplice A. Asongu & Sara le Roux, 2023. "The role of mobile money innovations in transforming unemployed women to self-employed women in sub-Saharan Africa," Working Papers 23/016, European Xtramile Centre of African Studies (EXCAS).
    27. Benedetti, Hugo & Nikbakht, Ehsan, 2021. "Returns and network growth of digital tokens after cross-listings," Journal of Corporate Finance, Elsevier, vol. 66(C).
    28. Ao Shu & Feiyang Cheng & Jianlei Han & Zini Liang & Zheyao Pan, 2023. "Arbitrage across different Bitcoin exchange venues: Perspectives from investor base and market related events," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(5), pages 5183-5210, December.
    29. Daniele Bianchi & Mykola Babiak, 2021. "A Factor Model for Cryptocurrency Returns," CERGE-EI Working Papers wp710, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    30. Yukun Liu & Aleh Tsyvinski & Xi Wu, 2019. "Common Risk Factors in Cryptocurrency," NBER Working Papers 25882, National Bureau of Economic Research, Inc.
    31. Caporale, Guglielmo Maria & Kang, Woo-Young & Spagnolo, Fabio & Spagnolo, Nicola, 2021. "Cyber-attacks, spillovers and contagion in the cryptocurrency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    32. Radwanski, Juliusz, 2021. "The Equilibrium Value of Bitcoin," MPRA Paper 110746, University Library of Munich, Germany.
    33. Rod Garratt & Maarten van Oordt, 2019. "Entrepreneurial Incentives and the Role of Initial Coin Offerings," Staff Working Papers 19-18, Bank of Canada.
    34. Zimmerman, Peter, 2020. "Blockchain structure and cryptocurrency prices," Bank of England working papers 855, Bank of England.
    35. Hinzen, Franz J. & John, Kose & Saleh, Fahad, 2022. "Bitcoin’s limited adoption problem," Journal of Financial Economics, Elsevier, vol. 144(2), pages 347-369.
    36. Lambrecht, Marco & Sofianos, Andis & Xu, Yilong, 2021. "Does mining fuel bubbles? An experimental study on cryptocurrency markets," Working Papers 0703, University of Heidelberg, Department of Economics.
    37. Yulin Liu & Luyao Zhang, 2022. "Cryptocurrency Valuation: An Explainable AI Approach," Papers 2201.12893, arXiv.org, revised Jul 2023.
    38. Wüstenfeld, Jan & Geldner, Teo, 2022. "Economic uncertainty and national bitcoin trading activity," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    39. Pourpourides, Panayiotis, 2023. "Long-Term Nexus of Macroeconomic and Financial Fundamentals with Cryptocurrencies," Cardiff Economics Working Papers E2023/23, Cardiff University, Cardiff Business School, Economics Section.
    40. Lambrecht, Marco & Sofianos, Andis & Xu, Yilong, 2020. "Does mining fuel bubbles? An experimental study on cryptocurrency markets," Working Papers 0690, University of Heidelberg, Department of Economics.
    41. Chiu, Jonathan & Wong, Tsz-Nga, 2022. "Payments on digital platforms: Resiliency, interoperability and welfare," Journal of Economic Dynamics and Control, Elsevier, vol. 142(C).
    42. Son, Dong-Hoon, 2023. "On-demand ride-sourcing markets with cryptocurrency-based fare-reward scheme," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 171(C).
    43. Di Casola, Paola & Habib, Maurizio Michael & Tercero-Lucas, David, 2023. "Global and local drivers of Bitcoin trading vis-à-vis fiat currencies," Working Paper Series 2868, European Central Bank.
    44. Zhang, Zehua & Zhao, Ran, 2023. "Good volatility, bad volatility, and the cross section of cryptocurrency returns," International Review of Financial Analysis, Elsevier, vol. 89(C).
    45. Jermann, Urban J., 2021. "Cryptocurrencies and Cagan’s model of hyperinflation," Journal of Macroeconomics, Elsevier, vol. 69(C).
    46. Dong, Bingbing & Jiang, Lei & Liu, Jinyu & Zhu, Yifeng, 2022. "Liquidity in the cryptocurrency market and commonalities across anomalies," International Review of Financial Analysis, Elsevier, vol. 81(C).
    47. Wilko Bolt & Maarten R.C. Van Oordt, 2020. "On the Value of Virtual Currencies," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(4), pages 835-862, June.
    48. Zhang, Wei & Li, Yi & Xiong, Xiong & Wang, Pengfei, 2021. "Downside risk and the cross-section of cryptocurrency returns," Journal of Banking & Finance, Elsevier, vol. 133(C).
    49. Grobys, Klaus & Dufitinema, Josephine & Sapkota, Niranjan & Kolari, James W., 2022. "What’s the expected loss when Bitcoin is under cyberattack? A fractal process analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
    50. Prateek Saxena, 2020. "Comments on “Cellular Structure for a Digital Fiat Currency” — Cellular DFC Design: Technological Perspectives," World Scientific Book Chapters, in: Bernard Yeung (ed.), DIGITAL CURRENCY ECONOMICS AND POLICY, chapter 11, pages 103-109, World Scientific Publishing Co. Pte. Ltd..
    51. Michael Sockin & Wei Xiong, 2023. "Decentralization through Tokenization," Journal of Finance, American Finance Association, vol. 78(1), pages 247-299, February.
    52. Alexandra Mitschke, 2021. "Central Bank Digital Currencies and Monetary Policy Effectiveness in the Euro Area," Working Papers Dissertations 74, Paderborn University, Faculty of Business Administration and Economics.
    53. Sakemoto, Ryuta, 2021. "Economic Evaluation of Cryptocurrency Investment," MPRA Paper 108283, University Library of Munich, Germany.

  4. Evangelos Benos & Wenqian Huang & Albert Menkveld & Michalis Vasios, 2019. "The cost of clearing fragmentation," BIS Working Papers 826, Bank for International Settlements.

    Cited by:

    1. Iñaki Aldasoro & Wenqian Huang & Esti Kemp, 2020. "Cross-border links between banks and non-bank financial institutions," BIS Quarterly Review, Bank for International Settlements, September.
    2. Gabrielle Demange & Thibaut Piquard, 2022. "On the Choice of Central Counterparties in the EU," Working papers 868, Banque de France.
    3. Benos, Evangelos & Ferrara, Gerardo & Ranaldo, Angelo, 2022. "Collateral cycles," Bank of England working papers 966, Bank of England, revised 24 Oct 2022.
    4. González-Urteaga, Ana & Rubio, Gonzalo, 2022. "Guarantee requirements by European central counterparties and international volatility spillovers," Research in International Business and Finance, Elsevier, vol. 62(C).

  5. Wenqian Huang & Albert Menkveld & Shihao Yu, 2019. "Central counterparty exposure in stressed markets," BIS Working Papers 833, Bank for International Settlements.

    Cited by:

    1. Christian Kubitza & Loriana Pelizzon & Mila Getmansky Sherman, 2021. "Loss Sharing in Central Clearinghouses: Winners and Losers," ECONtribute Discussion Papers Series 066, University of Bonn and University of Cologne, Germany.

  6. Albert Menkveld & Marius Andrei Zoican, 2017. "Need for Speed? Exchange Latency and Liquidity," Post-Print hal-01501352, HAL.

    Cited by:

    1. Brolley, Michael & Zoican, Marius, 2023. "On-demand fast trading on decentralized exchanges," Finance Research Letters, Elsevier, vol. 51(C).
    2. Songzi Du & Haoxiang Zhu, 2014. "Welfare and Optimal Trading Frequency in Dynamic Double Auctions," NBER Working Papers 20588, National Bureau of Economic Research, Inc.
    3. Li, Sida & Wang, Xin & Ye, Mao, 2021. "Who provides liquidity, and when?," Journal of Financial Economics, Elsevier, vol. 141(3), pages 968-980.
    4. Cespa, Giovanni & Vives, Xavier, 2017. "High Frequency Trading and Fragility," IESE Research Papers D/1161, IESE Business School.
    5. Michael Brolley & David A. Cimon, 2018. "Order Flow Segmentation, Liquidity and Price Discovery: The Role of Latency Delays," Staff Working Papers 18-16, Bank of Canada.
    6. Brogaard, Jonathan & Hendershott, Terrence & Riordan, Ryan, 2017. "High frequency trading and the 2008 short-sale ban," Journal of Financial Economics, Elsevier, vol. 124(1), pages 22-42.
    7. 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.
    8. 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".
    9. Oliver Linton & Soheil Mahmoodzadeh, 2018. "Implications of high-frequency trading for security markets," CeMMAP working papers CWP06/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    10. 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.
    11. Viktor Manahov, 2018. "The rise of the machines in commodities markets: new evidence obtained using Strongly Typed Genetic Programming," Annals of Operations Research, Springer, vol. 260(1), pages 321-352, January.
    12. Johann, Thomas & Putnins, Talis & Sagade, Satchit & Westheide, Christian, 2019. "Quasi-dark trading: The effects of banning dark pools in a world of many alternatives," SAFE Working Paper Series 253, Leibniz Institute for Financial Research SAFE.
    13. Nicholas Hirschey, 2021. "Do High-Frequency Traders Anticipate Buying and Selling Pressure?," Management Science, INFORMS, vol. 67(6), pages 3321-3345, June.
    14. Somayeh Kokabisaghi & Eric J Pauwels & Andre B Dorsman, 2019. "To snipe or not to snipe, that is the question! Transitions in sniping behaviour among competing algorithmic traders," Papers 1912.04012, arXiv.org, revised Sep 2020.
    15. Foucault , Thierry & Kozhan , Roman, 2014. "Toxic Arbitrage," HEC Research Papers Series 1040, HEC Paris.
    16. Xuefeng Gao & Yunhan Wang, 2018. "Optimal Market Making in the Presence of Latency," Papers 1806.05849, arXiv.org, revised Mar 2020.
    17. 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.
    18. Xiaoman, Jin & Qing, Li & Jun, Wang & Jingmei, Zhao, 2023. "Voice or noise? Repetitive information and stock performance," Finance Research Letters, Elsevier, vol. 52(C).
    19. Jing Nie & Juliana Malagon & Julian Williams, 2022. "The impact of high speed quoting on execution risk dynamics: Evidence from interest rate futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1434-1465, August.
    20. James Brugler & Carole Comerton-Forde & J Spencer Martin, 2022. "Secondary Market Transparency and Corporate Bond Issuing Costs [Asset pricing and the bid–ask spread]," Review of Finance, European Finance Association, vol. 26(1), pages 43-77.
    21. Breckenfelder, Johannes, 2019. "Competition among high-frequency traders, and market quality," Working Paper Series 2290, European Central Bank.
    22. 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.
    23. Foucault, Thierry & Moinas, Sophie, 2018. "Is Trading Fast Dangerous?," TSE Working Papers 18-881, Toulouse School of Economics (TSE).
    24. Brolley, Michael & Zoican, Marius, 2023. "Liquid speed: A micro-burst fee for low-latency exchanges," Journal of Financial Markets, Elsevier, vol. 64(C).
    25. 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.
    26. Bernales, Alejandro, 2019. "Make-take decisions under high-frequency trading competition," Journal of Financial Markets, Elsevier, vol. 45(C), pages 1-18.
    27. 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).
    28. Aldrich, Eric M & Friedman, Daniel, 2019. "Order Protection through Delayed Messaging," Santa Cruz Department of Economics, Working Paper Series qt4938f518, Department of Economics, UC Santa Cruz.
    29. Yan Chen & Peter Cramton & John A. List & Axel Ockenfels, 2021. "Market Design, Human Behavior, and Management," Management Science, INFORMS, vol. 67(9), pages 5317-5348, September.
    30. Peter B. Lerner, 2022. "Fourier Integral Operator Model of Market Liquidity: The Chinese Experience 2009–2010," Mathematics, MDPI, vol. 10(14), pages 1-25, July.
    31. Chakrabarty, Bidisha & Pascual, Roberto, 2023. "Stock liquidity and algorithmic market making during the COVID-19 crisis," Journal of Banking & Finance, Elsevier, vol. 147(C).
    32. Vasilios Mavroudis & Hayden Melton, 2019. "Libra: Fair Order-Matching for Electronic Financial Exchanges," Papers 1910.00321, arXiv.org.
    33. 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.
    34. Michael Brolley & Marius Zoican, 2019. "Liquid Speed: On-Demand Fast Trading at Distributed Exchanges," Papers 1907.10720, arXiv.org.
    35. Li, Zhicheng & Chen, Xinyun & Xing, Haipeng, 2023. "A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market," Economic Modelling, Elsevier, vol. 118(C).
    36. 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.
    37. Eric M. Aldrich & Daniel Friedman, 2023. "Order Protection Through Delayed Messaging," Management Science, INFORMS, vol. 69(2), pages 774-790, February.
    38. Bellia, Mario & Pelizzon, Loriana & Subrahmanyam, Marti G. & Yuferova, Darya, 2020. "Designated Market Makers: Competition and Incentives," SAFE Working Paper Series 247, Leibniz Institute for Financial Research SAFE, revised 2020.
    39. Vincent Grégoire & Charles Martineau, 2022. "How is Earnings News Transmitted to Stock Prices?," Journal of Accounting Research, Wiley Blackwell, vol. 60(1), pages 261-297, March.
    40. Sida Li & Xin Wang & Mao Ye, 2019. "Who Provides Liquidity, and When?," NBER Working Papers 25972, National Bureau of Economic Research, Inc.
    41. Christopher D. Clack & Elias Court & Dmitrijs Zaparanuks, 2020. "Dynamic Coupling and Market Instability," Papers 2005.13621, arXiv.org.
    42. 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.
    43. Eibelshäuser, Steffen & Smetak, Fabian, 2022. "Frequent batch auctions and informed trading," SAFE Working Paper Series 344, Leibniz Institute for Financial Research SAFE.
    44. Chakrabarty, Bidisha & Moulton, Pamela C. & Pascual, Roberto, 2017. "Trading system upgrades and short-sale bans: Uncoupling the effects of technology and regulation," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 74-90.
    45. Haeringer, Guillaume & Melton, Hayden, 2020. "High Frequency Fairness," MPRA Paper 103907, University Library of Munich, Germany.
    46. Marjolein E. Verhulst & Philippe Debie & Stephan Hageboeck & Joost M. E. Pennings & Cornelis Gardebroek & Axel Naumann & Paul van Leeuwen & Andres A. Trujillo-Barrera & Lorenzo Moneta, 2021. "When Two Worlds Collide: Using Particle Physics Tools to Visualize the Limit Order Book," Papers 2109.04812, arXiv.org.
    47. Raymond P. H. Fishe & Richard Haynes & Esen Onur, 2022. "Resiliency in the E‐mini futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 5-23, January.
    48. Park, Seongkyu Gilbert & Ryu, Doojin, 2019. "Speed and trading behavior in an order-driven market," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 145-164.
    49. Markus Baldauf & Joshua Mollner, 2020. "High‐Frequency Trading and Market Performance," Journal of Finance, American Finance Association, vol. 75(3), pages 1495-1526, June.
    50. Yang, Haijun & Ge, Hengshun & Luo, Ying, 2020. "The optimal bid-ask price strategies of high-frequency trading and the effect on market liquidity," Research in International Business and Finance, Elsevier, vol. 53(C).
    51. Hautsch, Nikolaus & Scheuch, Christoph & Voigt, Stefan, 2018. "Limits to arbitrage in markets with stochastic settlement latency," CFS Working Paper Series 616, Center for Financial Studies (CFS).
    52. Haas, Marlene & Khapko, Mariana & Zoican, Marius, 2021. "Speed and learning in high-frequency auctions," Journal of Financial Markets, Elsevier, vol. 54(C).
    53. Xu, Ke, 2023. "High frequency market making during stressed periods," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 379-397.
    54. Marlene Haas & Marius Andrei Zoican, 2016. "Beyond the Frequency Wall: Speed and Liquidity on Batch Auction Markets," Post-Print hal-01484805, HAL.
    55. Jørgensen, Kjell & Skjeltorp, Johannes & Ødegaard, Bernt Arne, 2018. "Throttling hyperactive robots – Order-to-trade ratios at the Oslo Stock Exchange," Journal of Financial Markets, Elsevier, vol. 37(C), pages 1-16.
    56. Friederich, Sylvain & Payne, Richard, 2015. "Order-to-trade ratios and market liquidity," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 214-223.
    57. Bartlett, Robert P. & McCrary, Justin, 2019. "How rigged are stock markets? Evidence from microsecond timestamps," Journal of Financial Markets, Elsevier, vol. 45(C), pages 37-60.
    58. Prodromou, Tina & Westerholm, P. Joakim, 2022. "Are high frequency traders responsible for extreme price movements?," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 94-111.
    59. Benjamin Lester & Ali Shourideh & Venky Venkateswaran & Ariel Zetlin-Jones, 2018. "Market-making with Search and Information Frictions," Working Papers 18-20, Federal Reserve Bank of Philadelphia.
    60. P. B. Lerner, 2020. "Dual State-Space Model of Market Liquidity: The Chinese Experience 2009-2010," Papers 2004.06200, arXiv.org, revised May 2020.
    61. Ladley, Daniel, 2020. "The high frequency trade off between speed and sophistication," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
    62. 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.
    63. 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).
    64. 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.
    65. Nikolaus Hautsch & Christoph Scheuch & Stefan Voigt, 2018. "Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets," Papers 1812.00595, arXiv.org, revised Oct 2023.
    66. 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.
    67. Daniel Ladley, 2019. "The Design and Regulation of High Frequency Traders," Discussion Papers in Economics 19/02, Division of Economics, School of Business, University of Leicester.
    68. 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.
    69. Mariana Khapko & Marius Zoican, 2019. "Do speed bumps curb low-latency trading? Evidence from a laboratory market," Papers 1910.03068, arXiv.org.
    70. Aït-Sahalia, Yacine & Brunetti, Celso, 2020. "High frequency traders and the price process," Journal of Econometrics, Elsevier, vol. 217(1), pages 20-45.
    71. Eric M. Aldrich & Kristian López Vargas, 2020. "Experiments in high-frequency trading: comparing two market institutions," Experimental Economics, Springer;Economic Science Association, vol. 23(2), pages 322-352, June.
    72. Tomy Lee, 2019. "Latency in Fragmented Markets," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 128-153, July.
    73. 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..
    74. 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.
    75. Declerck, F., 2016. "High-frequency trading, geographical concerns and the curvature of the Earth," Financial Stability Review, Banque de France, issue 20, pages 153-160, April.
    76. Breckenfelder, Johannes, 2020. "How does competition among high-frequency traders affect market liquidity?," Research Bulletin, European Central Bank, vol. 78.

  7. Vincent van Kervel & Albert J. Menkveld, 2017. "High-Frequency Trading around Large Institutional Orders," Tinbergen Institute Discussion Papers 17-092/IV, Tinbergen Institute.

    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. Czech, Robert & Huang, Shiyang & Lou, Dong & Wang, Tianyu, 2021. "Informed trading in government bond markets," LSE Research Online Documents on Economics 118857, London School of Economics and Political Science, LSE Library.
    3. Buti, Sabrina & Rindi, Barbara & Werner, Ingrid M., 2010. "Diving into Dark Pools," Working Paper Series 2010-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    4. Andrea Barbon & Marco Di Maggio & Francesco A. Franzoni & Augustin Landier, 2017. "Brokers and Order Flow Leakage: Evidence from Fire Sales," Swiss Finance Institute Research Paper Series 17-61, Swiss Finance Institute, revised Jun 2018.
    5. 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.
    6. 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".
    7. 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.
    8. Choi, Jin Hyuk & Larsen, Kasper & Seppi, Duane J., 2019. "Information and trading targets in a dynamic market equilibrium," Journal of Financial Economics, Elsevier, vol. 132(3), pages 22-49.
    9. Yan, Tingjin & Han, Jinhui & Ma, Guiyuan & Siu, Chi Chung, 2023. "Dynamic asset-liability management with frictions," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 57-83.
    10. Thorsten Hens & Terje Lensberg & Klaus Reiner Schenk‐Hoppé, 2018. "Front‐Running and Market Quality: An Evolutionary Perspective on High Frequency Trading," International Review of Finance, International Review of Finance Ltd., vol. 18(4), pages 727-741, December.
    11. Nicholas Hirschey, 2021. "Do High-Frequency Traders Anticipate Buying and Selling Pressure?," Management Science, INFORMS, vol. 67(6), pages 3321-3345, June.
    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. Eaton, Gregory W. & Green, T. Clifton & Roseman, Brian S. & Wu, Yanbin, 2022. "Retail trader sophistication and stock market quality: Evidence from brokerage outages," Journal of Financial Economics, Elsevier, vol. 146(2), pages 502-528.
    14. 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.
    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. Arumugam, Devika, 2023. "Algorithmic trading: Intraday profitability and trading behavior," Economic Modelling, Elsevier, vol. 128(C).
    18. Alexander Eisele & Tamara Nefedova & Gianpaolo Parise & Kim Peijnenburg, 2013. "Trading Out of Sight: An Analysis of Cross-Trading in Mutual Fund Families," Swiss Finance Institute Research Paper Series 13-19, Swiss Finance Institute.
    19. Matteo Aquilina & Eric Budish & Peter O'Neill, 2021. "Quantifying the high-frequency trading "arms race"," BIS Working Papers 955, Bank for International Settlements.
    20. Charles-Albert Lehalle & Eyal Neuman, 2017. "Incorporating Signals into Optimal Trading," Papers 1704.00847, arXiv.org, revised Jun 2018.
    21. Akey, Pat & Grégoire, Vincent & Martineau, Charles, 2022. "Price revelation from insider trading: Evidence from hacked earnings news," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1162-1184.
    22. Ayad Assoil & Ndéné Ka & Jules Sadefo-Kamdem, 2021. "Analysis of the Dynamic Relationship between Liquidityproxies and returns on French CAC 40 index," Post-Print hal-03282991, HAL.
    23. Akey, Pat & Grégoire, Vincent & Martineau, Charles, 2021. "Price Revelation from Insider Trading: Evidence from Hacked Earnings News," SocArXiv qe6tu, Center for Open Science.
    24. Foucault, T., 2016. "Where are the risks in high frequency trading?," Financial Stability Review, Banque de France, issue 20, pages 53-67, April.
    25. Angelo Ranaldo & Fabricius Somogyi, 2018. "Asymmetric Information Risk in FX Markets," Working Papers on Finance 1820, University of St. Gallen, School of Finance, revised Apr 2020.
    26. Li, Zhicheng & Chen, Xinyun & Xing, Haipeng, 2023. "A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market," Economic Modelling, Elsevier, vol. 118(C).
    27. 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.
    28. Matteo Aquilina & Eric Budish, 2020. "Quantifying the High-Frequency Trading “Arms Race†: A Simple New Methodology and Estimates," Working Papers 2020-86, Becker Friedman Institute for Research In Economics.
    29. Yutong Lu & Gesine Reinert & Mihai Cucuringu, 2023. "Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets," Papers 2302.09382, arXiv.org.
    30. Han, Jinhui & Li, Xiaolong & Ma, Guiyuan & Kennedy, Adrian Patrick, 2023. "Strategic trading with information acquisition and long-memory stochastic liquidity," European Journal of Operational Research, Elsevier, vol. 308(1), pages 480-495.
    31. 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.
    32. Onur, Esen & Roberts, John S. & Tuzun, Tugkan, 2023. "Trader positions and aggregate portfolio demand," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
    33. Gider, Jasmin & Schmickler, Simon & Westheide, Christian, 2019. "High-frequency trading and price informativeness," SAFE Working Paper Series 248, Leibniz Institute for Financial Research SAFE, revised 2019.
    34. Joel Peress & Daniel Schmidt, 2020. "Glued to the TV: Distracted Noise Traders and Stock Market Liquidity," Journal of Finance, American Finance Association, vol. 75(2), pages 1083-1133, April.
    35. Zhicheng Li & Haipeng Xing & Xinyun Chen, 2019. "A multifactor regime-switching model for inter-trade durations in the limit order market," Papers 1912.00764, arXiv.org.
    36. Viktor Manahov, 2021. "High‐frequency trading order cancellations and market quality: Is stricter regulation the answer?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5385-5407, October.
    37. Corey Garriot & Ryan Riordan, 2020. "Trading on Long-term Information," Staff Working Papers 20-20, Bank of Canada.
    38. Karolis Liaudinskas, 2022. "Human vs. Machine: Disposition Effect among Algorithmic and Human Day Traders," Working Paper 2022/6, Norges Bank.
    39. Cox, Justin & Woods, Donovan, 2023. "COVID-19 and market structure dynamics," Journal of Banking & Finance, Elsevier, vol. 147(C).
    40. 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.
    41. Neumeier, Christian & Gozluklu, Arie & Hoffmann, Peter & O’Neill, Peter & Suntheim, Felix, 2023. "Banning dark pools: Venue selection and investor trading costs," Journal of Financial Markets, Elsevier, vol. 65(C).
    42. Han, Jinhui & Ma, Guiyuan & Yam, Sheung Chi Phillip, 2022. "Relative performance evaluation for dynamic contracts in a large competitive market," European Journal of Operational Research, Elsevier, vol. 302(2), pages 768-780.
    43. 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).
    44. 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.
    45. Sagade, Satchit & Scharnowski, Stefan & Westheide, Christian, 2022. "Broker colocation and the execution costs of customer and proprietary orders," SAFE Working Paper Series 366, Leibniz Institute for Financial Research SAFE.
    46. Xin Guo & Charles-Albert Lehalle & Renyuan Xu, 2019. "Transaction Cost Analytics for Corporate Bonds," Papers 1903.09140, arXiv.org, revised Dec 2021.
    47. Michael Goldstein & Amy Kwan & Richard Philip, 2023. "High-Frequency Trading Strategies," Management Science, INFORMS, vol. 69(8), pages 4413-4434, August.
    48. Declerck, F., 2016. "High-frequency trading, geographical concerns and the curvature of the Earth," Financial Stability Review, Banque de France, issue 20, pages 153-160, April.
    49. Pham, Manh Cuong & Anderson, Heather Margot & Duong, Huu Nhan & Lajbcygier, Paul, 2020. "The effects of trade size and market depth on immediate price impact in a limit order book market," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).

  8. Albert Menkveld & Boyan Jovanovic, 2016. "Dispersion and Skewness of Bid Prices," 2016 Meeting Papers 1395, Society for Economic Dynamics.

    Cited by:

    1. 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.
    2. Marlene Haas & Marius Andrei Zoican, 2016. "Beyond the Frequency Wall: Speed and Liquidity on Batch Auction Markets," Post-Print hal-01484805, HAL.

  9. Albert Menkveld & Emiliano Pagnotta & Marius Andrei Zoican, 2016. "Does Central Clearing Affect Price Stability? Evidence from Nordic Equity Markets," Working Papers hal-01253702, HAL.

    Cited by:

    1. Bellia, Mario & Panzica, Roberto & Pelizzon, Loriana & Peltonen, Tuomas A., 2017. "The demand for central clearing: to clear or not to clear, that is the question," ESRB Working Paper Series 62, European Systemic Risk Board.
    2. Christian Kubitza & Loriana Pelizzon & Mila Getmansky Sherman, 2021. "Loss Sharing in Central Clearinghouses: Winners and Losers," ECONtribute Discussion Papers Series 066, University of Bonn and University of Cologne, Germany.
    3. Kubitza, Christian & Pelizzon, Loriana & Getmansky Sherman, Mila, 2019. "Pitfalls of central clearing in the presence of systematic risk," SAFE Working Paper Series 235, Leibniz Institute for Financial Research SAFE, revised 2019.
    4. Fuchun Li & Héctor Pérez Saiz, 2016. "Measuring Systemic Risk Across Financial Market Infrastructures," Staff Working Papers 16-10, Bank of Canada.

  10. Haoxiang Zhu & Bart Yueshen & Albert Menkveld, 2015. "Shades of Darkness: A Pecking Order of Trading Venues," 2015 Meeting Papers 1164, Society for Economic Dynamics.

    Cited by:

    1. Egginton, Jared F. & McBrayer, Garrett A. & Watson, Ethan D., 2023. "Shades of trade: Dark trading and price efficiency," Journal of Banking & Finance, Elsevier, vol. 155(C).
    2. Fany Declerck & Laurence Lescourret, 2015. "Dark pools et trading haute fréquence : une évolution utile ?," Revue d'économie financière, Association d'économie financière, vol. 0(4), pages 113-126.
    3. Hendershott, Terrence & Wee, Marvin & Wen, Yuanji, 2022. "Transparency in fragmented markets: Experimental evidence," Journal of Financial Markets, Elsevier, vol. 59(PA).
    4. Justin Cox, 2020. "Market fragmentation and post-earnings announcement drift," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(3), pages 587-610, July.
    5. Bernales, Alejandro & Ladley, Daniel & Litos, Evangelos & Valenzuela, Marcela, 2021. "Dark trading and alternative execution priority rules," LSE Research Online Documents on Economics 118866, London School of Economics and Political Science, LSE Library.
    6. de Roure, Calebe & Mönch, Emanuel & Pelizzon, Loriana & Schneider, Michael, 2019. "OTC discount," Discussion Papers 42/2019, Deutsche Bundesbank.
      • de Roure, Calebe & Mönch, Emanuel & Pelizzon, Loriana & Schneider, Michael, 2021. "OTC discount," SAFE Working Paper Series 298, Leibniz Institute for Financial Research SAFE, revised 2021.
    7. Choi, Jin Hyuk & Larsen, Kasper & Seppi, Duane J., 2019. "Information and trading targets in a dynamic market equilibrium," Journal of Financial Economics, Elsevier, vol. 132(3), pages 22-49.
    8. Johann, Thomas & Putnins, Talis & Sagade, Satchit & Westheide, Christian, 2019. "Quasi-dark trading: The effects of banning dark pools in a world of many alternatives," SAFE Working Paper Series 253, Leibniz Institute for Financial Research SAFE.
    9. Pierre Collin‐Dufresne & Benjamin Junge & Anders B. Trolle, 2020. "Market Structure and Transaction Costs of Index CDSs," Journal of Finance, American Finance Association, vol. 75(5), pages 2719-2763, October.
    10. Ekkehart Boehmer & Charles M. Jones & Xiaoyan Zhang & Xinran Zhang, 2021. "Tracking Retail Investor Activity," Journal of Finance, American Finance Association, vol. 76(5), pages 2249-2305, October.
    11. Eaton, Gregory W. & Green, T. Clifton & Roseman, Brian S. & Wu, Yanbin, 2022. "Retail trader sophistication and stock market quality: Evidence from brokerage outages," Journal of Financial Economics, Elsevier, vol. 146(2), pages 502-528.
    12. Comerton-Forde, Carole & Grégoire, Vincent & Zhong, Zhuo, 2019. "Inverted fee structures, tick size, and market quality," Journal of Financial Economics, Elsevier, vol. 134(1), pages 141-164.
    13. Justin Cox & Kathleen P. Fuller & Robert Van Ness, 2024. "Where does ex‐dividend trading occur: An examination of trading venues around dividends," The Financial Review, Eastern Finance Association, vol. 59(1), pages 31-55, February.
    14. Degryse, Hans & Karagiannis, Nikolaos & Tombeur, Geoffrey & Wuyts, Gunther, 2021. "Two shades of opacity: Hidden orders and dark trading," Journal of Financial Intermediation, Elsevier, vol. 47(C).
    15. Duong, Huu Nhan & Kalev, Petko S. & Tian, Xiao Jason, 2022. "Does the bid–ask spread affect trading in exchange operated dark pools? Evidence from a natural experiment," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
    16. Ibikunle, Gbenga & Rzayev, Khaladdin, 2023. "Volatility and dark trading: Evidence from the Covid-19 pandemic," The British Accounting Review, Elsevier, vol. 55(4).
    17. Bayona, Anna & Dumitrescu, Ariadna & Manzano, Carolina, 2023. "Information and optimal trading strategies with dark pools," Economic Modelling, Elsevier, vol. 126(C).
    18. 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.
    19. Kitagawa, Norio, 2021. "Macroeconomic uncertainty and management forecast accuracy," Journal of Contemporary Accounting and Economics, Elsevier, vol. 17(3).
    20. Darrell Duffie & Haoxiang Zhu, 2015. "Size Discovery," NBER Working Papers 21696, National Bureau of Economic Research, Inc.
    21. Jurich, Stephen N., 2021. "Does off-exchange trading decrease in the presence of uncertainty?," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 201-213.
    22. Huszár, Zsuzsa R. & Prado, Melissa Porras, 2019. "An analysis of over-the-counter and centralized stock lending markets," Journal of Financial Markets, Elsevier, vol. 43(C), pages 31-53.
    23. Justin Cox & Bonnie Van Ness & Robert Van Ness, 2022. "Stock splits and retail trading," The Financial Review, Eastern Finance Association, vol. 57(4), pages 731-750, November.
    24. Paul J. Irvine & Egle Karmaziene, 2023. "Competing for Dark Trades," Tinbergen Institute Discussion Papers 23-020/IV, Tinbergen Institute.
    25. Shan Lu & Jichang Zhao & Huiwen Wang, 2018. "The Power of Trading Polarity: Evidence from China Stock Market Crash," Papers 1802.01143, arXiv.org.
    26. Jacob Thomas & Frank Zhang & Wei Zhu, 2021. "Dark Trading and Post-Earnings-Announcement Drift," Management Science, INFORMS, vol. 67(12), pages 7785-7811, December.
    27. Cox, Justin & Woods, Donovan, 2023. "COVID-19 and market structure dynamics," Journal of Banking & Finance, Elsevier, vol. 147(C).
    28. Ibikunle, Gbenga & Li, Youwei & Mare, Davide & Sun, Yuxin, 2021. "Dark matters: The effects of dark trading restrictions on liquidity and informational efficiency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    29. Reed, Adam V. & Samadi, Mehrdad & Sokobin, Jonathan S., 2020. "Shorting in Broad Daylight: Short Sales and Venue Choice," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(7), pages 2246-2269, November.
    30. Neumeier, Christian & Gozluklu, Arie & Hoffmann, Peter & O’Neill, Peter & Suntheim, Felix, 2023. "Banning dark pools: Venue selection and investor trading costs," Journal of Financial Markets, Elsevier, vol. 65(C).
    31. Zhang, Zeyu & Ibikunle, Gbenga, 2023. "The market quality effects of sub-second frequent batch auctions: Evidence from dark trading restrictions," International Review of Financial Analysis, Elsevier, vol. 89(C).
    32. Valseth, Siri, 2020. "Informed trading in hybrid bond markets," Global Finance Journal, Elsevier, vol. 44(C).
    33. Suchismita Mishra & Le Zhao, 2021. "Order Routing Decisions for a Fragmented Market: A Review," JRFM, MDPI, vol. 14(11), pages 1-32, November.
    34. Blankespoor, Elizabeth & deHaan, Ed & Marinovic, Iván, 2020. "Disclosure processing costs, investors’ information choice, and equity market outcomes: A review," Journal of Accounting and Economics, Elsevier, vol. 70(2).
    35. Pierre Collin-Dufresne & Benjamin Junge & Anders B. Trolle, 2018. "Market Structure and Transaction Costs of Index CDSs," Swiss Finance Institute Research Paper Series 18-40, Swiss Finance Institute.
    36. Gomber, Peter & Sagade, Satchit & Theissen, Erik & Weber, Moritz Christian & Westheide, Christian, 2023. "Spoilt for choice: Determinants of market shares in fragmented equity markets," Journal of Financial Markets, Elsevier, vol. 64(C).

  11. Albert J. Menkveld, 2014. "Crowded Trades: An Overlooked Systemic Risk for Central Clearing Counterparties," Tinbergen Institute Discussion Papers 14-065/IV/DSF75, Tinbergen Institute.

    Cited by:

    1. Yannick Armenti & Stéphane Crépey, 2017. "Central Clearing Valuation Adjustment," Working Papers hal-01169169, HAL.
    2. Bruno, Salvatore & Chincarini, Ludwig B. & Ohara, Frank, 2018. "Portfolio construction and crowding," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 190-206.
    3. Yang, Chunpeng & Zhou, Liyun, 2016. "Individual stock crowded trades, individual stock investor sentiment and excess returns," The North American Journal of Economics and Finance, Elsevier, vol. 38(C), pages 39-53.
    4. Liyun Zhou & Chunpeng Yang, 2019. "Differences in the effects of seller-initiated versus buyer-initiated crowded trades in stock markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(4), pages 859-890, December.
    5. Chincarini, Ludwig B. & Moneta, Fabio, 2021. "The challenges of oil investing: Contango and the financialization of commodities," Energy Economics, Elsevier, vol. 102(C).
    6. Paul Glasserman & Ciamac C. Moallemi & Kai Yuan, 2016. "Hidden Illiquidity with Multiple Central Counterparties," Operations Research, INFORMS, vol. 64(5), pages 1143-1158, October.
    7. Yannick Armenti & St'ephane Cr'epey, 2015. "Central Clearing Valuation Adjustment," Papers 1506.08595, arXiv.org, revised Feb 2017.

  12. Albert J. Menkveld & Emiliano Pagnotta & Marius A. Zoican, 2013. "Central Clearing and Asset Prices," Tinbergen Institute Discussion Papers 13-181/IV/DSF67, Tinbergen Institute.

    Cited by:

    1. Asaf Bernstein & Eric Hughson & Marc D. Weidenmier, 2014. "Counterparty Risk and the Establishment of the New York Stock Exchange Clearinghouse," NBER Working Papers 20459, National Bureau of Economic Research, Inc.

  13. Beltran-Lopez, Hélena & Grammig, Joachim G. & Menkveld, Albert J., 2011. "Limit order books and trade informativeness," CFS Working Paper Series 2011/09, Center for Financial Studies (CFS).

    Cited by:

    1. Dionne, Georges & Zhou, Xiaozhou, 2016. "The Dynamics of Ex-ante High-Frequency Liquidity: An Empirical Analysis," Working Papers 15-5, HEC Montreal, Canada Research Chair in Risk Management.
    2. Chung, Kee H. & Park, Seongkyu “Gilbert” & Ryu, Doojin, 2016. "Trade duration, informed trading, and option moneyness," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 395-411.
    3. Będowska-Sójka, Barbara, 2020. "Do aggressive orders affect liquidity? An evidence from an emerging market," Research in International Business and Finance, Elsevier, vol. 54(C).
    4. Georges Dionne & Xiaozhou Zhou, 2020. "The dynamics of ex-ante weighted spread: an empirical analysis," Quantitative Finance, Taylor & Francis Journals, vol. 20(4), pages 593-617, April.
    5. Ben Omrane, Walid & Tao, Yusi & Welch, Robert, 2017. "Scheduled macro-news effects on a Euro/US dollar limit order book around the 2008 financial crisis," Research in International Business and Finance, Elsevier, vol. 42(C), pages 9-30.
    6. Doojin Ryu, 2015. "Information content of inter-transaction time: A structural approach," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 16(4), pages 697-711, August.
    7. J. Christopher Westland, 2023. "Determinants of liquidity in cryptocurrency markets," Digital Finance, Springer, vol. 5(2), pages 261-293, June.

  14. Albert J. Menkveld, 2011. "High Frequency Trading and the New-Market Makers," Tinbergen Institute Discussion Papers 11-076/2/DSF21, Tinbergen Institute, revised 15 Aug 2011.

    Cited by:

    1. Grimstvedt Meling, Tom & Ødegård, Bernt Arne, 2017. "Tick Size Wars, High Frequency Trading, and Market Quality," Working Papers in Economics 5/17, University of Bergen, Department of Economics.
    2. Vasilios Mavroudis, 2019. "Market Manipulation as a Security Problem," Papers 1903.12458, arXiv.org.
    3. Bongaerts, Dion & Achter, Mark Van, 2021. "Competition among liquidity providers with access to high-frequency trading technology," Journal of Financial Economics, Elsevier, vol. 140(1), pages 220-249.
    4. Watson, Ethan D. & Woods, Donovan, 2022. "Exchange introduction and market competition: The entrance of MEMX and MIAX," Global Finance Journal, Elsevier, vol. 54(C).
    5. Yue Zhao & Difang Wan, 2018. "Institutional high frequency trading and price discovery: Evidence from an emerging commodity futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 243-270, February.
    6. Clapham, Benjamin & Gomber, Peter & Lausen, Jens & Panz, Sven, 2021. "Liquidity provider incentives in fragmented securities markets," Journal of Empirical Finance, Elsevier, vol. 60(C), pages 16-38.
    7. 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.
    8. 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.
    9. Marouane Anane & Frédéric Abergel, 2014. "Optimal high frequency strategy in an omniscient order book," Working Papers hal-01006401, HAL.
    10. 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.
    11. Erik Vogt & Michael Fleming & Or Shachar & Tobias Adrian, 2017. "Market Liquidity After the Financial Crisis," Annual Review of Financial Economics, Annual Reviews, vol. 9(1), pages 43-83, November.
    12. Pawe{l} Fiedor, 2013. "Frequency Effects on Predictability of Stock Returns," Papers 1310.5540, arXiv.org, revised Nov 2013.
    13. Yacine Aït-Sahalia & Mehmet Saglam, 2013. "High Frequency Traders: Taking Advantage of Speed," NBER Working Papers 19531, National Bureau of Economic Research, Inc.
    14. Ziyi Xu & Xue Cheng, 2023. "The Effects of High-frequency Anticipatory Trading: Small Informed Trader vs. Round-Tripper," Papers 2304.13985, arXiv.org, revised Feb 2024.
    15. Chelley-Steeley, Patricia L. & Lambertides, Neophytos & Steeley, James M., 2016. "Explaining turn of the year order flow imbalance," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 76-95.
    16. Brogaard, Jonathan & Hendershott, Terrence & Riordan, Ryan, 2017. "High frequency trading and the 2008 short-sale ban," Journal of Financial Economics, Elsevier, vol. 124(1), pages 22-42.
    17. 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.
    18. Dionne, Georges & Zhou, Xiaozhou, 2016. "The Dynamics of Ex-ante High-Frequency Liquidity: An Empirical Analysis," Working Papers 15-5, HEC Montreal, Canada Research Chair in Risk Management.
    19. Alan Chow & Kyre Dane Lahtinen & Chris Lawrey, 2021. "The Investors Exchange’s (IEX) impact on investors," Journal of Asset Management, Palgrave Macmillan, vol. 22(1), pages 51-61, February.
    20. 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".
    21. Marios Panayides & Barbara Rindi & Ingrid M.Werner, 2017. "Trading Fees and Intermarket Competition," BAFFI CAREFIN Working Papers 1751, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    22. Liu, Wei, 2021. "Can HFT profit in Chinese stock market?," Economics Letters, Elsevier, vol. 209(C).
    23. Omar El Euch & Thibaut Mastrolia & Mathieu Rosenbaum & Nizar Touzi, 2019. "Optimal make-take fees for market making regulation," Working Papers hal-02379592, HAL.
    24. José Antonio Climent Hernández & Luis Fernando Hoyos-Reyes & Marissa R. Martínez-Preece, 2018. "Formulación de un modelo híbrido alfa-estable para mercados con operación de alta frecuencia," Contaduría y Administración, Accounting and Management, vol. 63(4), pages 29-30, Octubre-D.
    25. Pankaj Kumar, 2021. "Deep Hawkes Process for High-Frequency Market Making," Papers 2109.15110, arXiv.org.
    26. B. Tóth & Z. Eisler & F. Lillo & J. Kockelkoren & J.-P. Bouchaud & J.D. Farmer, 2012. "How does the market react to your order flow?," Quantitative Finance, Taylor & Francis Journals, vol. 12(7), pages 1015-1024, May.
    27. Markus Baldauf & Joshua Mollner, 2015. "Trading in Fragmented Markets," Discussion Papers 15-018, Stanford Institute for Economic Policy Research.
    28. 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.
    29. Ben Moews & J. Michael Herrmann & Gbenga Ibikunle, 2018. "Lagged correlation-based deep learning for directional trend change prediction in financial time series," Papers 1811.11287, arXiv.org, revised Nov 2018.
    30. Vincent Van Kervel & Albert J. Menkveld, 2019. "High‐Frequency Trading around Large Institutional Orders," Journal of Finance, American Finance Association, vol. 74(3), pages 1091-1137, June.
    31. Yang, Yurun & Göncü, Ahmet & Pantelous, Athanasios A., 2018. "Momentum and reversal strategies in Chinese commodity futures markets," International Review of Financial Analysis, Elsevier, vol. 60(C), pages 177-196.
    32. Brian F Tivnan & David Rushing Dewhurst & Colin M Van Oort & John H Ring IV & Tyler J Gray & Brendan F Tivnan & Matthew T K Koehler & Matthew T McMahon & David M Slater & Jason G Veneman & Christopher, 2020. "Fragmentation and inefficiencies in US equity markets: Evidence from the Dow 30," PLOS ONE, Public Library of Science, vol. 15(1), pages 1-24, January.
    33. 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.
    34. 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.
    35. Oliver Linton & Soheil Mahmoodzadeh, 2018. "Implications of high-frequency trading for security markets," CeMMAP working papers CWP06/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    36. Benos, Evangelos & Sagade, Satchit, 2016. "Price discovery and the cross-section of high-frequency trading," Journal of Financial Markets, Elsevier, vol. 30(C), pages 54-77.
    37. Bernales, Alejandro & Ladley, Daniel & Litos, Evangelos & Valenzuela, Marcela, 2021. "Dark trading and alternative execution priority rules," LSE Research Online Documents on Economics 118866, London School of Economics and Political Science, LSE Library.
    38. José Antonio Climent Hernández & Luis Fernando Hoyos-Reyes & Marissa R. Martínez-Preece, 2018. "A hybrid alpha-stable model development for high frequency trading markets," Contaduría y Administración, Accounting and Management, vol. 63(4), pages 31-32, Octubre-D.
    39. Carole Gresse, 2017. "Effects of Lit and Dark Market Fragmentation on Liquidity," Post-Print hal-01631771, HAL.
    40. 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.
    41. 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.
    42. Miko{l}aj Bi'nkowski & Charles-Albert Lehalle, 2018. "Endogeneous Dynamics of Intraday Liquidity," Papers 1811.03766, arXiv.org.
    43. 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).
    44. Alexandru-Ioan Stan, 2018. "Computational speed and high-frequency trading profitability: an ecological perspective," Electronic Markets, Springer;IIM University of St. Gallen, vol. 28(3), pages 381-395, August.
    45. Clapham, Benjamin & Gomber, Peter & Panz, Sven, 2017. "Coordination of circuit breakers? Volume migration and volatility spillover in fagmented markets," SAFE Working Paper Series 196, Leibniz Institute for Financial Research SAFE.
    46. 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.
    47. Marcello Rambaldi & Emmanuel Bacry & Jean-Franc{c}ois Muzy, 2018. "Disentangling and quantifying market participant volatility contributions," Papers 1807.07036, arXiv.org.
    48. Franklin Allen & Julapa Jagtiani, 2020. "A Survey of Fintech Research and Policy Discussion," Working Papers 20-21, Federal Reserve Bank of Philadelphia.
    49. Taiga Saito & Takanori Adachi & Teruo Nakatsuma & Akihiko Takahashi & Hiroshi Tsuda & Naoyuki Yoshino, 2017. "Trading and Ordering Patterns of Market Participants in High Frequency Trading Environment--Empirical Study in the Japanese Stock Market--," CIRJE F-Series CIRJE-F-1052, CIRJE, Faculty of Economics, University of Tokyo.
    50. 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.
    51. Moriyasu, Hiroshi & Wee, Marvin & Yu, Jing, 2018. "The role of algorithmic trading in stock liquidity and commonality in electronic limit order markets," Pacific-Basin Finance Journal, Elsevier, vol. 49(C), pages 103-128.
    52. 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).
    53. Austin Gerig & David Michayluk, 2014. "Automated Liquidity Provision," Research Paper Series 345, Quantitative Finance Research Centre, University of Technology, Sydney.
    54. 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.
    55. Nicholas Hirschey, 2021. "Do High-Frequency Traders Anticipate Buying and Selling Pressure?," Management Science, INFORMS, vol. 67(6), pages 3321-3345, June.
    56. Roberto Riccó & Barbara Rindi & Duane J. Seppi, 2021. "Optimal Market Asset Pricing," Working Papers 675, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    57. Jonathan Brogaard & Corey Garriott & Anna Pomeranets, 2014. "High-Frequency Trading Competition," Staff Working Papers 14-19, Bank of Canada.
    58. Aggarwal, Nidhi & Panchapagesan, Venkatesh & Thomas, Susan, 2023. "When is the order-to-trade ratio fee effective?," Journal of Financial Markets, Elsevier, vol. 62(C).
    59. 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).
    60. Marios Panayides & Barbara Rindi & Ingrid M. Werner, 2017. "Trading Fees and Intermarket Competition," Working Papers 595, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    61. 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.
    62. 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.
    63. Nidhi Aggarwal & Venkatesh Panchapagesan & Susan Thomas, 2019. "When do regulatory interventions work?," Working Papers id:13040, eSocialSciences.
    64. Chang, Danting, 2021. "Fundamental anomalies and the size puzzle in China: A data mining approach," Finance Research Letters, Elsevier, vol. 42(C).
    65. 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.
    66. 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.
    67. Chen, Shi & Härdle, Wolfgang & Schienle, Melanie, 2021. "High-dimensional statistical learning techniques for time-varying limit order book networks," IRTG 1792 Discussion Papers 2021-015, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    68. 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.
    69. Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2015. "Measuring the Liquidity Part of Volume," Post-Print hal-01632766, HAL.
    70. 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).
    71. Breckenfelder, Johannes, 2019. "Competition among high-frequency traders, and market quality," Working Paper Series 2290, European Central Bank.
    72. Nidhi Aggarwal & Susan Thomas, 2014. "The causal impact of algorithmic trading on market quality," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2014-023, Indira Gandhi Institute of Development Research, Mumbai, India.
    73. 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.
    74. Marie Chen & Corey Garriott, 2018. "High-Frequency Trading and Institutional Trading Costs," Staff Working Papers 18-8, Bank of Canada.
    75. 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.
    76. Lescourret, Laurence & Moinas, Sophie, 2015. "Liquidity Supply across Multiple Trading Venues," ESSEC Working Papers WP1505, ESSEC Research Center, ESSEC Business School.
    77. Yergeau, Gabriel, 2016. "Profitability and Market Quality of High Frequency Market-makers: An Empirical Investigation," Working Papers 16-3, HEC Montreal, Canada Research Chair in Risk Management.
    78. 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.
    79. Upson, James & Van Ness, Robert A., 2017. "Multiple markets, algorithmic trading, and market liquidity," Journal of Financial Markets, Elsevier, vol. 32(C), pages 49-68.
    80. Aitken, Michael & Chen, Haoming & Foley, Sean, 2017. "The impact of fragmentation, exchange fees and liquidity provision on market quality," Journal of Empirical Finance, Elsevier, vol. 41(C), pages 140-160.
    81. Roşu, Ioanid, 2019. "Fast and slow informed trading," Journal of Financial Markets, Elsevier, vol. 43(C), pages 1-30.
    82. 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.
    83. Foucault, Thierry & Moinas, Sophie, 2018. "Is Trading Fast Dangerous?," TSE Working Papers 18-881, Toulouse School of Economics (TSE).
    84. Nimalendran, Mahendrarajah & Rzayev, Khaladdin & Sagade, Satchit, 2022. "High-frequency trading in the stock market and the costs of option market making," LSE Research Online Documents on Economics 118885, London School of Economics and Political Science, LSE Library.
    85. 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.
    86. Wolfgang Kuhle, 2023. "Latency arbitrage and the synchronized placement of orders," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-18, December.
    87. Jakub Kučera, 2013. "Definition, Benefits and Risks of High-Frequency Trading [Vymezení, přínosy a rizika vysokofrekvenčního obchodování]," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2013(5), pages 3-30.
    88. Justin Cox & Bonnie Van Ness & Robert Van Ness, 2019. "Increasing the Tick: Examining the Impact of the Tick Size Change on Maker‐Taker and Taker‐Maker Market Models," The Financial Review, Eastern Finance Association, vol. 54(3), pages 417-449, August.
    89. Bernales, Alejandro, 2019. "Make-take decisions under high-frequency trading competition," Journal of Financial Markets, Elsevier, vol. 45(C), pages 1-18.
    90. Doojin Ryu & Robert I. Webb & Jinyoung Yu, 2023. "Who pays the liquidity cost? Central bank announcements and adverse selection," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(7), pages 904-924, July.
    91. Cécile Bastidon, 2017. "Stock markets fragmentation, volatility and final investors," Post-Print hal-03318507, HAL.
    92. 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).
    93. Bastien Baldacci & Philippe Bergault, 2021. "Optimal incentives in a limit order book: a SPDE control approach," Papers 2112.00375, arXiv.org, revised Oct 2022.
    94. Akey, Pat & Grégoire, Vincent & Martineau, Charles, 2022. "Price revelation from insider trading: Evidence from hacked earnings news," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1162-1184.
    95. Hans Degryse & Rudy de Winne & Carole Gresse & Richard Payne, 2018. "High frequency trading and ghost liquidity," Post-Print hal-01894838, HAL.
    96. Albert Menkveld & Marius Andrei Zoican, 2016. "Need for Speed? Exchange Latency and Liquidity," Working Papers hal-01253615, HAL.
    97. Bence Toth & Yves Lemperiere & Cyril Deremble & Joachim de Lataillade & Julien Kockelkoren & Jean-Philippe Bouchaud, 2011. "Anomalous price impact and the critical nature of liquidity in financial markets," Papers 1105.1694, arXiv.org, revised Nov 2011.
    98. Gresse, Carole, 2017. "Effects of lit and dark market fragmentation on liquidity," Journal of Financial Markets, Elsevier, vol. 35(C), pages 1-20.
    99. Bonnie F. Van Ness & Robert A. Van Ness & Serhat Yildiz, 2017. "The role of HFTs in order flow toxicity and stock price variance, and predicting changes in HFTs’ liquidity provisions," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(4), pages 739-762, October.
    100. 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.
    101. O’Hara, Maureen, 2015. "High frequency market microstructure," Journal of Financial Economics, Elsevier, vol. 116(2), pages 257-270.
    102. Akey, Pat & Grégoire, Vincent & Martineau, Charles, 2021. "Price Revelation from Insider Trading: Evidence from Hacked Earnings News," SocArXiv qe6tu, Center for Open Science.
    103. 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.
    104. Hoffmann, Peter, 2014. "A dynamic limit order market with fast and slow traders," Journal of Financial Economics, Elsevier, vol. 113(1), pages 156-169.
    105. Lausen, Jens & Clapham, Benjamin & Gomber, Peter & Bender, Micha, 2022. "Drivers and effects of stock market fragmentation - Insights on SME stocks," SAFE Working Paper Series 367, Leibniz Institute for Financial Research SAFE.
    106. 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).
    107. Nimalendran, Mahendrarajah & Ray, Sugata, 2014. "Informational linkages between dark and lit trading venues," Journal of Financial Markets, Elsevier, vol. 17(C), pages 230-261.
    108. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
    109. Hoffmann, Peter, 2012. "A dynamic limit order market with fast and slow traders," MPRA Paper 39855, University Library of Munich, Germany.
    110. Jeewon Jang & Jangkoo Kang & Jaeram Lee, 2023. "Who has an edge in trading index derivatives?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(3), pages 325-348, March.
    111. Justin Cox & Bonnie Van Ness & Robert Van Ness, 2022. "The dark side of IPOs: Examining where and who trades in the IPO secondary market," Financial Management, Financial Management Association International, vol. 51(4), pages 1091-1126, December.
    112. Sirio Aramonte & Andreas Schrimpf & Hyun Song Shin, 2023. "Non-bank financial intermediaries and financial stability," Chapters, in: Refet S. Gürkaynak & Jonathan H. Wright (ed.), Research Handbook of Financial Markets, chapter 7, pages 147-170, Edward Elgar Publishing.
    113. Comerton-Forde, Carole & Jones, Charles M. & Putniņš, Tālis J., 2016. "Shorting at close range: A tale of two types," Journal of Financial Economics, Elsevier, vol. 121(3), pages 546-568.
    114. Hendershott, Terrence & Seasholes, Mark S., 2014. "Liquidity provision and stock return predictability," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 140-151.
    115. Darolles, Serge & Le Fol, Gaëlle & Mero, Gulten, 2017. "Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows," Journal of Econometrics, Elsevier, vol. 201(2), pages 367-383.
    116. Xuekui Zhang & Yuying Huang & Ke Xu & Li Xing, 2023. "Novel modelling strategies for high-frequency stock trading data," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-25, December.
    117. Zhang, Xiaotao & Liang, Junpeng & He, Feng, 2019. "Private information advantage or overconfidence? Performance of intraday arbitrage speculators in the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 58(C).
    118. 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).
    119. Chelley-Steeley, Patricia L. & Lambertides, Neophytos, 2022. "Trading activity around chapter 11 filing," International Review of Financial Analysis, Elsevier, vol. 82(C).
    120. Markus Baldauf & Joshua Mollner, 2015. "High-Frequency Trading and Market Performance," Discussion Papers 15-017, Stanford Institute for Economic Policy Research.
    121. Said Kaawach & Oskar Kowalewski & Oleksandr Talavera, 2023. "Automatic vs Manual Investing: Role of Past Performance," Discussion Papers 23-04, Department of Economics, University of Birmingham.
    122. Hendershott, Terrence & Menkveld, Albert J., 2014. "Price pressures," Journal of Financial Economics, Elsevier, vol. 114(3), pages 405-423.
    123. Bellia, Mario & Pelizzon, Loriana & Subrahmanyam, Marti G. & Yuferova, Darya, 2020. "Designated Market Makers: Competition and Incentives," SAFE Working Paper Series 247, Leibniz Institute for Financial Research SAFE, revised 2020.
    124. Chang, Danting & Li, Feng, 2023. "Uncovering the information content in abnormal institutional visits," Finance Research Letters, Elsevier, vol. 55(PB).
    125. Dixon, Peter N. & Fox, Corbin A. & Kelley, Eric K., 2021. "To own or not to own: Stock loans around dividend payments," Journal of Financial Economics, Elsevier, vol. 140(2), pages 539-559.
    126. Delaney, L., 2016. "Equilibrium Investment in High Frequency Trading Technology: A Real Options Approach," Working Papers 15/14, Department of Economics, City University London.
    127. Aitken, Michael & Cumming, Douglas & Zhan, Feng, 2013. "High frequency trading and end-of-day price dislocation," CFS Working Paper Series 2013/16, Center for Financial Studies (CFS).
    128. Petter Dahlström & Björn Hagströmer & Lars L. Nordén, 2024. "The determinants of limit order cancellations," The Financial Review, Eastern Finance Association, vol. 59(1), pages 181-201, February.
    129. 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.
    130. Christopher D. Clack & Elias Court & Dmitrijs Zaparanuks, 2020. "Dynamic Coupling and Market Instability," Papers 2005.13621, arXiv.org.
    131. Andrea Roncella & Ignacio Ferrero, 2022. "The Ethics of Financial Market Making and Its Implications for High-Frequency Trading," Journal of Business Ethics, Springer, vol. 181(1), pages 139-151, November.
    132. 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.
    133. Benjamin Clapham & Martin Haferkorn & Kai Zimmermann, 2020. "Does Speed Matter? The Role Of High‐Frequency Trading For Order Book Resiliency," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 43(4), pages 933-964, December.
    134. Brogaard, Jonathan & Hendershott, Terrence & Riordan, Ryan, 2013. "High frequency trading and price discovery," Working Paper Series 1602, European Central Bank.
    135. 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.
    136. Ravi Kashyap, 2019. "Imitation in the Imitation Game," Papers 1911.06893, arXiv.org.
    137. Charles-Albert Lehalle & Othmane Mounjid, 2016. "Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency," Papers 1610.00261, arXiv.org, revised Mar 2018.
    138. 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).
    139. Manahov, Viktor & Hudson, Robert & Gebka, Bartosz, 2014. "Does high frequency trading affect technical analysis and market efficiency? And if so, how?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 131-157.
    140. Schlepper, Kathi, 2016. "High-frequency trading in the Bund futures market," Discussion Papers 15/2016, Deutsche Bundesbank.
    141. Olivier Gu'eant, 2016. "Optimal market making," Papers 1605.01862, arXiv.org, revised May 2017.
    142. Charles-Albert Lehalle, 2013. "Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process," Papers 1302.4592, arXiv.org.
    143. Michael J. Aitken & Angelo Aspris & Sean Foley & Frederick H. de B. Harris, 2018. "Market Fairness: The Poor Country Cousin of Market Efficiency," Journal of Business Ethics, Springer, vol. 147(1), pages 5-23, January.
    144. Massa, Massimo & von Beschwitz, Bastian & Keim, Donald B, 2015. "First to ?Read? the News: News Analytics and Institutional Trading," CEPR Discussion Papers 10534, C.E.P.R. Discussion Papers.
    145. Carrion, Allen, 2013. "Very fast money: High-frequency trading on the NASDAQ," Journal of Financial Markets, Elsevier, vol. 16(4), pages 680-711.
    146. Giancarlo Salirrosas Mart'inez, 2016. "Biased Roulette Wheel: A Quantitative Trading Strategy Approach," Papers 1609.09601, arXiv.org.
    147. 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).
    148. Omar El Euch & Thibaut Mastrolia & Mathieu Rosenbaum & Nizar Touzi, 2018. "Optimal make-take fees for market making regulation," Papers 1805.02741, arXiv.org, revised Nov 2019.
    149. Ramos, Henrique P. & Perlin, Marcelo S. & Righi, Marcelo B., 2017. "Mispricing in the odd lots market in Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 618-628.
    150. 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).
    151. Michael Moore & Andreas Schrimpf & Vladyslav Sushko, 2016. "Downsized FX markets: causes and implications," BIS Quarterly Review, Bank for International Settlements, December.
    152. Fabien Guilbaud & Huyen Pham, 2011. "Optimal High Frequency Trading with limit and market orders," Working Papers hal-00603385, HAL.
    153. Markus Baldauf & Joshua Mollner, 2020. "High‐Frequency Trading and Market Performance," Journal of Finance, American Finance Association, vol. 75(3), pages 1495-1526, June.
    154. Yang, Haijun & Ge, Hengshun & Luo, Ying, 2020. "The optimal bid-ask price strategies of high-frequency trading and the effect on market liquidity," Research in International Business and Finance, Elsevier, vol. 53(C).
    155. Philippe Bergault & David Evangelista & Olivier Gu'eant & Douglas Vieira, 2018. "Closed-form approximations in multi-asset market making," Papers 1810.04383, arXiv.org, revised Sep 2022.
    156. Khaladdin Rzayev & Gbenga Ibikunle, 2021. "Order aggressiveness and flash crashes," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2647-2673, April.
    157. David Rushing Dewhurst & Michael Vincent Arnold & Colin Michael Van Oort, 2018. "Selection mechanisms affect volatility in evolving markets," Papers 1812.05657, arXiv.org, revised Apr 2019.
    158. Kühn, Christoph & Muhle-Karbe, Johannes, 2015. "Optimal liquidity provision," Stochastic Processes and their Applications, Elsevier, vol. 125(7), pages 2493-2515.
    159. McGee, Richard J. & Johnson, Johnnie E.V., 2017. "Everyone’s a winner: The market impact of technologically advantaged agents," Economics Letters, Elsevier, vol. 156(C), pages 95-98.
    160. 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.).
    161. Ibikunle, Gbenga, 2018. "Trading places: Price leadership and the competition for order flow," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 178-200.
    162. Xu, Ke, 2023. "High frequency market making during stressed periods," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 379-397.
    163. Jørgensen, Kjell & Skjeltorp, Johannes & Ødegaard, Bernt Arne, 2018. "Throttling hyperactive robots – Order-to-trade ratios at the Oslo Stock Exchange," Journal of Financial Markets, Elsevier, vol. 37(C), pages 1-16.
    164. Carole Gresse, 2013. "Effects of Lit and Dark Trading Venue Competition on Liquidity : The MiFID Experience," Post-Print hal-01632517, HAL.
    165. Fabien Guilbaud & Huyen Pham, 2011. "Optimal High Frequency Trading with limit and market orders," Papers 1106.5040, arXiv.org.
    166. Pankaj K. Jain & Mohamed Mekhaimer & Sandra Mortal, 2020. "Commonality in liquidity and multilateral trading facilities," The Financial Review, Eastern Finance Association, vol. 55(3), pages 481-502, August.
    167. Agostino Capponi & Jos'e E. Figueroa-L'opez & Chuyi Yu, 2021. "Market Making with Stochastic Liquidity Demand: Simultaneous Order Arrival and Price Change Forecasts," Papers 2101.03086, arXiv.org.
    168. Friederich, Sylvain & Payne, Richard, 2015. "Order-to-trade ratios and market liquidity," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 214-223.
    169. Pelizzon, Loriana & Sagade, Satchit & Vozian, Katia, 2020. "Resiliency: Cross-venue dynamics with Hawkes processes," SAFE Working Paper Series 291, Leibniz Institute for Financial Research SAFE.
    170. Zhicheng Li & Haipeng Xing & Xinyun Chen, 2019. "A multifactor regime-switching model for inter-trade durations in the limit order market," Papers 1912.00764, arXiv.org.
    171. 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.
    172. 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.
    173. Viktor Manahov, 2021. "High‐frequency trading order cancellations and market quality: Is stricter regulation the answer?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5385-5407, October.
    174. 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.
    175. Viktor Manahov & Robert Hudson, 2014. "The implications of high-frequency trading on market efficiency and price discovery," Applied Economics Letters, Taylor & Francis Journals, vol. 21(16), pages 1148-1151, November.
    176. Qinghua Li, 2014. "Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context," Papers 1404.7320, arXiv.org, revised Jan 2015.
    177. Bartlett, Robert P. & McCrary, Justin, 2019. "How rigged are stock markets? Evidence from microsecond timestamps," Journal of Financial Markets, Elsevier, vol. 45(C), pages 37-60.
    178. Corey Garriot & Ryan Riordan, 2020. "Trading on Long-term Information," Staff Working Papers 20-20, Bank of Canada.
    179. Robert Jarrow & Hao Li, 2013. "Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 3(02), pages 1-12.
    180. Karolis Liaudinskas, 2022. "Human vs. Machine: Disposition Effect among Algorithmic and Human Day Traders," Working Paper 2022/6, Norges Bank.
    181. So, Eric C. & Wang, Sean, 2014. "News-driven return reversals: Liquidity provision ahead of earnings announcements," Journal of Financial Economics, Elsevier, vol. 114(1), pages 20-35.
    182. 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.
    183. Jørgensen, Kjell & Skjeltorp, Johannes Atle & Ødegaard, Bernt Arne, 2014. "Throttling hyperactive robots - Message to trade ratios at the Oslo Stock Exchange," UiS Working Papers in Economics and Finance 2014/3, University of Stavanger.
    184. 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).
    185. Cox, Justin & Woods, Donovan, 2023. "COVID-19 and market structure dynamics," Journal of Banking & Finance, Elsevier, vol. 147(C).
    186. Carole Gresse, 2011. "Effects of Lit and Dark Market Fragmentation on Liquidity," Post-Print halshs-00641122, HAL.
    187. Breckenfelder, Johannes, 2013. "Competition between high-frequency traders, and market quality," MPRA Paper 66715, University Library of Munich, Germany, revised Dec 2013.
    188. Taiga Saito & Akihiko Takahashi, 2018. "Online Supplement for "Stochastic Differential Game in High Frequency Market"," CIRJE F-Series CIRJE-F-1087, CIRJE, Faculty of Economics, University of Tokyo.
    189. 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.
    190. 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.
    191. Ladley, Daniel, 2020. "The high frequency trade off between speed and sophistication," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
    192. Sultan Alturki & Alexander Kurov, 2022. "Market inefficiencies surrounding energy announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 172-188, January.
    193. Omar El Euch & Thibaut Mastrolia & Mathieu Rosenbaum & Nizar Touzi, 2021. "Optimal make–take fees for market making regulation," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 109-148, January.
    194. Fabien Guilbaud & Huyên Pham, 2013. "Optimal high-frequency trading with limit and market orders," Quantitative Finance, Taylor & Francis Journals, vol. 13(1), pages 79-94, January.
    195. 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.
    196. Matteo Aquilina & Eric Budish & Peter O’Neill, 2022. "Quantifying the High-Frequency Trading “Arms Race”," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 137(1), pages 493-564.
    197. 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).
    198. 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.
    199. Ken Chung & Anthony Bellotti, 2021. "Evidence and Behaviour of Support and Resistance Levels in Financial Time Series," Papers 2101.07410, arXiv.org.
    200. David Byrd & Tucker Hybinette Balch, 2019. "Intra-day Equity Price Prediction using Deep Learning as a Measure of Market Efficiency," Papers 1908.08168, arXiv.org.
    201. Anand, Amber & Venkataraman, Kumar, 2016. "Market conditions, fragility, and the economics of market making," Journal of Financial Economics, Elsevier, vol. 121(2), pages 327-349.
    202. Thomas H. McInish & Olena Nikolsko‐Rzhevska & Alex Nikolsko‐Rzhevskyy & Irina Panovska, 2020. "Fast and slow cancellations and trader behavior," Financial Management, Financial Management Association International, vol. 49(4), pages 973-996, December.
    203. Suchismita Mishra & Le Zhao, 2021. "Order Routing Decisions for a Fragmented Market: A Review," JRFM, MDPI, vol. 14(11), pages 1-32, November.
    204. Rzayev, Khaladdin & Ibikunle, Gbenga, 2019. "A state-space modeling of the information content of trading volume," Journal of Financial Markets, Elsevier, vol. 46(C).
    205. Kauffman, Robert J. & Liu, Jun & Ma, Dan, 2015. "Innovations in financial IS and technology ecosystems: High-frequency trading in the equity market," Technological Forecasting and Social Change, Elsevier, vol. 99(C), pages 339-354.
    206. Virgilio, Gianluca, 2017. "Is high-frequency trading tiering the financial markets?," Research in International Business and Finance, Elsevier, vol. 41(C), pages 158-171.
    207. Claudio Altafini, 2016. "The Geometric Phase of Stock Trading," PLOS ONE, Public Library of Science, vol. 11(8), pages 1-13, August.
    208. Robert Litzenberger & Jeff Castura & Richard Gorelick, 2012. "The Impacts of Automation and High Frequency Trading on Market Quality," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 59-98, October.
    209. 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.
    210. 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).
    211. 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.
    212. Кравчук, Ігор Святославович, 2018. "Сучасні тенденції електронної торгівлі обіговими фінансовими інструментами // Modern trends of electronic trading by negotiable financial instruments," Вісник Житомирського державного технологічного університету. Серія: Економічні науки // THE JOURNAL OF ZHYTOMYR STATE TECHNOLOGICAL UNIVERSITY. SERIES: ECONOMICS, Житомирський державний технологічний університет // ZHYTOMYR STATE TECHNOLOGICAL UNIVERSITY, vol. 83(1).
    213. Hagströmer, Björn & Nordén, Lars, 2013. "The diversity of high-frequency traders," Journal of Financial Markets, Elsevier, vol. 16(4), pages 741-770.
    214. Delaney, L., 2015. "An Examination of the Optimal Timing Strategy for a Slow Trader Investing in a High Frequency Trading Technology," Working Papers 15/04, Department of Economics, City University London.
    215. Delaney, Laura, 2018. "Investment in high-frequency trading technology: A real options approach," European Journal of Operational Research, Elsevier, vol. 270(1), pages 375-385.
    216. Chin‐Ho Chen & Junmao Chiu & Huimin Chung, 2020. "Arbitrage opportunities, liquidity provision, and trader types in an index option market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 279-307, March.
    217. 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.
    218. K.C., Bevin & Verma, Ashu, 2023. "Decentralized local electricity market model using Automated Market Maker," Applied Energy, Elsevier, vol. 334(C).
    219. 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).
    220. Daniel Ladley, 2019. "The Design and Regulation of High Frequency Traders," Discussion Papers in Economics 19/02, Division of Economics, School of Business, University of Leicester.
    221. 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.
    222. Kang Gao & Perukrishnen Vytelingum & Stephen Weston & Wayne Luk & Ce Guo, 2022. "High-frequency financial market simulation and flash crash scenarios analysis: an agent-based modelling approach," Papers 2208.13654, arXiv.org.
    223. Hoffmann, Peter, 2012. "A dynamic limit order market with fast and slow traders," MPRA Paper 44621, University Library of Munich, Germany, revised Jan 2013.
    224. Garg, Karan, 2021. "Machines and Markets : Assessing the Impact of Algorithmic Trading on Financial Market Efficiency," Warwick-Monash Economics Student Papers 11, Warwick Monash Economics Student Papers.
    225. Hasbrouck, Joel & Saar, Gideon, 2013. "Low-latency trading," Journal of Financial Markets, Elsevier, vol. 16(4), pages 646-679.
    226. Stephan Meyer & Martin Wagener & Christof Weinhardt, 2015. "Politically Motivated Taxes in Financial Markets: The Case of the French Financial Transaction Tax," Journal of Financial Services Research, Springer;Western Finance Association, vol. 47(2), pages 177-202, April.
    227. Arifovic, Jasmina & He, Xue-zhong & Wei, Lijian, 2022. "Machine learning and speed in high-frequency trading," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
    228. Geraci, Marco Valerio & Garbaravičius, Tomas & Veredas, David, 2018. "Short selling in extreme events," Journal of Financial Stability, Elsevier, vol. 39(C), pages 90-103.
    229. Michael Goldstein & Amy Kwan & Richard Philip, 2023. "High-Frequency Trading Strategies," Management Science, INFORMS, vol. 69(8), pages 4413-4434, August.
    230. Aït-Sahalia, Yacine & Brunetti, Celso, 2020. "High frequency traders and the price process," Journal of Econometrics, Elsevier, vol. 217(1), pages 20-45.
    231. Meling, Tom Grimstvedt & Odegaard, Bernt Arne, 2016. "Tick Size Wars," UiS Working Papers in Economics and Finance 2016/15, University of Stavanger.
    232. Aquilina, Matteo & Budish, Eric B. & O'Neill, Peter, 2020. "Quantifying the High-Frequency Trading "Arms Race": A Simple New Methodology and Estimates," Working Papers 300, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
    233. 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).
    234. Alex Frino & Dionigi Gerace & Masud Behnia, 2021. "The impact of algorithmic trading on liquidity in futures markets: New insights into the resiliency of spreads and depth," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1301-1314, August.
    235. Hugh L. Christensen & Richard E. Turner & Simon I. Hill & Simon J. Godsill, 2013. "Rebuilding the limit order book: sequential Bayesian inference on hidden states," Quantitative Finance, Taylor & Francis Journals, vol. 13(11), pages 1779-1799, November.
    236. Aliyev, Nihad & Huseynov, Fariz & Rzayev, Khaladdin, 2022. "Algorithmic trading and investment-to-price sensitivity," LSE Research Online Documents on Economics 118844, London School of Economics and Political Science, LSE Library.
    237. Tao Chen, 2021. "Round‐number biases on trading time: Evidence from international markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(3), pages 469-495, September.
    238. Chiou, Calvin J. & Zhou, Xiaozhou & Chan, Chang, 2022. "A taxonomy of individual liquidity provision: Evidence from the Taiwan stock exchange," Finance Research Letters, Elsevier, vol. 50(C).
    239. Kun Li, 2018. "Do high-frequency fleeting orders exacerbate market illiquidity?," Electronic Commerce Research, Springer, vol. 18(2), pages 241-255, June.
    240. 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.
    241. 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.
    242. Sarah Draus & Mark van Achter, 2012. "Circuit Breakers and Market Runs," CSEF Working Papers 313, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.

  15. Albert J. Menkveld & Boyan Jovanovic, 2010. "Middlemen in Limit Order Markets," 2010 Meeting Papers 955, Society for Economic Dynamics.

    Cited by:

    1. Yacine Aït-Sahalia & Mehmet Saglam, 2013. "High Frequency Traders: Taking Advantage of Speed," NBER Working Papers 19531, National Bureau of Economic Research, Inc.
    2. Cesari, Riccardo & Marzo, Massimiliano & Zagaglia, Paolo, 2012. "Effective Trade Execution," MPRA Paper 39619, University Library of Munich, Germany.
    3. Dan LI & Norman SCHUERHOFF, 2014. "Dealer Networks," Swiss Finance Institute Research Paper Series 14-50, Swiss Finance Institute.
    4. Nidhi Aggarwal & Susan Thomas, 2014. "The causal impact of algorithmic trading on market quality," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2014-023, Indira Gandhi Institute of Development Research, Mumbai, India.
    5. Emiliano Pagnotta & Thomas Philippon, 2011. "Competing on Speed," NBER Working Papers 17652, National Bureau of Economic Research, Inc.
    6. Biais, Bruno & Foucault, Thierry & Moinas, Sophie, 2013. "Equilibrium Fast Trading," TSE Working Papers 13-387, Toulouse School of Economics (TSE), revised Sep 2014.
    7. Robert P. Bartlett, III & Justin McCrary, 2015. "Dark Trading at the Midpoint: Pricing Rules, Order Flow, and High Frequency Liquidity Provision," NBER Working Papers 21286, National Bureau of Economic Research, Inc.
    8. Bruno Biais & Thierry Foucault, 2014. "HFT and Market Quality," Bankers, Markets & Investors, ESKA Publishing, issue 128, pages 5-19, January-F.
    9. Rodolfo E. Manuelli & Adrian Peralta-Alva, 2011. "\\"Frictions in financial and labor markets\\": a summary of the 35th Annual Economic Policy Conference," Review, Federal Reserve Bank of St. Louis, vol. 93(July), pages 273-292.
    10. 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.).
    11. Dugast, J., 2013. "Limited attention and news arrival in limit order markets," Working papers 449, Banque de France.
    12. Gehrig, Thomas & Ritzberger, Klaus, 2022. "Intermediation and price volatility," Journal of Economic Theory, Elsevier, vol. 201(C).
    13. 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.
    14. 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.
    15. Garg, Karan, 2021. "Machines and Markets : Assessing the Impact of Algorithmic Trading on Financial Market Efficiency," Warwick-Monash Economics Student Papers 11, Warwick Monash Economics Student Papers.
    16. Hasbrouck, Joel & Saar, Gideon, 2013. "Low-latency trading," Journal of Financial Markets, Elsevier, vol. 16(4), pages 646-679.
    17. Aït-Sahalia, Yacine & Brunetti, Celso, 2020. "High frequency traders and the price process," Journal of Econometrics, Elsevier, vol. 217(1), pages 20-45.

  16. Hendershott, Terrence & Menkveld, Albert J., 2010. "Price pressures," CFS Working Paper Series 2010/14, Center for Financial Studies (CFS).

    Cited by:

    1. Gautier, Pieter & Hu, Bo & Watanabe, Makoto, 2016. "Marketmaking Middlemen," CEPR Discussion Papers 11437, C.E.P.R. Discussion Papers.
    2. Pierre-Olivier Weill & Johan Hombert & Bruno Biais, 2012. "Trading and liquidity with limited cognition," 2012 Meeting Papers 118, Society for Economic Dynamics.
    3. Roel Beetsma & Massimo Giuliodori & Frank de Jong & Daniel Widijanto, 2013. "Price Effects of Sovereign Debt Auctions in the Euro-zone: The Role of the Crisis," Tinbergen Institute Discussion Papers 13-150/VI, Tinbergen Institute.
    4. Conrad, Jennifer & Wahal, Sunil & Xiang, Jin, 2015. "High-frequency quoting, trading, and the efficiency of prices," Journal of Financial Economics, Elsevier, vol. 116(2), pages 271-291.
    5. 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).
    6. Foucault , Thierry & Kozhan , Roman, 2014. "Toxic Arbitrage," HEC Research Papers Series 1040, HEC Paris.
    7. Stefan Nagel, 2011. "Evaporating Liquidity," NBER Working Papers 17653, National Bureau of Economic Research, Inc.
    8. Pierre-Olivier Weill & Guillaume Rocheteau & Ricardo Lagos, 2010. "Crises and Liquidity in Over-the-counter Markets," 2010 Meeting Papers 500, Society for Economic Dynamics.
    9. Vayanos, Dimitri & Wang, Jiang, 2012. "Market liquidity - theory and empirical evidence," LSE Research Online Documents on Economics 119044, London School of Economics and Political Science, LSE Library.
    10. Evans, Martin, 2017. "Forex Trading and the WMR Fix," MPRA Paper 81583, University Library of Munich, Germany, revised 25 Sep 2017.
    11. Sabrina Buti & Barbara Rindi & Ingrid M. Werner, 2011. "Dark Pool Trading Strategies," Working Papers 421, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    12. Rinne, Kalle & Suominen, Matti, 2017. "How some bankers made a million by trading just two securities?," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 304-315.
    13. Friederich, Sylvain & Payne, Richard, 2015. "Order-to-trade ratios and market liquidity," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 214-223.
    14. So, Eric C. & Wang, Sean, 2014. "News-driven return reversals: Liquidity provision ahead of earnings announcements," Journal of Financial Economics, Elsevier, vol. 114(1), pages 20-35.
    15. ap Gwilym, O. & Kita, A. & Wang, Q., 2014. "Speculate against speculative demand," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 212-221.
    16. Sifat, Imtiaz Mohammad & Mohamad, Azhar, 2015. "Order imbalance and selling aggression under a shorting ban: Evidence from the UK," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 368-379.
    17. Fuertes, Ana-Maria & Phylaktis, Kate & Yan, Cheng, 2016. "Hot money in bank credit flows to emerging markets during the banking globalization era," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 29-52.

  17. Albert J. Menkveld & Asani Sarkar & Michel Van der Wel, 2009. "Are market makers uninformed and passive? Signing trades in the absence of quotes," Staff Reports 395, Federal Reserve Bank of New York.

    Cited by:

    1. Anne Opschoor & Michel van der Wel & Dick van Dijk & Nick Taylor, 2011. "On the Effects of Private Information on Volatility," Tinbergen Institute Discussion Papers 11-077/4, Tinbergen Institute.
    2. Opschoor, Anne & Taylor, Nick & van der Wel, Michel & van Dijk, Dick, 2014. "Order flow and volatility: An empirical investigation," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 185-201.

  18. Hendershott, Terrence & Jones, Charles M. & Menkveld, Albert J., 2008. "Does algorithmic trading improve liquidity?," CFS Working Paper Series 2008/41, Center for Financial Studies (CFS).

    Cited by:

    1. Nopparat Wongsinhirun & Pattanaporn Chatjuthamard & Sirimon Treepongkaruna & Tanakorn Likitapiwatc, 2021. "Do algorithm traders mitigate insider trading profits?: Evidence from the Thai stock market," PLOS ONE, Public Library of Science, vol. 16(7), pages 1-15, July.
    2. Bongaerts, Dion & Achter, Mark Van, 2021. "Competition among liquidity providers with access to high-frequency trading technology," Journal of Financial Economics, Elsevier, vol. 140(1), pages 220-249.
    3. Watson, Ethan D. & Woods, Donovan, 2022. "Exchange introduction and market competition: The entrance of MEMX and MIAX," Global Finance Journal, Elsevier, vol. 54(C).
    4. Rohini Grover, 2017. "The informational role of algorithmic traders in the option market," Working Papers id:11701, eSocialSciences.
    5. Bruno Biais & Fany Declerck & Sophie Moinas, 2016. "Who supplies liquidity, how and when?," BIS Working Papers 563, Bank for International Settlements.
    6. Clapham, Benjamin & Gomber, Peter & Lausen, Jens & Panz, Sven, 2021. "Liquidity provider incentives in fragmented securities markets," Journal of Empirical Finance, Elsevier, vol. 60(C), pages 16-38.
    7. Edward Sun & Timm Kruse & Min-Teh Yu, 2014. "High frequency trading, liquidity, and execution cost," Annals of Operations Research, Springer, vol. 223(1), pages 403-432, December.
    8. 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.
    9. 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.
    10. Czech, Robert & Huang, Shiyang & Lou, Dong & Wang, Tianyu, 2021. "Informed trading in government bond markets," LSE Research Online Documents on Economics 118857, London School of Economics and Political Science, LSE Library.
    11. Marouane Anane & Frédéric Abergel, 2014. "Optimal high frequency strategy in an omniscient order book," Working Papers hal-01006401, HAL.
    12. 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.
    13. 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).
    14. Erik Vogt & Michael Fleming & Or Shachar & Tobias Adrian, 2017. "Market Liquidity After the Financial Crisis," Annual Review of Financial Economics, Annual Reviews, vol. 9(1), pages 43-83, November.
    15. Jeffrey MacIntosh, 2013. "High Frequency Traders: Angels or Devils?," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 391, October.
    16. Yacine Aït-Sahalia & Mehmet Saglam, 2013. "High Frequency Traders: Taking Advantage of Speed," NBER Working Papers 19531, National Bureau of Economic Research, Inc.
    17. 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.
    18. Gomber, Peter & Gsell, Markus, 2009. "Algorithmic trading engines versus human traders: Do they behave different in securities markets?," CFS Working Paper Series 2009/10, Center for Financial Studies (CFS).
    19. Anderson, Nicola & Webber, Lewis & Noss, Joseph & Beale, Daniel & Crowley-Reidy, Liam, 2015. "Financial Stability Paper 34: The resilience of financial market liquidity," Bank of England Financial Stability Papers 34, Bank of England.
    20. Pei, Duo & Vasarhelyi, Miklos A., 2020. "Big data and algorithmic trading against periodic and tangible asset reporting: The need for U-XBRL," International Journal of Accounting Information Systems, Elsevier, vol. 37(C).
    21. Wing Wah Tham & Elvira Sojli & Johannes A. Skjeltorp, 2018. "Cross-Sided Liquidity Externalities," Management Science, INFORMS, vol. 64(6), pages 2901-2929, June.
    22. 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.
    23. Foley, Sean & Kwan, Amy & Philip, Richard & Ødegaard, Bernt Arne, 2022. "Contagious margin calls: How COVID-19 threatened global stock market liquidity," Journal of Financial Markets, Elsevier, vol. 59(PA).
    24. Chelley-Steeley, Patricia L. & Lambertides, Neophytos & Steeley, James M., 2016. "Explaining turn of the year order flow imbalance," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 76-95.
    25. Chen, Tao, 2018. "Round-number biases and informed trading in global markets," Journal of Business Research, Elsevier, vol. 92(C), pages 105-117.
    26. Dionne, Georges & Zhou, Xiaozhou, 2016. "The Dynamics of Ex-ante High-Frequency Liquidity: An Empirical Analysis," Working Papers 15-5, HEC Montreal, Canada Research Chair in Risk Management.
    27. Petri Jylhä & Kalle Rinne & Matti Suominen, 2014. "Do Hedge Funds Supply or Demand Liquidity?," Review of Finance, European Finance Association, vol. 18(4), pages 1259-1298.
    28. Alan Chow & Kyre Dane Lahtinen & Chris Lawrey, 2021. "The Investors Exchange’s (IEX) impact on investors," Journal of Asset Management, Palgrave Macmillan, vol. 22(1), pages 51-61, February.
    29. 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".
    30. 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).
    31. Maryam Farboodi & Laura Veldkamp, 2017. "Long Run Growth of Financial Technology," NBER Working Papers 23457, National Bureau of Economic Research, Inc.
    32. Mark Paddrik & Roy Hayes & William Scherer & Peter Beling, 2014. "Effects of Limit Order Book Information Level on Market Stability Metrics," Working Papers 14-09, Office of Financial Research, US Department of the Treasury.
    33. Indriawan, Ivan & Martinez, Valeria & Tse, Yiuman, 2021. "The impact of the change in USDA announcement release procedures on agricultural commodity futures," Journal of Commodity Markets, Elsevier, vol. 23(C).
    34. Zhifeng Cai, 2020. "Dynamic information acquisition and time-varying uncertainty," Departmental Working Papers 202002, Rutgers University, Department of Economics.
    35. 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.
    36. Hoffmann, Peter, 2013. "A dynamic limit order market with fast and slow traders," Working Paper Series 1526, European Central Bank.
    37. Allen, Franklin & Haas, Marlene D. & Nowak, Eric & Tengulov, Angel, 2021. "Market efficiency and limits to arbitrage: Evidence from the Volkswagen short squeeze," Journal of Financial Economics, Elsevier, vol. 142(1), pages 166-194.
    38. Hardy Johnson & Brian Roseman, 2017. "Odd Lot Order Aggressiveness And Stealth Trading," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 40(2), pages 249-281, June.
    39. 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.
    40. Vincent Van Kervel & Albert J. Menkveld, 2019. "High‐Frequency Trading around Large Institutional Orders," Journal of Finance, American Finance Association, vol. 74(3), pages 1091-1137, June.
    41. Grzegorz Zimon & Dominik Zimon, 2020. "The Impact of Purchasing Group on the Profitability of Companies Operating in the Renewable Energy Sector—The Case of Poland," Energies, MDPI, vol. 13(24), pages 1-15, December.
    42. 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.
    43. Arie E. Gozluklu & Pietro Perotti & Barbara Rindi & Roberta Fredella, 2015. "Lot Size Constraints and Market Quality: Evidence from the Borsa Italiana," Financial Management, Financial Management Association International, vol. 44(4), pages 905-945, October.
    44. Oliver Linton & Soheil Mahmoodzadeh, 2018. "Implications of high-frequency trading for security markets," CeMMAP working papers CWP06/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    45. 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.
    46. Benos, Evangelos & Sagade, Satchit, 2016. "Price discovery and the cross-section of high-frequency trading," Journal of Financial Markets, Elsevier, vol. 30(C), pages 54-77.
    47. Robert Garrison & Pankaj Jain & Mark Paddrik, 2019. "Cross-Asset Market Order Flow, Liquidity, and Price Discovery," Working Papers 19-04, Office of Financial Research, US Department of the Treasury.
    48. Tao Xiong & Miao Li, 2024. "A tale of two contracts: Was the SHFE copper futures market disrupted by the listing of INE bonded copper futures?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(2), pages 281-301, February.
    49. Baginski, Stephen P. & Demers, Elizabeth & Kausar, Asad & Yu, Yingri Julia, 2018. "Linguistic tone and the small trader," Accounting, Organizations and Society, Elsevier, vol. 68, pages 21-37.
    50. Manahov, Viktor, 2016. "A note on the relationship between high-frequency trading and latency arbitrage," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 281-296.
    51. Carole Gresse, 2017. "Effects of Lit and Dark Market Fragmentation on Liquidity," Post-Print hal-01631771, HAL.
    52. Dyakov, Teodor & Verbeek, Marno, 2013. "Front-running of mutual fund fire-sales," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4931-4942.
    53. Kashyap, Ravi, 2020. "David vs Goliath (You against the Markets), A dynamic programming approach to separate the impact and timing of trading costs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
    54. 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.
    55. 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.
    56. 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.
    57. Chang, Sanders S. & Albert Wang, F., 2019. "Informed contrarian trades and stock returns," Journal of Financial Markets, Elsevier, vol. 42(C), pages 75-93.
    58. Biais, Bruno & Weill, Pierre-Olivier, 2009. "Liquidity Shocks and Order Book Dynamics," TSE Working Papers 09-037, Toulouse School of Economics (TSE).
    59. 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.
    60. Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu & Qing-Qing Yang, 2016. "Trading Strategy with Stochastic Volatility in a Limit Order Book Market," Papers 1602.00358, arXiv.org.
    61. Philipp N. Herrmann & Dennis O. Kundisch & Mohammad S. Rahman, 2015. "Beating Irrationality: Does Delegating to IT Alleviate the Sunk Cost Effect?," Management Science, INFORMS, vol. 61(4), pages 831-850, April.
    62. Miko{l}aj Bi'nkowski & Charles-Albert Lehalle, 2018. "Endogeneous Dynamics of Intraday Liquidity," Papers 1811.03766, arXiv.org.
    63. Denitsa Stefanova & Arjen Siegmann, 2014. "The Evolving Beta-Liquidity Relationship of Hedge Funds," LSF Research Working Paper Series 14-12, Luxembourg School of Finance, University of Luxembourg.
    64. 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).
    65. Ahmed Baig & Nasim Sabah & Drew Winters, 2019. "Have Stock Prices become more Uniformly Distributed?," Economics Bulletin, AccessEcon, vol. 39(2), pages 1242-1250.
    66. Degryse, H.A. & de Jong, F.C.J.M. & van Kervel, V.L., 2011. "The Impact of Dark and Visible Fragmentation on Market Quality (Replaces EBC Discussion Paper 2011-013)," Other publications TiSEM 3ff46941-c3ff-4ba4-9a5b-d, Tilburg University, School of Economics and Management.
    67. 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.
    68. Niemand, Thomas & Rigtering, J.P. Coen & Kallmünzer, Andreas & Kraus, Sascha & Maalaoui, Adnane, 2021. "Digitalization in the financial industry: A contingency approach of entrepreneurial orientation and strategic vision on digitalization," European Management Journal, Elsevier, vol. 39(3), pages 317-326.
    69. 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.
    70. 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.
    71. Thanos Verousis & Pietro Perotti & Georgios Sermpinis, 2018. "One size fits all? High frequency trading, tick size changes and the implications for exchanges: market quality and market structure considerations," Review of Quantitative Finance and Accounting, Springer, vol. 50(2), pages 353-392, February.
    72. Van Ness, Bonnie & Van Ness, Robert & Yildiz, Serhat, 2021. "Private information in trades, R2, and large stock price movements," Journal of Banking & Finance, Elsevier, vol. 131(C).
    73. Yonatan Berman & Yoash Shapira & Eshel Ben-Jacob, 2014. "Unraveling Hidden Order in the Dynamics of Developed and Emerging Markets," PLOS ONE, Public Library of Science, vol. 9(11), pages 1-10, November.
    74. Franklin Allen & Julapa Jagtiani, 2020. "A Survey of Fintech Research and Policy Discussion," Working Papers 20-21, Federal Reserve Bank of Philadelphia.
    75. Auer, Benjamin R. & Rottmann, Horst, 2018. "Have capital market anomalies worldwide attenuated in the recent era of high liquidity and trading activity?," Weidener Diskussionspapiere 64, University of Applied Sciences Amberg-Weiden (OTH).
    76. Ms. Thornton Matheson, 2011. "Taxing Financial Transactions: Issues and Evidence," IMF Working Papers 2011/054, International Monetary Fund.
    77. Remzi Uctum & Patricia Renou‐Maissant & Georges Prat & Sylvie Lecarpentier‐Moyal, 2017. "Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data," Review of Financial Economics, John Wiley & Sons, vol. 35(1), pages 43-56, November.
    78. Moriyasu, Hiroshi & Wee, Marvin & Yu, Jing, 2018. "The role of algorithmic trading in stock liquidity and commonality in electronic limit order markets," Pacific-Basin Finance Journal, Elsevier, vol. 49(C), pages 103-128.
    79. Oualid Bada & Alois Kneip & Dominik Liebl & Tim Mensinger & James Gualtieri & Robin C. Sickles, 2021. "A Wavelet Method for Panel Models with Jump Discontinuities in the Parameters," Papers 2109.10950, arXiv.org.
    80. Austin Gerig & David Michayluk, 2014. "Automated Liquidity Provision," Research Paper Series 345, Quantitative Finance Research Centre, University of Technology, Sydney.
    81. Stephanie Ligot & Roland Gillet & Iryna Veryzhenko, 2021. "Intraday volatility smile: Effects of fragmentation and high frequency trading on price efficiency," Post-Print hal-03621248, HAL.
    82. Ivan Breskovic & Ivona Brandic & Jorn Altmann, 2013. "Maximizing Liquidity in Cloud Markets through Standardization of Computational Resources," TEMEP Discussion Papers 2013100, Seoul National University; Technology Management, Economics, and Policy Program (TEMEP), revised Feb 2013.
    83. Conrad, Jennifer & Wahal, Sunil & Xiang, Jin, 2015. "High-frequency quoting, trading, and the efficiency of prices," Journal of Financial Economics, Elsevier, vol. 116(2), pages 271-291.
    84. 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.
    85. 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.
    86. Nicholas Hirschey, 2021. "Do High-Frequency Traders Anticipate Buying and Selling Pressure?," Management Science, INFORMS, vol. 67(6), pages 3321-3345, June.
    87. 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.
    88. Aggarwal, Nidhi & Panchapagesan, Venkatesh & Thomas, Susan, 2023. "When is the order-to-trade ratio fee effective?," Journal of Financial Markets, Elsevier, vol. 62(C).
    89. 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.
    90. 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).
    91. Foucault , Thierry & Kozhan , Roman, 2014. "Toxic Arbitrage," HEC Research Papers Series 1040, HEC Paris.
    92. 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.
    93. Chen, Rui & Ren, Jinjuan, 2022. "Do AI-powered mutual funds perform better?," Finance Research Letters, Elsevier, vol. 47(PA).
    94. 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.
    95. Kingsley Y. L. Fong & F. Douglas Foster & David R. Gallagher & Adrian D. Lee, 2016. "How has the Relevance of Institutional Brokerage Changed?," International Review of Finance, International Review of Finance Ltd., vol. 16(4), pages 499-524, December.
    96. 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.
    97. Nidhi Aggarwal & Venkatesh Panchapagesan & Susan Thomas, 2019. "When do regulatory interventions work?," Working Papers id:13040, eSocialSciences.
    98. Chakrabarty, Bidisha & Moulton, Pamela C. & Wang, Xu (Frank), 2022. "Attention: How high-frequency trading improves price efficiency following earnings announcements," Journal of Financial Markets, Elsevier, vol. 57(C).
    99. -, 2018. "Data, algorithms and policies: Redefining the digital world," Libros y Documentos Institucionales, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), number 43515 edited by Eclac.
    100. Wang, Xue & Yan, Xuemin (Sterling) & Zheng, Lingling, 2020. "Shorting flows, public disclosure, and market efficiency," Journal of Financial Economics, Elsevier, vol. 135(1), pages 191-212.
    101. Johannes A. Skjeltorp & Elvira Sojli & Wing Wah Tham, 2012. "Identifying cross-sided liquidity externalities," Working Paper 2012/20, Norges Bank.
    102. 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.
    103. 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.
    104. Eaton, Gregory W. & Green, T. Clifton & Roseman, Brian S. & Wu, Yanbin, 2022. "Retail trader sophistication and stock market quality: Evidence from brokerage outages," Journal of Financial Economics, Elsevier, vol. 146(2), pages 502-528.
    105. Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2018. "Do liquidity proxies measure liquidity accurately in ETFs?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 94-111.
    106. Zeynep Cobandag Guloglu & Cumhur Ekinci, 2022. "Liquidity measurement: A comparative review of the literature with a focus on high frequency," Journal of Economic Surveys, Wiley Blackwell, vol. 36(1), pages 41-74, February.
    107. Jing Nie & Juliana Malagon & Julian Williams, 2022. "The impact of high speed quoting on execution risk dynamics: Evidence from interest rate futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1434-1465, August.
    108. 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.
    109. 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.
    110. Comerton-Forde, Carole & Grégoire, Vincent & Zhong, Zhuo, 2019. "Inverted fee structures, tick size, and market quality," Journal of Financial Economics, Elsevier, vol. 134(1), pages 141-164.
    111. Roseman, Brian S. & Van Ness, Bonnie F. & Van Ness, Robert A., 2018. "Odd-lot trading in U.S. equities," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 125-133.
    112. 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.
    113. Alexis Stenfors & Masayuki Susai, 2017. "Liquidity Withdrawal in the FX Spot Market: A Cross-Country Study Using High-Frequency Data," Working Papers in Economics & Finance 2017-06, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    114. 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.
    115. Chen, Shi & Härdle, Wolfgang & Schienle, Melanie, 2021. "High-dimensional statistical learning techniques for time-varying limit order book networks," IRTG 1792 Discussion Papers 2021-015, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    116. Ding, Mingfa & Shen, Mi & Suardi, Sandy, 2022. "Blockholders, tradability and information asymmetry: Evidence from Chinese listed firms," Research in International Business and Finance, Elsevier, vol. 60(C).
    117. 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.
    118. Alexander Brauneis & Roland Mestel & Ryan Riordan & Erik Theissen, 2018. "A High-Frequency Analysis of Bitcoin Markets," Working Paper Series, Social and Economic Sciences 2018-06, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.
    119. Thierry Foucault & Ohad Kadan & Eugene Kandel, 2013. "Liquidity Cycles and Make/Take Fees in Electronic Markets," Post-Print hal-00789263, HAL.
    120. Alex Frino & Ognjen Kovačević & Vito Mollica & Robert I. Webb, 2020. "The sensitivity of trading to the cost of information," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(10), pages 1631-1644, October.
    121. James Brugler & Carole Comerton-Forde & J Spencer Martin, 2022. "Secondary Market Transparency and Corporate Bond Issuing Costs [Asset pricing and the bid–ask spread]," Review of Finance, European Finance Association, vol. 26(1), pages 43-77.
    122. Pawan Jain & Spenser J. Robinson & Arjun J. Singh & Mark Sunderman, 2017. "Hospitality REITs and financial crisis: a comprehensive assessment of market quality," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 35(3), pages 277-289, April.
    123. Nidhi Aggarwal & Susan Thomas, 2014. "The causal impact of algorithmic trading on market quality," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2014-023, Indira Gandhi Institute of Development Research, Mumbai, India.
    124. Hoffmann, Peter & Colliard, Jean-Edouard, 2017. "Financial transaction taxes, market composition, and liquidity," Working Paper Series 2030, European Central Bank.
    125. Gousgounis, Eleni & Onur, Esen, 2018. "The effect of pit closure on futures trading," Journal of Commodity Markets, Elsevier, vol. 10(C), pages 69-90.
    126. 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).
    127. Dyl, Edward A. & Yuksel, H. Zafer & Zaynutdinova, Gulnara R., 2019. "Price reversals and price continuations following large price movements," Journal of Business Research, Elsevier, vol. 95(C), pages 1-12.
    128. Bruno Breyer Caldas & João Frois Caldeira & Guilherme Vale Moura, 2016. "Is Pairs Trading Performance Sensitive To The Methodologies?: A Comparison," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting] 130, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    129. Piccotti, Louis R., 2016. "Pricing errors and the geography of trade in the foreign exchange market," Journal of Financial Markets, Elsevier, vol. 28(C), pages 46-69.
    130. 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.
    131. Shang, Chenguang, 2020. "Trade credit and stock liquidity," Journal of Corporate Finance, Elsevier, vol. 62(C).
    132. Marie Chen & Corey Garriott, 2018. "High-Frequency Trading and Institutional Trading Costs," Staff Working Papers 18-8, Bank of Canada.
    133. 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.
    134. Benjamin Myers & Austin Gerig, 2013. "Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets," Papers 1311.4160, arXiv.org.
    135. 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.
    136. Li, Kevin K. & You, Haifeng, 2015. "What is the value of sell-side analysts? Evidence from coverage initiations and terminations," Journal of Accounting and Economics, Elsevier, vol. 60(2), pages 141-160.
    137. Upson, James & Van Ness, Robert A., 2017. "Multiple markets, algorithmic trading, and market liquidity," Journal of Financial Markets, Elsevier, vol. 32(C), pages 49-68.
    138. Aitken, Michael & Chen, Haoming & Foley, Sean, 2017. "The impact of fragmentation, exchange fees and liquidity provision on market quality," Journal of Empirical Finance, Elsevier, vol. 41(C), pages 140-160.
    139. Efstathios Panayi & Gareth W. Peters, 2015. "Stochastic simulation framework for the limit order book using liquidity-motivated agents," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(02), pages 1-52.
    140. 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.
    141. Roşu, Ioanid, 2019. "Fast and slow informed trading," Journal of Financial Markets, Elsevier, vol. 43(C), pages 1-30.
    142. 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.
    143. Foucault, Thierry & Moinas, Sophie, 2018. "Is Trading Fast Dangerous?," TSE Working Papers 18-881, Toulouse School of Economics (TSE).
    144. Novotný, Jan & Petrov, Dmitri & Urga, Giovanni, 2015. "Trading price jump clusters in foreign exchange markets," Journal of Financial Markets, Elsevier, vol. 24(C), pages 66-92.
    145. 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.
    146. Stefan Nagel, 2011. "Evaporating Liquidity," NBER Working Papers 17653, National Bureau of Economic Research, Inc.
    147. Damien Wallace & Petko S. Kalev & Guanhua Lian, 2019. "The evolution of price discovery in us equity and derivatives markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1122-1136, September.
    148. Comerton-Forde, Carole & Putniņš, Tālis J., 2015. "Dark trading and price discovery," Journal of Financial Economics, Elsevier, vol. 118(1), pages 70-92.
    149. Thornton Matheson, 2012. "Security transaction taxes: issues and evidence," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 19(6), pages 884-912, December.
    150. Tom Grimstvedt Meling, 2021. "Anonymous Trading in Equities," Journal of Finance, American Finance Association, vol. 76(2), pages 707-754, April.
    151. Matteo Aquilina & Eric Budish & Peter O'Neill, 2021. "Quantifying the high-frequency trading "arms race"," BIS Working Papers 955, Bank for International Settlements.
    152. Matthew Brigida, 2020. "Real-Time Detection of Volatility in Liquidity Provision," Papers 2011.10930, arXiv.org.
    153. Steven L. Heston & Robert A. Korajczyk & Ronnie Sadka, 2010. "Intraday Patterns in the Cross-section of Stock Returns," Papers 1005.3535, arXiv.org.
    154. Ji-Yong Seo & Sangmi Chai, 2013. "The role of algorithmic trading systems on stock market efficiency," Information Systems Frontiers, Springer, vol. 15(5), pages 873-888, November.
    155. Jens Hilscher & Joshua M. Pollet & Mungo Wilson, 2011. "Are credit default swaps a sideshow? Evidence that Information Flows from Equity to CDS Markets," Working Papers 35, Brandeis University, Department of Economics and International Business School, revised May 2013.
    156. Degryse, H.A. & de Jong, F.C.J.M. & van Kervel, V.L., 2014. "The impact of dark trading and visible fragmentation on market quality," Other publications TiSEM a51b5d9e-2687-4972-930f-4, Tilburg University, School of Economics and Management.
    157. 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.
    158. Jakub Kučera, 2013. "Definition, Benefits and Risks of High-Frequency Trading [Vymezení, přínosy a rizika vysokofrekvenčního obchodování]," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2013(5), pages 3-30.
    159. Justin Cox & Bonnie Van Ness & Robert Van Ness, 2019. "Increasing the Tick: Examining the Impact of the Tick Size Change on Maker‐Taker and Taker‐Maker Market Models," The Financial Review, Eastern Finance Association, vol. 54(3), pages 417-449, August.
    160. Karolis Liaudinskas, 2019. "Human vs. Machine: Disposition Effect Among Algorithmic and Human Day-traders," Working Papers 1133, Barcelona School of Economics.
    161. Rossi, Stefano & Tinn, Katrin, 2014. "Man or machine? Rational trading without information about fundamentals," CEPR Discussion Papers 9958, C.E.P.R. Discussion Papers.
    162. Cécile Bastidon, 2017. "Stock markets fragmentation, volatility and final investors," Post-Print hal-03318507, HAL.
    163. Chiarella, Carl & Ladley, Daniel, 2016. "Chasing trends at the micro-level: The effect of technical trading on order book dynamics," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 119-131.
    164. Patel, Vinay & Putniņš, Tālis J. & Michayluk, David & Foley, Sean, 2020. "Price discovery in stock and options markets," Journal of Financial Markets, Elsevier, vol. 47(C).
    165. 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).
    166. Kohler, Alexander & von Wyss, Rico, 2012. "Where does Information Processing in a Fragmented Market Take Place? – Evidence from the Swiss Stock Market after MiFID," Working Papers on Finance 1209, University of St. Gallen, School of Finance.
    167. 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.
    168. 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.
    169. 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.
    170. Veldkamp, Laura & Farboodi, Maryam, 2018. "Long Run Growth of Financial Data Technology," CEPR Discussion Papers 13278, C.E.P.R. Discussion Papers.
    171. Degryse, Hans & Karagiannis, Nikolaos & Tombeur, Geoffrey & Wuyts, Gunther, 2021. "Two shades of opacity: Hidden orders and dark trading," Journal of Financial Intermediation, Elsevier, vol. 47(C).
    172. Mignamissi, Dieudonné & Djijo T., Audrey J., 2021. "Digital divide and financial development in Africa," Telecommunications Policy, Elsevier, vol. 45(9).
    173. Ayad Assoil & Ndéné Ka & Jules Sadefo-Kamdem, 2021. "Analysis of the Dynamic Relationship between Liquidityproxies and returns on French CAC 40 index," Post-Print hal-03282991, HAL.
    174. Hans Degryse & Rudy de Winne & Carole Gresse & Richard Payne, 2018. "High frequency trading and ghost liquidity," Post-Print hal-01894838, HAL.
    175. Albert Menkveld & Marius Andrei Zoican, 2016. "Need for Speed? Exchange Latency and Liquidity," Working Papers hal-01253615, HAL.
    176. Gresse, Carole, 2017. "Effects of lit and dark market fragmentation on liquidity," Journal of Financial Markets, Elsevier, vol. 35(C), pages 1-20.
    177. Ryan Garvey & Tao Huang & Fei Wu, 2021. "Is faster or slower trading better? An examination of order type execution speed and costs," European Financial Management, European Financial Management Association, vol. 27(2), pages 326-363, March.
    178. Chakrabarty, Bidisha & Pascual, Roberto, 2023. "Stock liquidity and algorithmic market making during the COVID-19 crisis," Journal of Banking & Finance, Elsevier, vol. 147(C).
    179. Bonnie F. Van Ness & Robert A. Van Ness & Serhat Yildiz, 2017. "The role of HFTs in order flow toxicity and stock price variance, and predicting changes in HFTs’ liquidity provisions," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(4), pages 739-762, October.
    180. 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.
    181. Albert S. Kyle & Anna Obizhaeva & Tugkan Tuzun, 2016. "Microstructure Invariance in U.S. Stock Market Trades," Working Papers w0230, Center for Economic and Financial Research (CEFIR).
    182. Millicent Chang & John Gould & Yuyun Huang & Sirimon Treepongkaruna & Joey Wenling Yang, 2022. "Insider trading and the algorithmic trading environment," International Review of Finance, International Review of Finance Ltd., vol. 22(4), pages 725-750, December.
    183. Tourani-Rad, Alireza & Gilbert, Aaron & Chen, Jun, 2016. "Are foreign IPOs really foreign? Price efficiency and information asymmetry of Chinese foreign IPOs," Journal of Banking & Finance, Elsevier, vol. 63(C), pages 95-106.
    184. Chakrabarty, Bidisha & Pascual, Roberto & Shkilko, Andriy, 2015. "Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm," Journal of Financial Markets, Elsevier, vol. 25(C), pages 52-79.
    185. Soosung Hwang & Alexandre Rubesam, 2015. "The disappearance of momentum," The European Journal of Finance, Taylor & Francis Journals, vol. 21(7), pages 584-607, May.
    186. Corbet, Shaen & McMullan, Caroline, 2018. "Stock market reaction to irregular supermarket chain behaviour: An investigation in the retail sectors of Ireland and the United Kingdom," Journal of Retailing and Consumer Services, Elsevier, vol. 43(C), pages 20-29.
    187. Alex Boulatov & Thomas J. George, 2013. "Hidden and Displayed Liquidity in Securities Markets with Informed Liquidity Providers," The Review of Financial Studies, Society for Financial Studies, vol. 26(8), pages 2096-2137.
    188. 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.
    189. Hoffmann, Peter, 2014. "A dynamic limit order market with fast and slow traders," Journal of Financial Economics, Elsevier, vol. 113(1), pages 156-169.
    190. Lausen, Jens & Clapham, Benjamin & Gomber, Peter & Bender, Micha, 2022. "Drivers and effects of stock market fragmentation - Insights on SME stocks," SAFE Working Paper Series 367, Leibniz Institute for Financial Research SAFE.
    191. Xiaoyu Li & Jiahong Yuan & Yan Shi & Zilai Sun & Junhu Ruan, 2020. "Emerging Trends and Innovation Modes of Internet Finance—Results from Co-Word and Co-Citation Networks," Future Internet, MDPI, vol. 12(3), pages 1-14, March.
    192. Angelo Ranaldo & Fabricius Somogyi, 2018. "Asymmetric Information Risk in FX Markets," Working Papers on Finance 1820, University of St. Gallen, School of Finance, revised Apr 2020.
    193. 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).
    194. Ivan Diaz-Rainey & John Ashton & Maz Yap & Murat Genc & Rosalind Whiting, 2015. "The determinants of regulatory responses to risks from financial innovation: Survey evidence from G20," Working Papers 15001, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
    195. 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.
    196. Hoffmann, Peter, 2012. "A dynamic limit order market with fast and slow traders," MPRA Paper 39855, University Library of Munich, Germany.
    197. Marvin Wee & Joey W. Yang, 2016. "The Evolution of Informed Liquidity Provision: Evidence from an Order†driven Market," European Financial Management, European Financial Management Association, vol. 22(5), pages 882-915, November.
    198. 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).
    199. Fangjian Fu & Sheng Huang, 2016. "The Persistence of Long-Run Abnormal Returns Following Stock Repurchases and Offerings," Management Science, INFORMS, vol. 62(4), pages 964-984, April.
    200. 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).
    201. 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.
    202. Justin Cox & Bonnie Van Ness & Robert Van Ness, 2022. "The dark side of IPOs: Examining where and who trades in the IPO secondary market," Financial Management, Financial Management Association International, vol. 51(4), pages 1091-1126, December.
    203. 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.
    204. Shiyang Huang & Bart Zhou Yueshen, 2021. "Speed Acquisition," Management Science, INFORMS, vol. 67(6), pages 3492-3518, June.
    205. Frino, Alex & Prodromou, Tina & Wang, George H.K. & Westerholm, P. Joakim & Zheng, Hui, 2017. "An empirical analysis of algorithmic trading around earnings announcements," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 34-51.
    206. Jansen, Ivo Ph. & Nikiforov, Andrei L., 2022. "Intertemporal variation in abnormal volume around earnings announcements: “Distraction” or “flocking-and-dispersing”?," Economics Letters, Elsevier, vol. 218(C).
    207. Chaiyuth Padungsaksawasdi & Robert T. Daigler, 2014. "The Return‐Implied Volatility Relation for Commodity ETFs," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(3), pages 261-281, March.
    208. Notheisen, Benedikt & Marino, Vincenzo & Englert, Daniel & Weinhardt, Christof, 2019. "Trading stocks on blocks: The quality of decentralized markets," Working Paper Series in Economics 129, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
    209. Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2013. "ETF arbitrage: Intraday evidence," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3486-3498.
    210. Abad, David & Massot, Magdalena & Pascual, Roberto, 2018. "Evaluating VPIN as a trigger for single-stock circuit breakers," Journal of Banking & Finance, Elsevier, vol. 86(C), pages 21-36.
    211. 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).
    212. Sadoghi, Amirhossein & Vecer, Jan, 2022. "Optimal liquidation problem in illiquid markets," European Journal of Operational Research, Elsevier, vol. 296(3), pages 1050-1066.
    213. Duong, Huu Nhan & Kalev, Petko S., 2014. "Anonymity and the Information Content of the Limit Order Book," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 205-219.
    214. Grzegorz Zimon & Marek Sobolewski & Grzegorz Lew, 2020. "An Influence of Group Purchasing Organizations on Financial Security of SMEs Operating in the Renewable Energy Sector—Case for Poland," Energies, MDPI, vol. 13(11), pages 1-17, June.
    215. Markus Baldauf & Joshua Mollner, 2015. "High-Frequency Trading and Market Performance," Discussion Papers 15-017, Stanford Institute for Economic Policy Research.
    216. Matteo Aquilina & Eric Budish, 2020. "Quantifying the High-Frequency Trading “Arms Race†: A Simple New Methodology and Estimates," Working Papers 2020-86, Becker Friedman Institute for Research In Economics.
    217. Ibikunle, Gbenga & Rzayev, Khaladdin, 2023. "Volatility and dark trading: Evidence from the Covid-19 pandemic," The British Accounting Review, Elsevier, vol. 55(4).
    218. Zhou, Hao & Kalev, Petko S. & Frino, Alex, 2020. "Algorithmic trading in turbulent markets," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
    219. Hendershott, Terrence & Menkveld, Albert J., 2014. "Price pressures," Journal of Financial Economics, Elsevier, vol. 114(3), pages 405-423.
    220. Yılmaz, Mustafa Kemal & Erdem, Orhan & Eraslan, Veysel & Arık, Evren, 2015. "Technology upgrades in emerging equity markets: Effects on liquidity and trading activity," Finance Research Letters, Elsevier, vol. 14(C), pages 87-92.
    221. Ding, Mingfa & Suardi, Sandy, 2019. "Government ownership and stock liquidity: Evidence from China," Emerging Markets Review, Elsevier, vol. 40(C), pages 1-1.
    222. Nilabhra Bhattacharya & Bidisha Chakrabarty & Xu (Frank) Wang, 2020. "High-frequency traders and price informativeness during earnings announcements," Review of Accounting Studies, Springer, vol. 25(3), pages 1156-1199, September.
    223. Chung, Dennis Y. & Hrazdil, Karel & Novak, Jiri & Suwanyangyuan, Nattavut, 2019. "Does the large amount of information in corporate disclosures hinder or enhance price discovery in the capital market?," Journal of Contemporary Accounting and Economics, Elsevier, vol. 15(1), pages 36-52.
    224. 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).
    225. 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.
    226. Ding, Mingfa & He, Zhongda & Jia, Yuecheng & Shen, Mi, 2021. "State ownership, implicit government guarantees, and crash risk: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
    227. Amirhossein Sadoghi & Jan Vecer, 2022. "Optimal liquidation problem in illiquid markets," Post-Print hal-03696768, HAL.
    228. Matthew F Dixon, 2017. "A High Frequency Trade Execution Model for Supervised Learning," Papers 1710.03870, arXiv.org, revised Dec 2017.
    229. Hafner, Christian & Linton, Oliver & Wang, Linqi, 2022. "Dynamic Autoregressive Liquidity (DArLiQ)," LIDAM Discussion Papers LFIN 2022002, Université catholique de Louvain, Louvain Finance (LFIN).
    230. Lechman, Ewa & Marszk, Adam, 2015. "ICT technologies and financial innovations: The case of exchange traded funds in Brazil, Japan, Mexico, South Korea and the United States," Technological Forecasting and Social Change, Elsevier, vol. 99(C), pages 355-376.
    231. Jain, Pankaj K. & Jain, Pawan & McInish, Thomas H., 2016. "Does high-frequency trading increase systemic risk?," Journal of Financial Markets, Elsevier, vol. 31(C), pages 1-24.
    232. Albert S. Kyle & Anna Obizhaeva & Tugkan Tuzun, 2016. "Microstructure Invariance in U.S. Stock Market Trades," Working Papers w0230, New Economic School (NES).
    233. Delaney, L., 2016. "Equilibrium Investment in High Frequency Trading Technology: A Real Options Approach," Working Papers 15/14, Department of Economics, City University London.
    234. Junhuan Zhang & Peter McBurney & Katarzyna Musial, 2018. "Convergence of trading strategies in continuous double auction markets with boundedly-rational networked traders," Review of Quantitative Finance and Accounting, Springer, vol. 50(1), pages 301-352, January.
    235. Altınkılıç, Oya & Hansen, Robert S. & Ye, Liyu, 2016. "Can analysts pick stocks for the long-run?," Journal of Financial Economics, Elsevier, vol. 119(2), pages 371-398.
    236. Aitken, Michael & Cumming, Douglas & Zhan, Feng, 2013. "High frequency trading and end-of-day price dislocation," CFS Working Paper Series 2013/16, Center for Financial Studies (CFS).
    237. Broussard, John Paul & Nikiforov, Andrei, 2014. "Intraday periodicity in algorithmic trading," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 196-204.
    238. Butt, Hilal Anwar & Högholm, Kenneth & Sadaqat, Mohsin, 2021. "Reversal returns and expected returns from liquidity provision: Evidence from emerging markets," Journal of Multinational Financial Management, Elsevier, vol. 59(C).
    239. Ritesh Kumar Dubey & A. Sarath Babu & Rajneesh Ranjan Jha & Urvashi Varma, 2022. "Algorithmic Trading Efficiency and its Impact on Market-Quality," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(3), pages 381-409, September.
    240. Petter Dahlström & Björn Hagströmer & Lars L. Nordén, 2024. "The determinants of limit order cancellations," The Financial Review, Eastern Finance Association, vol. 59(1), pages 181-201, February.
    241. 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.
    242. 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.
    243. Johannes A. Skjeltorp & Elvira Sojli & Wing Wah Tham, 2012. "Sunshine Trading: Flashes of Trading Intent at the NASDAQ," Tinbergen Institute Discussion Papers 12-141/IV/DSF47, Tinbergen Institute.
    244. Andrea Roncella & Ignacio Ferrero, 2022. "The Ethics of Financial Market Making and Its Implications for High-Frequency Trading," Journal of Business Ethics, Springer, vol. 181(1), pages 139-151, November.
    245. 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.
    246. Benjamin Clapham & Martin Haferkorn & Kai Zimmermann, 2020. "Does Speed Matter? The Role Of High‐Frequency Trading For Order Book Resiliency," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 43(4), pages 933-964, December.
    247. Juranek, Steffen & Walz, Uwe, 2010. "Vertical integration, competition, and financial exchanges: Is there grain in the silo?," CFS Working Paper Series 2010/22, Center for Financial Studies (CFS).
    248. Chakrabarty, Bidisha & Moulton, Pamela C. & Pascual, Roberto, 2017. "Trading system upgrades and short-sale bans: Uncoupling the effects of technology and regulation," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 74-90.
    249. Albert Menkveld & Boyan Jovanovic, 2016. "Dispersion and Skewness of Bid Prices," 2016 Meeting Papers 1395, Society for Economic Dynamics.
    250. Lien, Donald & Hung, Pi-Hsia & Wu, Yi-Hsien, 2023. "An intraday analysis of block orders on the Taiwan Stock Exchange," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 133-147.
    251. March, Christoph, 2019. "The behavioral economics of artificial intelligence: Lessons from experiments with computer players," BERG Working Paper Series 154, Bamberg University, Bamberg Economic Research Group.
    252. Michel van der Wel & Albert Menkveld & Asani Sarkar, 2009. "Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes," Tinbergen Institute Discussion Papers 09-046/3, Tinbergen Institute.
    253. van Kervel, V.L., 2013. "Competition between stock exchanges and optimal trading," Other publications TiSEM 5c608a0f-527d-441d-a910-e, Tilburg University, School of Economics and Management.
    254. 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.
    255. Daniel Havran & Kata Varadi, 2015. "Price Impact and the Recovery of the Limit Order Book: Why Should We Care About Informed Liquidity Providers?," CERS-IE WORKING PAPERS 1540, Institute of Economics, Centre for Economic and Regional Studies.
    256. Martin D. Gould & Mason A. Porter & Sam D. Howison, 2015. "Quasi-Centralized Limit Order Books," Papers 1502.00680, arXiv.org, revised Oct 2016.
    257. Neszveda, Gábor & Vágó, Ákos, 2021. "A likviditásnyújtás kereskedési stratégiájának hozamvizsgálata a magyar részvénypiacon [Examining trade-strategy results of liquidity provision on the Hungarian stock market]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 794-814.
    258. Radu BORES, Author-Workplace-Name : Stefan cel Mare University of Suceava, 720229, Romania & Ana-Maria HLACIUC Author-Workplace-Name : Stefan cel Mare University of Suceava, 720229, Romania, 2016. "New Technologies And Infrastructures Of Financial Services," EcoForum, "Stefan cel Mare" University of Suceava, Romania, Faculty of Economics and Public Administration - Economy, Business Administration and Tourism Department., vol. 5(Special I), pages 1-25, august.
    259. Schlepper, Kathi, 2016. "High-frequency trading in the Bund futures market," Discussion Papers 15/2016, Deutsche Bundesbank.
    260. Maryam Farboodi & Laura Veldkamp, 2018. "Long Run Growth of Financial Data Technology," Working Papers 18-09, New York University, Leonard N. Stern School of Business, Department of Economics.
    261. Cartea, Álvaro & Payne, Richard & Penalva, José & Tapia, Mikel, 2019. "Ultra-fast activity and intraday market quality," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 157-181.
    262. Hansen, Robert S., 2015. "What is the value of sell-side analysts? Evidence from coverage changes – A discussion," Journal of Accounting and Economics, Elsevier, vol. 60(2), pages 58-64.
    263. Ramos, Henrique Pinto & Righi, Marcelo Brutti, 2020. "Liquidity, implied volatility and tail risk: A comparison of liquidity measures," International Review of Financial Analysis, Elsevier, vol. 69(C).
    264. Arjen Siegmann & Denitsa Stefanova, 2011. "Market Liquidity and Exposure of Hedge Funds," Tinbergen Institute Discussion Papers 11-150/2/DSF27, Tinbergen Institute.
    265. Davis, Ryan L. & Roseman, Brian S. & Van Ness, Bonnie F. & Van Ness, Robert, 2017. "1-share orders and trades," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 109-117.
    266. Michael J. Aitken & Angelo Aspris & Sean Foley & Frederick H. de B. Harris, 2018. "Market Fairness: The Poor Country Cousin of Market Efficiency," Journal of Business Ethics, Springer, vol. 147(1), pages 5-23, January.
    267. Massa, Massimo & von Beschwitz, Bastian & Keim, Donald B, 2015. "First to ?Read? the News: News Analytics and Institutional Trading," CEPR Discussion Papers 10534, C.E.P.R. Discussion Papers.
    268. Poutré, Cédric & Dionne, Georges & Yergeau, Gabriel, 2023. "International high-frequency arbitrage for cross-listed stocks," International Review of Financial Analysis, Elsevier, vol. 89(C).
    269. Ye, Mao & Zheng, Miles Y. & Zhu, Wei, 2023. "The effect of tick size on managerial learning from stock prices," Journal of Accounting and Economics, Elsevier, vol. 75(1).
    270. Jose S. Penalva & Mikel Tapia, 2021. "Heterogeneity and Competition in Fragmented Markets: Fees Vs Speed," Applied Mathematical Finance, Taylor & Francis Journals, vol. 28(2), pages 143-177, March.
    271. Carrion, Allen, 2013. "Very fast money: High-frequency trading on the NASDAQ," Journal of Financial Markets, Elsevier, vol. 16(4), pages 680-711.
    272. Essendorfer, Stephan & Diaz-Rainey, Ivan & Falta, Michael, 2015. "Creative destruction in Wall Street's technological arms race: Evidence from patent data," Technological Forecasting and Social Change, Elsevier, vol. 99(C), pages 300-316.
    273. 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.
    274. Marta Khomyn, 2020. "Essays on Modern Market Structure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2020.
    275. Wang, Junbo & Wu, Chunchi, 2015. "Liquidity, credit quality, and the relation between volatility and trading activity: Evidence from the corporate bond market," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 183-203.
    276. Mingfa Ding & Birger Nilsson & Sandy Suardi, 2017. "Foreign Institutional Investment, Ownership, and Liquidity: Real and Informational Frictions," The Financial Review, Eastern Finance Association, vol. 52(1), pages 101-144, February.
    277. Gehrig, Thomas & Fohlin, Caroline & Haas, Marlene, 2015. "Rumors and Runs in Opaque Markets: Evidence from the Panic of 1907," CEPR Discussion Papers 10497, C.E.P.R. Discussion Papers.
    278. 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).
    279. Charlie X. Cai & Jeffrey H. Harris & Robert S. Hudson & Kevin Keasey, 2015. "Informed Trading and Market Structure," European Financial Management, European Financial Management Association, vol. 21(1), pages 148-177, January.
    280. Ryan Garvey & Yaohua Qin, 2022. "When does slower order execution occur? Evidence from U.S. equity investors," Journal of Asset Management, Palgrave Macmillan, vol. 23(2), pages 130-137, March.
    281. 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.
    282. Nathalie Oriol & Iryna Veryzhenko, 2019. "Market structure or traders' behavior? A multi agent model to assess flash crash phenomena and their regulation," Post-Print halshs-01984442, HAL.
    283. Rinne, Kalle & Suominen, Matti, 2017. "How some bankers made a million by trading just two securities?," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 304-315.
    284. Javier Rojo‐Suárez & Ana Belén Alonso‐Conde & Ricardo Ferrero‐Pozo, 2022. "Liquidity, time‐varying betas and anomalies: Is the high trading activity enhancing the validity of the CAPM in the UK equity market?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 45-60, January.
    285. Buti, Sabrina & Rindi, Barbara, 2013. "Undisclosed orders and optimal submission strategies in a limit order market," Journal of Financial Economics, Elsevier, vol. 109(3), pages 797-812.
    286. Park, Seongkyu Gilbert & Ryu, Doojin, 2019. "Speed and trading behavior in an order-driven market," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 145-164.
    287. Ramos, Henrique P. & Perlin, Marcelo S. & Righi, Marcelo B., 2017. "Mispricing in the odd lots market in Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 618-628.
    288. 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).
    289. Lugo, Stefano, 2021. "Short-term debt catering," Journal of Corporate Finance, Elsevier, vol. 66(C).
    290. Jiachen Nan, 2021. "The General Financial Education in China: Evidence From Ratio of Undergraduate Financial Education Majors in Universities," Technium Social Sciences Journal, Technium Science, vol. 24(1), pages 302-316, October.
    291. Vuorenmaa, Tommi A., 2008. "Decimalization, Realized Volatility, and Market Microstructure Noise," MPRA Paper 8692, University Library of Munich, Germany.
    292. Chih‐Chung Chien & Shikuan Chen & Ming‐Jen Chang, 2023. "A span of continuous trades and liquidity dynamics in foreign exchange markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 144-168, January.
    293. Viktor Manahov & Robert Hudson, 2013. "New Evidence of Technical Trading Profitability," Economics Bulletin, AccessEcon, vol. 33(4), pages 2493-2503.
    294. Fabien Guilbaud & Huyen Pham, 2011. "Optimal High Frequency Trading with limit and market orders," Working Papers hal-00603385, HAL.
    295. Anand, Amber & Irvine, Paul & Puckett, Andy & Venkataraman, Kumar, 2013. "Institutional trading and stock resiliency: Evidence from the 2007–2009 financial crisis," Journal of Financial Economics, Elsevier, vol. 108(3), pages 773-797.
    296. Markus Baldauf & Joshua Mollner, 2020. "High‐Frequency Trading and Market Performance," Journal of Finance, American Finance Association, vol. 75(3), pages 1495-1526, June.
    297. Hagströmer, Björn, 2021. "Bias in the effective bid-ask spread," Journal of Financial Economics, Elsevier, vol. 142(1), pages 314-337.
    298. Suardi, Sandy & Xu, Caihong & Zhou, Z. Ivy, 2022. "COVID-19 pandemic and liquidity commonality," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    299. Yang, Haijun & Ge, Hengshun & Luo, Ying, 2020. "The optimal bid-ask price strategies of high-frequency trading and the effect on market liquidity," Research in International Business and Finance, Elsevier, vol. 53(C).
    300. Joel Peress & Daniel Schmidt, 2020. "Glued to the TV: Distracted Noise Traders and Stock Market Liquidity," Journal of Finance, American Finance Association, vol. 75(2), pages 1083-1133, April.
    301. 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.).
    302. Menkveld, Albert J., 2013. "High frequency trading and the new market makers," Journal of Financial Markets, Elsevier, vol. 16(4), pages 712-740.
    303. Hélène Rainelli & Hélène Rainelli-Weiss, 2019. "Recherche en finance : quand la performativité invite à la réflexivité," Post-Print halshs-02025011, HAL.
    304. 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.
    305. Jørgensen, Kjell & Skjeltorp, Johannes & Ødegaard, Bernt Arne, 2018. "Throttling hyperactive robots – Order-to-trade ratios at the Oslo Stock Exchange," Journal of Financial Markets, Elsevier, vol. 37(C), pages 1-16.
    306. Fabien Guilbaud & Huyen Pham, 2011. "Optimal High Frequency Trading with limit and market orders," Papers 1106.5040, arXiv.org.
    307. Joshua Madsen & Marina Niessner, 2019. "Is Investor Attention for Sale? The Role of Advertising in Financial Markets," Journal of Accounting Research, Wiley Blackwell, vol. 57(3), pages 763-795, June.
    308. Zheng, Jiayi & Zhu, Yushu, 2023. "Algorithmic trading and block ownership initiation: An information perspective," The British Accounting Review, Elsevier, vol. 55(4).
    309. Dugast, J., 2013. "Limited attention and news arrival in limit order markets," Working papers 449, Banque de France.
    310. Cai, Zhifeng, 2019. "Dynamic information acquisition and time-varying uncertainty," Journal of Economic Theory, Elsevier, vol. 184(C).
    311. Farias Nazário, Rodolfo Toríbio & e Silva, Jéssica Lima & Sobreiro, Vinicius Amorim & Kimura, Herbert, 2017. "A literature review of technical analysis on stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 115-126.
    312. Friederich, Sylvain & Payne, Richard, 2015. "Order-to-trade ratios and market liquidity," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 214-223.
    313. 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.
    314. Rui Fan & Oleksandr Talavera & Vu Tran, 2023. "Social media and price discovery: The case of cross‐listed firms," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(1), pages 151-167, February.
    315. 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.
    316. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2011. "Recent trends in trading activity and market quality," Journal of Financial Economics, Elsevier, vol. 101(2), pages 243-263, August.
    317. 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.
    318. Liyun Zhou & Chunpeng Yang, 2019. "Differences in the effects of seller-initiated versus buyer-initiated crowded trades in stock markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(4), pages 859-890, December.
    319. Karen Kunz & Jena Martin, 2015. "Into the Breech: The Increasing Gap between Algorithmic Trading and Securities Regulation," Journal of Financial Services Research, Springer;Western Finance Association, vol. 47(1), pages 135-152, February.
    320. Bing, Tao & Cui, Yian & Min, Ying & Xiong, Xiong, 2022. "Price limit changes and market quality: Evidence from China," Finance Research Letters, Elsevier, vol. 48(C).
    321. 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.
    322. Martin L. Scholtus & Dick van Dijk & Bart Frijns, 2012. "Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements," Tinbergen Institute Discussion Papers 12-121/III, Tinbergen Institute.
    323. Hatheway, Frank & Kwan, Amy & Zheng, Hui, 2017. "An Empirical Analysis of Market Segmentation on U.S. Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(6), pages 2399-2427, December.
    324. Zihao Zhang & Stefan Zohren & Stephen Roberts, 2018. "DeepLOB: Deep Convolutional Neural Networks for Limit Order Books," Papers 1808.03668, arXiv.org, revised Jan 2020.
    325. Brolley, Michael & Malinova, Katya, 2021. "Informed liquidity provision in a limit order market," Journal of Financial Markets, Elsevier, vol. 52(C).
    326. 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.
    327. Qixuan Luo & Shijia Song & Handong Li, 2023. "Research on the Effects of Liquidation Strategies in the Multi-asset Artificial Market," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1721-1750, December.
    328. Kupfer, Alexander & Schmidt, Markus G., 2021. "In search of retail investors: The effect of retail investor attention on odd lot trades," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 315-326.
    329. Fricke, Daniel & Gerig, Austin, 2014. "Liquidity Risk, Speculative Trade, and the Optimal Latency of Financial Markets," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100402, Verein für Socialpolitik / German Economic Association.
    330. Laly, Floris & Petitjean, Mikael, 2021. "Mini flash crashes: Review, taxonomy and policy responses," LIDAM Reprints LFIN 2021017, Université catholique de Louvain, Louvain Finance (LFIN).
    331. 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.
    332. Degryse, H.A. & de Jong, F.C.J.M. & van Kervel, V.L., 2011. "The Impact of Dark and Visible Fragmentation on Market Quality (Replaces CentER Discussion Paper 2011-051)," Discussion Paper 2011-069, Tilburg University, Center for Economic Research.
    333. Corey Garriot & Ryan Riordan, 2020. "Trading on Long-term Information," Staff Working Papers 20-20, Bank of Canada.
    334. Karolis Liaudinskas, 2022. "Human vs. Machine: Disposition Effect among Algorithmic and Human Day Traders," Working Paper 2022/6, Norges Bank.
    335. So, Eric C. & Wang, Sean, 2014. "News-driven return reversals: Liquidity provision ahead of earnings announcements," Journal of Financial Economics, Elsevier, vol. 114(1), pages 20-35.
    336. Clapham, Benjamin & Gomber, Peter & Lausen, Jens & Panz, Sven, 2018. "Liquidity provider incentives in fragmented securities markets," SAFE Working Paper Series 231, Leibniz Institute for Financial Research SAFE.
    337. Eun Jung Lee, 2015. "High Frequency Trading in the Korean Index Futures Market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(1), pages 31-51, January.
    338. George Bragues, 2014. "Has Fritz Machlup Stood the Test of Time? Revisiting his Monetary Analysis of the Stock Market☆A version of this paper was presented at the third biennial Wirth Institute Workshop on Austrian Economic," Advances in Austrian Economics, in: Entangled Political Economy, volume 18, pages 139-160, Emerald Group Publishing Limited.
    339. 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.
    340. Rosenthal, Dale W.R., 2009. "Performance metrics for algorithmic traders," MPRA Paper 36787, University Library of Munich, Germany, revised 04 Jan 2012.
    341. Roman Kozhan & Wing Wah Tham, 2012. "Execution Risk in High-Frequency Arbitrage," Management Science, INFORMS, vol. 58(11), pages 2131-2149, November.
    342. Chung, Dennis Y. & Hrazdil, Karel, 2012. "Speed of convergence to market efficiency: The role of ECNs," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 702-720.
    343. Nan Qin & Vijay Singal, 2023. "Effect of high‐frequency trading on mutual fund performance," The Financial Review, Eastern Finance Association, vol. 58(2), pages 369-394, May.
    344. Stenfors, Alexis & Susai, Masayuki, 2021. "Spoofing and pinging in foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 70(C).
    345. Cox, Justin & Woods, Donovan, 2023. "COVID-19 and market structure dynamics," Journal of Banking & Finance, Elsevier, vol. 147(C).
    346. Bessler, Wolfgang & Beyenbach, Johannes & Rapp, Marc Steffen & Vendrasco, Marco, 2021. "The global financial crisis and stock market migrations: An analysis of family and non-family firms in Germany," International Review of Financial Analysis, Elsevier, vol. 74(C).
    347. Carole Gresse, 2011. "Effects of Lit and Dark Market Fragmentation on Liquidity," Post-Print halshs-00641122, HAL.
    348. 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.
    349. Iryna Veryzhenko & Lise Arena & Etienne Harb & Nathalie Oriol, 2017. "Time to Slow Down for High‐Frequency Trading? Lessons from Artificial Markets," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 24(2-3), pages 73-79, April.
    350. Khairul Zharif Zaharudin & Martin R. Young & Wei‐Huei Hsu, 2022. "High‐frequency trading: Definition, implications, and controversies," Journal of Economic Surveys, Wiley Blackwell, vol. 36(1), pages 75-107, February.
    351. Breckenfelder, Johannes, 2013. "Competition between high-frequency traders, and market quality," MPRA Paper 66715, University Library of Munich, Germany, revised Dec 2013.
    352. Ibikunle, Gbenga & Li, Youwei & Mare, Davide & Sun, Yuxin, 2021. "Dark matters: The effects of dark trading restrictions on liquidity and informational efficiency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    353. Khomyn, Marta & Putniņš, Tālis J., 2021. "Algos gone wild: What drives the extreme order cancellation rates in modern markets?," Journal of Banking & Finance, Elsevier, vol. 129(C).
    354. Reed, Adam V. & Samadi, Mehrdad & Sokobin, Jonathan S., 2020. "Shorting in Broad Daylight: Short Sales and Venue Choice," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(7), pages 2246-2269, November.
    355. 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.
    356. Zhang, Zeyu & Ibikunle, Gbenga, 2023. "The market quality effects of sub-second frequent batch auctions: Evidence from dark trading restrictions," International Review of Financial Analysis, Elsevier, vol. 89(C).
    357. 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.
    358. Yildiz, Serhat & Van Ness, Bonnie & Van Ness, Robert, 2020. "VPIN, liquidity, and return volatility in the U.S. equity markets," Global Finance Journal, Elsevier, vol. 45(C).
    359. Ben Ammar, Imen & Hellara, Slaheddine, 2021. "Intraday interactions between high-frequency trading and price efficiency," Finance Research Letters, Elsevier, vol. 41(C).
    360. 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.
    361. Benjamin Clapham & Michael Siering & Peter Gomber, 2021. "Popular News Are Relevant News! How Investor Attention Affects Algorithmic Decision-Making and Decision Support in Financial Markets," Information Systems Frontiers, Springer, vol. 23(2), pages 477-494, April.
    362. Farshid Abdi, 2018. "Cycles of Declines and Reversals Following Overnight Market Declines," Working Papers on Finance 1829, University of St. Gallen, School of Finance.
    363. Julien Hambuckers & Li Sun & Luca Trapin, 2023. "Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors," Papers 2301.01362, arXiv.org.
    364. Wang, Qin & Zhang, Jun, 2015. "Does individual investor trading impact firm valuation?," Journal of Corporate Finance, Elsevier, vol. 35(C), pages 120-135.
    365. Ladley, Daniel, 2020. "The high frequency trade off between speed and sophistication," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
    366. Mestel, Roland & Murg, Michael & Theissen, Erik, 2018. "Algorithmic trading and liquidity: Long term evidence from Austria," Finance Research Letters, Elsevier, vol. 26(C), pages 198-203.
    367. Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2013. "Limit order books," Quantitative Finance, Taylor & Francis Journals, vol. 13(11), pages 1709-1742, November.
    368. 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.
    369. 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).
    370. Efstathios Panayi & Gareth Peters, 2015. "Stochastic simulation framework for the Limit Order Book using liquidity motivated agents," Papers 1501.02447, arXiv.org, revised Jan 2015.
    371. Cox, Justin S., 2022. "The impact of reporting changes on hidden liquidity: Evidence from the Chicago stock exchange," Global Finance Journal, Elsevier, vol. 53(C).
    372. Sifat, Imtiaz Mohammad & Mohamad, Azhar, 2015. "Order imbalance and selling aggression under a shorting ban: Evidence from the UK," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 368-379.
    373. Yinfei Chen & Wei Huang & George J. Jiang, 2022. "Do short‐term institutions exploit stock return anomalies?," The Financial Review, Eastern Finance Association, vol. 57(1), pages 69-94, February.
    374. 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.
    375. Beunza, Daniel & Millo, Yuval, 2015. "Blended automation: integrating algorithms on the floor of the New York Stock Exchange," LSE Research Online Documents on Economics 118995, London School of Economics and Political Science, LSE Library.
    376. Terrence Hendershott & Ryan Riordan, 2009. "Algorithmic Trading and Information," Working Papers 09-08, NET Institute, revised Aug 2009.
    377. 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).
    378. 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).
    379. Marszk, Adam & Lechman, Ewa, 2019. "New technologies and diffusion of innovative financial products: Evidence on exchange-traded funds in selected emerging and developed economies," Journal of Macroeconomics, Elsevier, vol. 62(C).
    380. Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2010. "Limit Order Books," Papers 1012.0349, arXiv.org, revised Apr 2013.
    381. 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).
    382. 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.
    383. Hao, Ying & Chou, Robin K. & Ho, Keng-Yu & Weng, Pei-Shih, 2015. "The impact of foreign institutional traders on price efficiency: Evidence from the Taiwan futures market," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 24-42.
    384. David Byrd & Tucker Hybinette Balch, 2019. "Intra-day Equity Price Prediction using Deep Learning as a Measure of Market Efficiency," Papers 1908.08168, arXiv.org.
    385. Rossi, Stefano & Tinn, Katrin, 2021. "Rational quantitative trading in efficient markets," Journal of Economic Theory, Elsevier, vol. 191(C).
    386. Mazza, Paolo & Petitjean, Mikael, 2019. "Testing the effect of technical analysis on market quality and order book dynamics," LIDAM Reprints LFIN 2019006, Université catholique de Louvain, Louvain Finance (LFIN).
    387. Anand, Amber & Venkataraman, Kumar, 2016. "Market conditions, fragility, and the economics of market making," Journal of Financial Economics, Elsevier, vol. 121(2), pages 327-349.
    388. Thibaut Th'eate & Damien Ernst, 2020. "An Application of Deep Reinforcement Learning to Algorithmic Trading," Papers 2004.06627, arXiv.org, revised Oct 2020.
    389. Alexis Stenfors & Masayuki Susai, 2017. "Algorithmic Trading Behaviour and High-Frequency Liquidity Withdrawal in the FX Spot Market," Working Papers in Economics & Finance 2017-04, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    390. Chen, Linda H. & Dyl, Edward A. & Jiang, George J. & Juneja, Januj A., 2015. "Risk, illiquidity or marketability: What matters for the discounts on private equity placements?," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 41-50.
    391. Chen, Wei-Peng & Ling Lin, Shu & Lu, Jun & Wu, Chih-Chiang, 2018. "The impact of funding liquidity on market quality," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 153-166.
    392. Thomas H. McInish & Olena Nikolsko‐Rzhevska & Alex Nikolsko‐Rzhevskyy & Irina Panovska, 2020. "Fast and slow cancellations and trader behavior," Financial Management, Financial Management Association International, vol. 49(4), pages 973-996, December.
    393. Suchismita Mishra & Le Zhao, 2021. "Order Routing Decisions for a Fragmented Market: A Review," JRFM, MDPI, vol. 14(11), pages 1-32, November.
    394. Ibikunle, Gbenga, 2015. "Opening and closing price efficiency: Do financial markets need the call auction?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 208-227.
    395. Gehrig, Thomas & Ritzberger, Klaus, 2022. "Intermediation and price volatility," Journal of Economic Theory, Elsevier, vol. 201(C).
    396. Yuanyuan Xu & Chongguang Li, 2018. "Liquidity of the Chinese Agricultural Futures Market and Its Impact on Futures Price—Based on High-Frequency Data," Sustainability, MDPI, vol. 10(12), pages 1-18, December.
    397. Jieun Lee, 2018. "Who Improves or Worsens Liquidity in the Korean Treasury Bond Market?," Working Papers 2018-3, Economic Research Institute, Bank of Korea.
    398. Lepone, Andrew & Wong, Jin Boon, 2017. "Pseudo market-makers, market quality and the minimum tick size," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 88-100.
    399. Jonathan L. Rogers & Douglas J. Skinner & Sarah L. C. Zechman, 2017. "Run EDGAR Run: SEC Dissemination in a High‐Frequency World," Journal of Accounting Research, Wiley Blackwell, vol. 55(2), pages 459-505, May.
    400. Blankespoor, Elizabeth & deHaan, Ed & Marinovic, Iván, 2020. "Disclosure processing costs, investors’ information choice, and equity market outcomes: A review," Journal of Accounting and Economics, Elsevier, vol. 70(2).
    401. Kauffman, Robert J. & Liu, Jun & Ma, Dan, 2015. "Innovations in financial IS and technology ecosystems: High-frequency trading in the equity market," Technological Forecasting and Social Change, Elsevier, vol. 99(C), pages 339-354.
    402. March, Christoph, 2021. "Strategic interactions between humans and artificial intelligence: Lessons from experiments with computer players," Journal of Economic Psychology, Elsevier, vol. 87(C).
    403. Chen, Wei-Peng & Chung, Huimin & Lien, Donald, 2016. "Price discovery in the S&P 500 index derivatives markets," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 438-452.
    404. Smales, L.A. & Apergis, N., 2017. "Understanding the impact of monetary policy announcements: The importance of language and surprises," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 33-50.
    405. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2023. "The disappearing profitability of volatility-managed equity factors," Journal of Financial Markets, Elsevier, vol. 65(C).
    406. Brown, Nerissa C. & Elliott, W. Brooke & Wermers, Russ & White, Roger M., 2021. "News or noise: Mobile internet technology and stock market activity," CFR Working Papers 21-10, University of Cologne, Centre for Financial Research (CFR).
    407. Robert Litzenberger & Jeff Castura & Richard Gorelick, 2012. "The Impacts of Automation and High Frequency Trading on Market Quality," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 59-98, October.
    408. Thierry Foucault & Sophie Moinas & Bruno Biais, 2014. "Equilibrium Fast Traders," 2014 Meeting Papers 1207, Society for Economic Dynamics.
    409. 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).
    410. Ke Meng & Shouhao Li, 2021. "The adaptive market hypothesis and high frequency trading," PLOS ONE, Public Library of Science, vol. 16(12), pages 1-19, December.
    411. 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.
    412. 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).
    413. Bertone, Stephen & Paeglis, Imants & Ravi, Rahul, 2015. "(How) has the market become more efficient?," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 72-86.
    414. Кравчук, Ігор Святославович, 2018. "Сучасні тенденції електронної торгівлі обіговими фінансовими інструментами // Modern trends of electronic trading by negotiable financial instruments," Вісник Житомирського державного технологічного університету. Серія: Економічні науки // THE JOURNAL OF ZHYTOMYR STATE TECHNOLOGICAL UNIVERSITY. SERIES: ECONOMICS, Житомирський державний технологічний університет // ZHYTOMYR STATE TECHNOLOGICAL UNIVERSITY, vol. 83(1).
    415. Hagströmer, Björn & Nordén, Lars, 2013. "The diversity of high-frequency traders," Journal of Financial Markets, Elsevier, vol. 16(4), pages 741-770.
    416. Chung, Kee H. & Chuwonganant, Chairat, 2014. "Uncertainty, market structure, and liquidity," Journal of Financial Economics, Elsevier, vol. 113(3), pages 476-499.
    417. Pierre Collin-Dufresne & Vyacheslav Fos, 2012. "Do prices reveal the presence of informed trading?," NBER Working Papers 18452, National Bureau of Economic Research, Inc.
    418. Delaney, L., 2015. "An Examination of the Optimal Timing Strategy for a Slow Trader Investing in a High Frequency Trading Technology," Working Papers 15/04, Department of Economics, City University London.
    419. Roland Füss & Ferdinand Mager & Michael Stein & Lu Zhao, 2018. "Financial crises, price discovery, and information transmission: a high-frequency perspective," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(4), pages 333-365, November.
    420. Delaney, Laura, 2018. "Investment in high-frequency trading technology: A real options approach," European Journal of Operational Research, Elsevier, vol. 270(1), pages 375-385.
    421. Basile Caparros & Amit Chaudhary & Olga Klein, 2023. "Blockchain scaling and liquidity concentration on decentralized exchanges," Papers 2306.17742, arXiv.org, revised Mar 2024.
    422. Chin‐Ho Chen & Junmao Chiu & Huimin Chung, 2020. "Arbitrage opportunities, liquidity provision, and trader types in an index option market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 279-307, March.
    423. Christoph Lattemann & Peter Loos & Johannes Gomolka & Hans-Peter Burghof & Arne Breuer & Peter Gomber & Michael Krogmann & Joachim Nagel & Rainer Riess & Ryan Riordan & Rafael Zajonz, 2012. "High Frequency Trading," Business & Information Systems Engineering: The International Journal of WIRTSCHAFTSINFORMATIK, Springer;Gesellschaft für Informatik e.V. (GI), vol. 4(2), pages 93-108, April.
    424. Benson, Karen & Faff, Robert & Smith, Tom, 2015. "Injecting liquidity into liquidity research," Pacific-Basin Finance Journal, Elsevier, vol. 35(PB), pages 533-540.
    425. Ciamac C. Moallemi & Mehmet Sağlam, 2013. "OR Forum---The Cost of Latency in High-Frequency Trading," Operations Research, INFORMS, vol. 61(5), pages 1070-1086, October.
    426. 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.
    427. 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.
    428. Bogoev, Dimitar & Karam, Arzé, 2017. "Detection of algorithmic trading," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 484(C), pages 168-181.
    429. 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.
    430. Benjamin R. Auer, 2021. "Have trend-following signals in commodity futures markets become less reliable in recent years?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(4), pages 533-553, December.
    431. Ke, Yun & Zhang, Yanan, 2020. "Does high-frequency trading reduce market underreaction to earnings news?," Finance Research Letters, Elsevier, vol. 34(C).
    432. 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.
    433. 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).
    434. Jain, Pawan & Upadhyay, Arun, 2021. "Are REITs more resilient than non-REITs? Evidence from natural experiments," Japan and the World Economy, Elsevier, vol. 58(C).
    435. Daniel Ladley, 2019. "The Design and Regulation of High Frequency Traders," Discussion Papers in Economics 19/02, Division of Economics, School of Business, University of Leicester.
    436. 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.
    437. Peng, Kun & Hu, Zhepeng & Robe, Michel A., 2020. "Maximum Order Size and Agricultural Futures Market Quality: Evidence from a Natural Experiment," 2020 Annual Meeting, July 26-28, Kansas City, Missouri 304596, Agricultural and Applied Economics Association.
    438. Kasing Man & Junbo Wang & Chunchi Wu, 2013. "Price Discovery in the U.S. Treasury Market: Automation vs. Intermediation," Management Science, INFORMS, vol. 59(3), pages 695-714, September.
    439. Laura Veldkamp & Maryam Farboodi, 2016. "The Long-Run Evolution of the Financial Sector," 2016 Meeting Papers 530, Society for Economic Dynamics.
    440. Fan, John Hua & Fernandez-Perez, Adrian & Indriawan, Ivan & Todorova, Neda, 2020. "Internationalization of futures markets: Lessons from China," Pacific-Basin Finance Journal, Elsevier, vol. 63(C).
    441. Hoffmann, Peter, 2012. "A dynamic limit order market with fast and slow traders," MPRA Paper 44621, University Library of Munich, Germany, revised Jan 2013.
    442. Orlov, Vitaly, 2016. "Currency momentum, carry trade, and market illiquidity," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 1-11.
    443. Garg, Karan, 2021. "Machines and Markets : Assessing the Impact of Algorithmic Trading on Financial Market Efficiency," Warwick-Monash Economics Student Papers 11, Warwick Monash Economics Student Papers.
    444. Marius Cristian Miloș, 2021. "Impact of MiFID II on the Market Volatility—Analysis on Some Developed and Emerging European Stock Markets," Laws, MDPI, vol. 10(3), pages 1-11, June.
    445. 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.
    446. Hasbrouck, Joel & Saar, Gideon, 2013. "Low-latency trading," Journal of Financial Markets, Elsevier, vol. 16(4), pages 646-679.
    447. Strobel, Marcus & Auer, Benjamin R., 2018. "Does the predictive power of variable moving average rules vanish over time and can we explain such tendencies?," International Review of Economics & Finance, Elsevier, vol. 53(C), pages 168-184.
    448. Gsell, Markus, 2008. "Assessing the impact of algorithmic trading on markets: A simulation approach," CFS Working Paper Series 2008/49, Center for Financial Studies (CFS).
    449. Geraci, Marco Valerio & Garbaravičius, Tomas & Veredas, David, 2018. "Short selling in extreme events," Journal of Financial Stability, Elsevier, vol. 39(C), pages 90-103.
    450. Frino, Alex & Mollica, Vito & Monaco, Eleonora & Palumbo, Riccardo, 2017. "The effect of algorithmic trading on market liquidity: Evidence around earnings announcements on Borsa Italiana," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 82-90.
    451. Danny Lo, 2015. "Essays in Market Microstructure and Investor Trading," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4-2015.
    452. Bill Hu & Joon Ho Hwang & Christine Jiang, 2014. "The Impact of Earnings Guidance Cessation on Information Asymmetry," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 41(1-2), pages 73-99, January.
    453. Michael Goldstein & Amy Kwan & Richard Philip, 2023. "High-Frequency Trading Strategies," Management Science, INFORMS, vol. 69(8), pages 4413-4434, August.
    454. Aït-Sahalia, Yacine & Brunetti, Celso, 2020. "High frequency traders and the price process," Journal of Econometrics, Elsevier, vol. 217(1), pages 20-45.
    455. Anwer S. Ahmed & Yiwen Li & Nina Xu, 2020. "Tick Size and Financial Reporting Quality in Small‐Cap Firms: Evidence from a Natural Experiment," Journal of Accounting Research, Wiley Blackwell, vol. 58(4), pages 869-914, September.
    456. 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).
    457. Vinay Patel, 2015. "Price Discovery in US and Australian Stock and Options Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 6-2015.
    458. Meling, Tom Grimstvedt & Odegaard, Bernt Arne, 2016. "Tick Size Wars," UiS Working Papers in Economics and Finance 2016/15, University of Stavanger.
    459. Aquilina, Matteo & Budish, Eric B. & O'Neill, Peter, 2020. "Quantifying the High-Frequency Trading "Arms Race": A Simple New Methodology and Estimates," Working Papers 300, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
    460. Hoang, Lai T. & Wee, Marvin & Yang, Joey Wenling, 2023. "Strategic trading by insiders in the presence of institutional investors," Journal of Financial Markets, Elsevier, vol. 64(C).
    461. 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).
    462. Pawan Jain & Mark Sunderman & K. Janean Westby-Gibson, 2017. "REITs and Market Microstructure: A Comprehensive Analysis of Market Quality," Journal of Real Estate Research, American Real Estate Society, vol. 39(1), pages 65-98.
    463. Tomy Lee, 2019. "Latency in Fragmented Markets," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 128-153, July.
    464. Arumugam, Devika & Krishna Prasanna, P., 2021. "Commonality and contrarian trading among algorithmic traders," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
    465. Lauter, Tobias & Prokopczuk, Marcel, 2022. "Measuring commodity market quality," Journal of Banking & Finance, Elsevier, vol. 145(C).
    466. Micah Goldblum & Avi Schwarzschild & Ankit B. Patel & Tom Goldstein, 2020. "Adversarial Attacks on Machine Learning Systems for High-Frequency Trading," Papers 2002.09565, arXiv.org, revised Oct 2021.
    467. Mousumi Bhattacharya & Sharad Nath Bhattacharya & Sumit Kumar Jha, 2022. "Does time-varying illiquidity matter for the Indian stock market? Evidence from high-frequency data," Australian Journal of Management, Australian School of Business, vol. 47(2), pages 251-272, May.
    468. Alex Frino & Dionigi Gerace & Masud Behnia, 2021. "The impact of algorithmic trading on liquidity in futures markets: New insights into the resiliency of spreads and depth," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1301-1314, August.
    469. Daniel Fricke & Austin Gerig, 2018. "Too fast or too slow? Determining the optimal speed of financial markets," Quantitative Finance, Taylor & Francis Journals, vol. 18(4), pages 519-532, April.
    470. Aliyev, Nihad & Huseynov, Fariz & Rzayev, Khaladdin, 2022. "Algorithmic trading and investment-to-price sensitivity," LSE Research Online Documents on Economics 118844, London School of Economics and Political Science, LSE Library.
    471. Tao Chen, 2021. "Round‐number biases on trading time: Evidence from international markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(3), pages 469-495, September.
    472. Chordia, Tarun & Subrahmanyam, Avanidhar & Tong, Qing, 2014. "Have capital market anomalies attenuated in the recent era of high liquidity and trading activity?," Journal of Accounting and Economics, Elsevier, vol. 58(1), pages 41-58.
    473. Boons, M.F., 2014. "Sorting out commodity and macroeconomic risk in expected stock returns," Other publications TiSEM 1ebdac58-bf37-499d-8835-1, Tilburg University, School of Economics and Management.
    474. 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..
    475. Kun Li, 2018. "Do high-frequency fleeting orders exacerbate market illiquidity?," Electronic Commerce Research, Springer, vol. 18(2), pages 241-255, June.
    476. 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.
    477. Declerck, F., 2016. "High-frequency trading, geographical concerns and the curvature of the Earth," Financial Stability Review, Banque de France, issue 20, pages 153-160, April.
    478. Pham, Manh Cuong & Anderson, Heather Margot & Duong, Huu Nhan & Lajbcygier, Paul, 2020. "The effects of trade size and market depth on immediate price impact in a limit order book market," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
    479. 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.
    480. Iryna Veryzhenko & Lise Arena, 2017. "A Reexamination of High Frequency Trading Regulation Effectiveness in an Artificial Market Framework," Post-Print halshs-01444738, HAL.
    481. Office of Financial Research (ed.), 2013. "Office of Financial Research 2013 Annual Report," Reports, Office of Financial Research, US Department of the Treasury, number 13-2.
    482. Sarah Draus & Mark van Achter, 2012. "Circuit Breakers and Market Runs," CSEF Working Papers 313, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    483. Martin Scholtus & Dick van Dijk, 2012. "High-Frequency Technical Trading: The Importance of Speed," Tinbergen Institute Discussion Papers 12-018/4, Tinbergen Institute.

  19. Menkveld, Albert J. & Sarkar, Asani & van der Wel, Michel, 2008. "Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate," CFS Working Paper Series 2008/47, Center for Financial Studies (CFS).

    Cited by:

    1. Fricke, Christoph & Menkhoff, Lukas, 2010. "Does the "Bund" dominate price discovery in Euro bond futures? Examining information shares," Hannover Economic Papers (HEP) dp-449, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.

  20. Chan, Kalok & Menkveld, Albert J. & Yang, Zhishu, 2006. "Information Asymmetry and Asset Prices: Evidence from the China Foreign share discount," Serie Research Memoranda 0005, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.

    Cited by:

    1. Li, Yuan & Ran, Jimmy, 2020. "Investor Sentiment and Stock Price Premium Validation with Siamese Twins from China," Journal of Multinational Financial Management, Elsevier, vol. 57.
    2. Roberto Patuelli & Norbert Schanne & Daniel A. Griffith & Peter Nijkamp, 2009. "Persistence of Regional Unemployment: Application of a Spatial Filtering Approach to Local Labour Markets in Germany," Working Paper series 49_09, Rimini Centre for Economic Analysis, revised Nov 2011.
    3. Qadan, Mahmoud, 2018. "Switches in price discovery: Are U.S. traders more qualified in making valuations?," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 221-234.
    4. Y. Bai & W. M. Tang & K. F. C. Yiu, 2019. "Analysis of Price Differences Between A and H Shares," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(4), pages 529-552, December.
    5. Huang, Hong-Gia & Tsai, Wei-Che & Weng, Pei-Shih & Wu, Ming-Hung, 2021. "Volatility of order imbalance of institutional traders and expected asset returns: Evidence from Taiwan," Journal of Financial Markets, Elsevier, vol. 52(C).
    6. Stolowy, Hervé & Jeanjean, Thomas & Erkens, Michael, 2011. "The economic consequences of increasing the international visibility of financial reports," HEC Research Papers Series 957, HEC Paris.
    7. Allen, Franklin & Zhang, Chenying & Qian, Jun & Zhao, Mengxin, 2011. "China's Financial System: Opportunities and Challenges," Working Papers 11-54, University of Pennsylvania, Wharton School, Weiss Center.
    8. Su, Chen & Brookfield, David, 2013. "An evaluation of the impact of stock market reforms on IPO under-pricing in China: The certification role of underwriters," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 20-33.
    9. Su, Chen & Bangassa, Kenbata, 2011. "The impact of underwriter reputation on initial returns and long-run performance of Chinese IPOs," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 760-791.
    10. Bian, Jiangze & Su, Tie & Wang, Jun, 2022. "Non-marketability and one-day selling lockup," Journal of Empirical Finance, Elsevier, vol. 65(C), pages 1-23.
    11. Feng, Xunan & Johansson, Anders C., 2014. "Escaping political extraction: Political participation, institutions, and cash holdings in China," China Economic Review, Elsevier, vol. 30(C), pages 98-112.
    12. Tang, Hongfei & Xu, Xiaoqing Eleanor & Yang, Zihui, 2014. "Can international LETFs deliver their promised exposure to foreign markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 30-74.
    13. Chenpeng Du, 2022. "The Impact of China’s Capital Market Opening Up to the Domestic Stock Idiosyncratic Risk," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 12(2), pages 1-5.
    14. Qian Wang & Duowen Wu & Lina Yan, 2021. "Effect of positive tone in MD&A disclosure on capital structure adjustment speed: evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(4), pages 5809-5845, December.
    15. He, Yinghua & Nielsson, Ulf & Guo, Hong & Yang, Jiong, 2012. "Subscribing to Transparency," TSE Working Papers 12-351, Toulouse School of Economics (TSE), revised Nov 2013.
    16. Gagnon, Louis & Karolyi, G. Andrew, 2004. "Multi-market Trading and Arbitrage," Working Paper Series 2004-9, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    17. Fan, Qingliang & Wang, Ting, 2017. "The impact of Shanghai–Hong Kong Stock Connect policy on A-H share price premium," Finance Research Letters, Elsevier, vol. 21(C), pages 222-227.
    18. Daehwan Kim & Jung Inn Kim & Taeyoon Sung, 2013. "Stock market liberalization and price response: gradualism versus cold turkey," Applied Economics, Taylor & Francis Journals, vol. 45(3), pages 273-285, January.
    19. Ghadhab, Imen, 2018. "Arbitrage opportunities and liquidity: An intraday event study on cross-listed stocks," Journal of Multinational Financial Management, Elsevier, vol. 46(C), pages 1-10.
    20. Enzo Weber & Yanqun Zhang, 2008. "Common Influences, Spillover and Integration in Chinese Stock Markets," SFB 649 Discussion Papers SFB649DP2008-072, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    21. Tao Xiong & Miao Li, 2024. "A tale of two contracts: Was the SHFE copper futures market disrupted by the listing of INE bonded copper futures?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(2), pages 281-301, February.
    22. Gromicho, J.A.S. & Hoorn, J.J. van & Timmer, G.T., 2009. "Exponentially better than brute force: solving the jobshop scheduling problem optimally by dynamic programming," Serie Research Memoranda 0056, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    23. Ghadhab, Imen & Hellara, Slaheddine, 2016. "Price discovery of cross-listed firms," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 177-188.
    24. Yingwen Deng & Ole‐Kristian Hope & Cyndia Wang & Min Zhang, 2022. "Capital market liberalization and auditors' accounting adjustments: Evidence from a quasi‐experiment," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 49(1-2), pages 215-248, January.
    25. Hirshleifer, David & Jian, Ming & Zhang, Huai, 2014. "Superstition and financial decision making," MPRA Paper 58620, University Library of Munich, Germany.
    26. Huang, Wei & Lai, Pei-Chun & Bessler, David A., 2018. "On the changing structure among Chinese equity markets: Hong Kong, Shanghai, and Shenzhen," European Journal of Operational Research, Elsevier, vol. 264(3), pages 1020-1032.
    27. Yi Li & Dehua Shen & Pengfei Wang & Wei Zhang, 2021. "Investor reactions to local and overseas news: Evidence from A‐ and H‐shares in China," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4190-4225, July.
    28. Andrade, Sandro C. & Bian, Jiangze & Burch, Timothy R., 2013. "Analyst Coverage, Information, and Bubbles," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(5), pages 1573-1605, October.
    29. Narayan, Paresh Kumar & Sharma, Susan Sunila & Thuraisamy, Kannan Sivananthan & Westerlund, Joakim, 2018. "Some preliminary evidence of price discovery in Islamic banks," Pacific-Basin Finance Journal, Elsevier, vol. 52(C), pages 107-122.
    30. A. Bernales, 2014. "The Effects of Information Asymmetries on the Ex-Post Success of Stock Option Listings," Working papers 495, Banque de France.
    31. Kohonen, Anssi, 2012. "On detection of volatility spillovers in simultaneously open stock markets," MPRA Paper 37504, University Library of Munich, Germany.
    32. Feng, Xunan & Johansson, Anders C., 2018. "Living through the Great Chinese Famine: Early-life experiences and managerial decisions," Journal of Corporate Finance, Elsevier, vol. 48(C), pages 638-657.
    33. Pavlidis, Efthymios G. & Vasilopoulos, Kostas, 2020. "Speculative bubbles in segmented markets: Evidence from Chinese cross-listed stocks," Journal of International Money and Finance, Elsevier, vol. 109(C).
    34. Feng, Xunan & Hu, Na & Johansson, Anders C., 2016. "Ownership, analyst coverage, and stock synchronicity in China," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 79-96.
    35. Chan, Kalok & Menkveld, Albert J. & Yang, Zhishu, 2007. "The informativeness of domestic and foreign investors' stock trades: Evidence from the perfectly segmented Chinese market," Journal of Financial Markets, Elsevier, vol. 10(4), pages 391-415, November.
    36. Abigail S. Hornstein, 2013. "The Impact of Local Governance Institutions on Foreign Market Listings: The Case of Chinese Firms," Wesleyan Economics Working Papers 2013-006, Wesleyan University, Department of Economics.
    37. Cai, Charlie X. & McGuinness, Paul B. & Zhang, Qi, 2011. "The pricing dynamics of cross-listed securities: The case of Chinese A- and H-shares," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2123-2136, August.
    38. Donald Lien & Chun-Da Chen, 2020. "B-share discount puzzle in China: a revisit of dual-share firms," Review of Managerial Science, Springer, vol. 14(5), pages 1047-1075, October.
    39. Johansson, Anders C. & Feng, Xunan, 2013. "CEO Incentives in Chinese State-Controlled Firms," Stockholm School of Economics Asia Working Paper Series 2013-27, Stockholm School of Economics, Stockholm China Economic Research Institute.
    40. Barniv, Ran, 2009. "Does foreign investor demand for information affect forecast accuracy? Evidence from the Chinese stock markets," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 18(2), pages 101-118.
    41. Guo, Lei & Han, Xing & Li, Youwei, 2023. "The smog that hovers: Air pollution and asset prices," Finance Research Letters, Elsevier, vol. 53(C).
    42. Lee, K.M.C. & Kraeussl, R.G.W. & Paas, L.J., 2010. "Personality and investment: Personality differences affect investors' adaptation to losses," Serie Research Memoranda 0007, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    43. Galina Hale, 2011. "Bank relationships, business cycles, and financial crisis," Working Paper Series 2011-14, Federal Reserve Bank of San Francisco.
    44. Zhu, Fangfei & Luo, Xingguo & Jin, Xuejun, 2019. "Predicting the volatility of the iShares China Large-Cap ETF: What is the role of the SSE 50 ETF?," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
    45. Gheasi, M. & Nijkamp, P. & Rietveld, P., 2009. "Migration and tourist flows," Serie Research Memoranda 0059, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    46. Li, Shan & Mihaylov, George & Peranginangin, Yessy & Zurbruegg, Ralf, 2021. "Short selling patterns in cross-listed stocks," Global Finance Journal, Elsevier, vol. 48(C).
    47. Xiao-Ming Li, 2014. "Asset Pricing and Share Reforms: An Anatomy of China’s Investable Stocks," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(1), pages 15-34, March.
    48. Chan, Marc K. & Kwok, Simon, 2018. "Connecting the markets? Recent evidence on China’s capital account liberalization," Economic Modelling, Elsevier, vol. 70(C), pages 417-428.
    49. Chang, Eric C. & Luo, Yan & Ren, Jinjuan, 2013. "Cross-listing and pricing efficiency: The informational and anchoring role played by the reference price," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4449-4464.
    50. Merikivi, J. & Verhagen, T. & Feldberg, J.F.M., 2010. "Having belief(s) in social virtual worlds: A decomposed approach," Serie Research Memoranda 0010, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    51. Darrat, Ali F. & Gilley, Otis & Wu, Yanhui & Zhong, Maosen, 2010. "On the Chinese B-share price discount puzzle: Some new evidence," Journal of Business Research, Elsevier, vol. 63(8), pages 895-902, August.
    52. Narayan, Paresh Kumar & Zheng, Xinwei, 2011. "The relationship between liquidity and returns on the Chinese stock market," Journal of Asian Economics, Elsevier, vol. 22(3), pages 259-266, June.
    53. Adcock, Chris & Ye, Caiwei & Yin, Shuxing & Zhang, Dalu, 2023. "Are Chinese B-shares dead? An analysis of price limits on AB-shares on the Shanghai and Shenzhen Stock Exchanges," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 306-315.
    54. Chen, Haiqiang & Choi, Paul Moon Sub, 2012. "Does information vault Niagara Falls? Cross-listed trading in New York and Toronto," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 175-199.
    55. Zhian Chen & Hai Jiang & Donghui Li & Ah Boon Sim, 2010. "Regulation Change and Volatility Spillovers: Evidence from China's Stock Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 46(6), pages 140-157, November.
    56. Andy C W Chui & Avanidhar Subrahmanyam & Sheridan Titman, 2022. "Momentum, Reversals, and Investor Clientele [Illiquidity and stock returns: Cross-section and time-series effects]," Review of Finance, European Finance Association, vol. 26(2), pages 217-255.
    57. Su, Chen, 2015. "Does institutional reform improve the impact of investment bank reputation on the long-term stock performance of initial public offerings?," The British Accounting Review, Elsevier, vol. 47(4), pages 445-470.
    58. Eric Girardin & Roselyne Joyeux, 2013. "Macro fundamentals as a source of stock market volatility in China: A GARCH-MIDAS approach," Post-Print hal-01499615, HAL.
    59. Guangchuan Li & Lei Lu & Bo Wu & Zhou Zhang, 2014. "Asymmetric information, illiquidity and asset returns: evidence from China," Quantitative Finance, Taylor & Francis Journals, vol. 14(6), pages 947-957, June.
    60. Diego Agudelo & Diego Amaya & Juliana Hincapié & Julián Múnera, 2017. "Attention-based vs information-based trading around announcements. Evidence from an emerging market," Documentos de Trabajo de Valor Público 16359, Universidad EAFIT.
    61. Tourani-Rad, Alireza & Gilbert, Aaron & Chen, Jun, 2016. "Are foreign IPOs really foreign? Price efficiency and information asymmetry of Chinese foreign IPOs," Journal of Banking & Finance, Elsevier, vol. 63(C), pages 95-106.
    62. Alhaj-Yaseen, Yaseen S. & Yau, Siu-Kong, 2018. "Herding tendency among investors with heterogeneous information: Evidence from China’s equity markets," Journal of Multinational Financial Management, Elsevier, vol. 47, pages 60-75.
    63. Chunxin Jia & Yaping Wang & Wei Xiong, 2015. "Social Trust and Differential Reactions of Local and Foreign Investors to Public News," NBER Working Papers 21075, National Bureau of Economic Research, Inc.
    64. Lulu Gu & W. Robert Reed, 2012. "Information Asymmetry, Market Segmentation and Cross-Listing: Implicatons for Event Study Methodology," Working Papers in Economics 12/08, University of Canterbury, Department of Economics and Finance.
    65. Liwei Jin & Xianghui Yuan & Li Peiran & Hailun Xu & Feng Lian, 2023. "Option features and price discovery in convertible bonds," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(3), pages 384-403, March.
    66. Feng, Xunan & Zhou, Mingshan & Chan, Kam C., 2014. "Smart money or dumb money? A study on the selection ability of mutual fund investors in China," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 154-170.
    67. Zhang, Ping & Sha, Yezhou & Wang, Yu & Wang, Tewei, 2022. "Capital market opening and stock price crash risk – Evidence from the Shanghai-Hong Kong stock connect and the Shenzhen-Hong Kong stock connect," Pacific-Basin Finance Journal, Elsevier, vol. 76(C).
    68. Cai, Weixing & Lee, Edward & Xu, Alice Liang & Zeng, Cheng (Colin), 2019. "Does corporate social responsibility disclosure reduce the information disadvantage of foreign investors?," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 34(C), pages 12-29.
    69. Jing Wang & Jim Haslam & Claire Marston, 2011. "The appraisal of ordinary shares by Chinese financial analysts," Asian Review of Accounting, Emerald Group Publishing Limited, vol. 19(1), pages 5-30, May.
    70. Liu, Zhenya & Wang, Shixuan, 2017. "Decoding Chinese stock market returns: Three-state hidden semi-Markov model," Pacific-Basin Finance Journal, Elsevier, vol. 44(C), pages 127-149.
    71. Pinglin He & Huayu Shen & Ying Zhang & Jing Ren, 2019. "External Pressure, Corporate Governance, and Voluntary Carbon Disclosure: Evidence from China," Sustainability, MDPI, vol. 11(10), pages 1-20, May.
    72. Han, Xing & Li, Youwei, 2017. "Can investor sentiment be a momentum time-series predictor? Evidence from China," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 212-239.
    73. Hoorn, J.J. van, 2010. "A note on the worst case complexity for the capacitated vehicle routing problem," Serie Research Memoranda 0005, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    74. Tang, Vicki Wei, 2011. "Isolating the effect of disclosure on information risk," Journal of Accounting and Economics, Elsevier, vol. 52(1), pages 81-99, June.
    75. Wu, Ming & Ohk, Kiyool & Ko, Kwangsoo, 2019. "Are cash-flow betas really bad? Evidence from the Greater Chinese stock markets," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 58-68.
    76. Christopher Gan & Yuan Zhang & Zhaohua Li & David A. Cohen, 2014. "The evolution of China’s banking system: bank loan announcements 1996–2009," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 54(1), pages 165-188, March.
    77. Chan, Marc K. & Kwok, Simon, 2017. "Risk-sharing, market imperfections, asset prices: Evidence from China’s stock market liberalization," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 166-187.
    78. Deng, Lu & Liao, Mingqing & Luo, Rui & Sun, Jianfei & Xu, Chen, 2021. "Does corporate social responsibility reduce share price premium? Evidence from China's A- and H-shares," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    79. Steenbruggen, J. & Borzacchiello, M.T. & Nijkamp, P. & Scholten, H.J., 2010. "Real-time data from mobile phone networks for urban incidence and traffic management - a review of application and opportunities," Serie Research Memoranda 0003, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    80. Zhong-guo Zhou & Janet Zhou, 2010. "Chinese IPO activity, pricing, and market cycles," Review of Quantitative Finance and Accounting, Springer, vol. 34(4), pages 483-503, May.
    81. Yuan Li & Yu Zhang, 2021. "Investor Sentiment, Idiosyncratic Risk, and Stock Price Premium: Evidence From Chinese Cross-Listed Companies," SAGE Open, , vol. 11(2), pages 21582440211, June.
    82. Kenneth G Huang & Jiatao Li, 2019. "Adopting knowledge from reverse innovations? Transnational patents and signaling from an emerging economy," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 50(7), pages 1078-1102, September.
    83. Li, Hong, 2013. "Integration versus segmentation in China's stock market: An analysis of time-varying beta risks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 88-105.
    84. Fong, Wai Mun, 2009. "Speculative trading and stock returns: A stochastic dominance analysis of the Chinese A-share market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 712-727, October.
    85. Frédéric Teulon & Khaled Guesmi & Salma Fattoum, 2014. "Is there a difference between domestic and foreign risk premium? The case of China Stock Market," Working Papers 2014-89, Department of Research, Ipag Business School.
    86. Joseph K.W. Fung & Eric Girardin & Jian Hua, 2022. "How does the exchange-rate regime affect dual-listed share price parity? Evidence from China’s A- and H-share markets," Post-Print hal-03821210, HAL.
    87. Lin, Kuan-Pin & Menkveld, Albert J. & Yang, Zhishu, 2009. "Chinese and world equity markets: A review of the volatilities and correlations in the first fifteen years," China Economic Review, Elsevier, vol. 20(1), pages 29-45, March.
    88. Ming Jia & Zhe Zhang, 2013. "Managerial Ownership and Corporate Social Performance: Evidence from Privately Owned Chinese Firms' Response to the Sichuan Earthquake," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 20(5), pages 257-274, September.
    89. Ding, Rong & Hou, Wenxuan & Liu, Yue (Lucy) & Zhang, John Ziyang, 2018. "Media censorship and stock price: Evidence from the foreign share discount in China," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 112-133.
    90. Alhaj-Yaseen, Yaseen S. & Barkoulas, John T. & Ouandlous, Arav, 2020. "Liberalization and asymmetric information flow dynamics in the Chinese equity markets," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
    91. Xu, Wenming, 2016. "Reforming private securities litigation in China: The stock market has already cast its vote," International Review of Law and Economics, Elsevier, vol. 45(C), pages 23-32.
    92. Jianlei Han & Jing He & Zheyao Pan & Jing Shi, 2018. "Twenty Years of Accounting and Finance Research on the Chinese Capital Market," Abacus, Accounting Foundation, University of Sydney, vol. 54(4), pages 576-599, December.
    93. Md Hamid Uddin & Sarkar H. Kabir & Mohammad Kabir Hassan & Mohammed S. Hossain & Jia Liu, 2022. "Why do sukuks (Islamic bonds) need a different pricing model?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2210-2234, April.
    94. Ripamonti, Alexandre, 2019. "Capital Structure Adjustments and Asymmetric Information," MPRA Paper 96936, University Library of Munich, Germany.
    95. Huacheng Wang & Kangtao Ye & Kai Zhong, 2018. "Accounting research in China: commemorating the 40th anniversary of reform and opening up," Frontiers of Business Research in China, Springer, vol. 12(1), pages 1-37, December.
    96. Docherty, Paul & Easton, Steve & Pinder, Sean, 2021. "Flights-to-control: Time variation in the value of a vote," Journal of Corporate Finance, Elsevier, vol. 66(C).
    97. Li, Shan & Brockman, Paul & Zurbruegg, Ralf, 2015. "Cross-listing, firm-specific information, and corporate governance: Evidence from Chinese A-shares and H-shares," Journal of Corporate Finance, Elsevier, vol. 32(C), pages 347-362.
    98. Bohl, Martin T. & Schuppli, Michael & Siklos, Pierre L., 2010. "Stock return seasonalities and investor structure: Evidence from China's B-share markets," China Economic Review, Elsevier, vol. 21(1), pages 190-201, March.
    99. Borisova, Ginka & Yadav, Pradeep K., 2015. "Government ownership, informed trading, and private information," CFR Working Papers 15-13, University of Cologne, Centre for Financial Research (CFR).
    100. Shaio Yan Huang & Chao-Hsiung Lee & Lee-Hsien Pan & Bich Hanh Nguyen Thi, 2016. "IPO Initial Excess Return in an Emerging Market: Evidence from Vietnam’s Stock Exchanges," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 19(02), pages 1-23, June.
    101. Zhang, Dayong & Dickinson, David & Barassi, Marco, 2006. "Structural breaks, cointegration and B share discount in Chinese stock market," MPRA Paper 70353, University Library of Munich, Germany.
    102. Yuan, Yuan & Hu, May & Cheng, Chen, 2023. "CEO succession and corporate innovation: A managerial myopic perspective," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    103. Lulu Gu & W. Robert Reed, 2011. "One For All or All For One? Using Multiple-listing Information in Event Studies," Working Papers in Economics 11/33, University of Canterbury, Department of Economics and Finance.
    104. Yan, Yuxing & Zhang, Shaojun, 2012. "An improved estimation method and empirical properties of the probability of informed trading," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 454-467.
    105. Menkveld, Albert J. & Wang, Ting, 2013. "How do designated market makers create value for small-caps?," Journal of Financial Markets, Elsevier, vol. 16(3), pages 571-603.
    106. John Fan Zhang, 2022. "The Market Reaction to Cross‐border Listings: Evidence from AH Listed Firms," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 30(6), pages 183-218, November.
    107. Tiniç, Murat & Savaser, Tanseli, 2020. "Political turmoil and the impact of foreign orders on equity prices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
    108. Ripamonti, Alexandre, 2016. "Corwin-Schultz bid-ask spread estimator in the Brazilian stock market," MPRA Paper 79459, University Library of Munich, Germany.
    109. Jing Chen & Junxiong Fang & Chunqiu Zhang & Yi Zhou, 2023. "Homemade international diversification under economic policy uncertainty," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(1), pages 31-62, February.
    110. Doukas, John A. & Wang, Liu, 2013. "Information asymmetry, price discovery, and the Chinese B-share discount puzzle," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1116-1135.
    111. Ghebrihiwet, N. & Motchenkova, E.I., 2010. "Leniency programs in the presence of judicial errors," Serie Research Memoranda 0008, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    112. Azevedo, Alcino & Guney, Yilmaz & Leng, Jingsi, 2018. "Initial public offerings in China: Underpricing, statistics and developing literature," Research in International Business and Finance, Elsevier, vol. 46(C), pages 387-398.
    113. Johansson, Anders C. & Feng, Xunan, 2013. "The State Advances, the Private Sector Retreats: Firm Effects of China’s Great Stimulus Program," Stockholm School of Economics Asia Working Paper Series 2013-25, Stockholm School of Economics, Stockholm China Economic Research Institute.
    114. Azzi, Sarah & Suchard, Jo-Ann, 2019. "Crouching tigers, hidden dragons: Private equity fund selection in China," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 236-253.
    115. He, Yan & Wang, Junbo & Wu, Chunchi, 2013. "Domestic versus foreign equity shares: Which are more costly to trade in the Chinese market?," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 465-481.
    116. Man Jin & Shunan Zhao & Subal C. Kumbhakar, 2020. "Information asymmetry and leverage adjustments: a semiparametric varying‐coefficient approach," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 183(2), pages 581-605, February.
    117. Wu, Xuan & Tian, Gaoliang & Li, Yueting & Zhou, Qing, 2019. "On the pricing of the persistence of earnings components in China," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 112-132.
    118. Huili Chen & Ying Chen & Bin Lin & Yanchao Wang, 2019. "Can short selling improve internal control? An empirical study based on the difference‐in‐differences model," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(5), pages 1233-1259, March.
    119. Congsheng Wu, 2014. "Underpricing of homecoming A-share IPOs by Chinese firms already listed abroad," Review of Quantitative Finance and Accounting, Springer, vol. 43(3), pages 627-649, October.
    120. Eichler, Stefan, 2011. "Exchange rate expectations and the pricing of Chinese cross-listed stocks," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 443-455, February.
    121. Olivier Accominotti & Thilo N. H. Albers & Kim Oosterlinck, 2023. "Selective Default Expectations," Rationality and Competition Discussion Paper Series 425, CRC TRR 190 Rationality and Competition.
    122. Jiao, Feng & Liu, Qingfu & Tse, Yiuman & Wang, Zhiqin, 2022. "Price disparity between Chinese A- and H-shares: Dividends, currency values, and the interest rate differential," Global Finance Journal, Elsevier, vol. 53(C).
    123. Chan, Marc K & Kwok, Simon, 2015. "The Effect of Risk Sharing on Asset Prices: Natural Experiment from the Chinese Stock Market Liberalization," Working Papers 2015-19, University of Sydney, School of Economics.
    124. Man Jin & Huiting Tian & Subal C. Kumbhakar, 2020. "How to survive and compete: the impact of information asymmetry on productivity," Journal of Productivity Analysis, Springer, vol. 53(1), pages 107-123, February.
    125. Shen, Huayu & Lan, Fengyun & Xiong, Hao & Lv, Jun & Jian, Jianhui, 2020. "Does top management Team’s academic experience promote corporate innovation? Evidence from China," Economic Modelling, Elsevier, vol. 89(C), pages 464-475.
    126. Jennifer N. Carpenter & Fangzhou Lu & Robert F. Whitelaw, 2015. "The Real Value of China's Stock Market," NBER Working Papers 20957, National Bureau of Economic Research, Inc.
    127. Ahn, Yongkil & Tsai, Shih-Chuan, 2021. "What factors are associated with stock price jumps in high frequency?," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    128. Xuechun Zhang & Ruihui Xu & Xue Liu, 2022. "Premiums between Cross‐listed Shares: Determinants and Assessment of Financial Reform Policy Effectiveness," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 30(3), pages 75-99, May.
    129. M. Fatih Oztek & Nadir Ocal, 2012. "Integration of China Stock Markets with International Stock Markets: An application of Smooth Transition Conditional Correlation with Double Transition Functions," ERC Working Papers 1209, ERC - Economic Research Center, Middle East Technical University, revised Dec 2012.
    130. Agudelo, Diego A. & Byder, James & Yepes-Henao, Paula, 2019. "Performance and informed trading. Comparing foreigners, institutions and individuals in an emerging stock market," Journal of International Money and Finance, Elsevier, vol. 90(C), pages 187-203.
    131. Li, Qinyang & Liu, Xiangqiang & Chen, Jing & Wang, Huaixin, 2022. "Does stock market liberalization reduce stock price synchronicity? —Evidence from the Shanghai-Hong Kong Stock Connect," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 25-38.
    132. Liu, Clark & Wang, Shujing & Wei, K.C. John & Zhong, Ninghua, 2019. "The demand effect of yield-chasing retail investors: Evidence from the Chinese enterprise bond market," Journal of Empirical Finance, Elsevier, vol. 50(C), pages 57-77.
    133. Eric Girardin & Dijun Tan & Woon K. Wong, 2010. "Information Content of Order Flow and Cross-market Portfolio Rebalancing: Evidence for the Chinese Stock, Treasury and Corporate Bond Markets," Working Papers 022010, Hong Kong Institute for Monetary Research.
    134. Lijesen, M.G., 2010. "Empirical applications of spatial competition; an interpretative literature review," Serie Research Memoranda 0006, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    135. Alejandro Bernales & Massimo Guidolin, 2013. "The Effects of Information Asymmetries on the Success of Stock Option Listings," Working Papers 484, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    136. Kohonen, Anssi, 2013. "On detection of volatility spillovers in overlapping stock markets," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 140-158.
    137. Narayan, Paresh Kumar & Narayan, Seema & Westerlund, Joakim, 2015. "Do order imbalances predict Chinese stock returns? New evidence from intraday data," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 136-151.
    138. Wan, Xiaoyuan, 2020. "The impact of short-selling and margin-buying on liquidity: Evidence from the Chinese stock market," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 104-118.
    139. Cheng, Xu & Kong, Dongmin & Wang, Junbo, 2021. "Political uncertainty and A-H share premium," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    140. Jennie Bai & Michael J. Fleming & Casidhe Horan, 2013. "The Microstructure of China's Government Bond Market," Staff Reports 622, Federal Reserve Bank of New York.
    141. Borisova, Ginka & Yadav, Pradeep K., 2015. "Government ownership, informed trading, and private information," Journal of Corporate Finance, Elsevier, vol. 33(C), pages 196-211.
    142. Bernales, Alejandro, 2017. "The success of option listings," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 139-161.
    143. Tong, Wilson H.S. & Yu, Wayne W., 2012. "A corporate governance explanation of the A-B share discount in China," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 125-147.
    144. Oi-Ping Chong & A.N. Bany-Ariffin & Annuar Md Nassir & Junaina Muhammad, 2019. "An Empirical Study of Herding Behaviour in China’s A-Share and B-Share Markets: Evidence of Bidirectional Herding Activities," Capital Markets Review, Malaysian Finance Association, vol. 27(2), pages 37-57.
    145. Sitters, R.A., 2009. "Efficient algorithms for average completion time scheduling," Serie Research Memoranda 0058, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    146. Thomas Jeanjean & Hervé Stolowy & Michael Erkens, 2012. "Economic consequences of adopting English for annual reports," Post-Print hal-00690931, HAL.
    147. Yao, Juan & Ma, Chuanchan & He, William Peng, 2014. "Investor herding behaviour of Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 12-29.
    148. Kuo, Jing-Ming & Ning, Lutao & Song, Xiaoqi, 2014. "The Real and Accrual-based Earnings Management Behaviors: Evidence from the Split Share Structure Reform in China," The International Journal of Accounting, Elsevier, vol. 49(1), pages 101-136.
    149. Chen, Jun & Tian, Gaoliang & Yang, Fan, 2020. "Individual investors' propensity to speculate and A-share premiums in China's A-shares and H-shares," Emerging Markets Review, Elsevier, vol. 43(C).
    150. Sha, Yezhou & Zhang, Ping & Wang, Yiru & Xu, Yifan, 2022. "Capital market opening and green innovation——Evidence from Shanghai-Hong Kong stock connect and the Shenzhen-Hong Kong stock connect," Energy Economics, Elsevier, vol. 111(C).
    151. Alhaj-Yaseen, Yaseen S. & Rao, Xi & Jin, Yinghua, 2017. "Market liberalization and the extent of informed trading: Evidence from China’s equity markets," Journal of Multinational Financial Management, Elsevier, vol. 39(C), pages 78-99.
    152. Bai, Min & Li, Shihe & Lien, Donald & Yu, Chia-Feng (Jeffrey), 2022. "The winner's curse in high-tech enterprise certification: Evidence from stock price crash risk," International Review of Financial Analysis, Elsevier, vol. 82(C).
    153. Zhang, Ran, 2015. "A theoretical analysis on H-share discount," Economic Modelling, Elsevier, vol. 46(C), pages 262-268.
    154. Mehmet Fatih Öztek & Nadir Öcal, 2016. "The effects of domestic and international news and volatility on integration of Chinese stock markets with international stock markets," Empirical Economics, Springer, vol. 50(2), pages 317-360, March.

  21. Menkveld, Albert J., 2006. "Splitting orders in overlapping markets: a study of cross-listed stocks," Serie Research Memoranda 0003, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.

    Cited by:

    1. Roberto Patuelli & Norbert Schanne & Daniel A. Griffith & Peter Nijkamp, 2009. "Persistence of Regional Unemployment: Application of a Spatial Filtering Approach to Local Labour Markets in Germany," Working Paper series 49_09, Rimini Centre for Economic Analysis, revised Nov 2011.
    2. Goldstein, Michael A. & Shkilko, Andriy V. & Van Ness, Bonnie F. & Van Ness, Robert A., 2008. "Competition in the market for NASDAQ securities," Journal of Financial Markets, Elsevier, vol. 11(2), pages 113-143, May.
    3. Ghadhab, Imen, 2018. "Arbitrage opportunities and liquidity: An intraday event study on cross-listed stocks," Journal of Multinational Financial Management, Elsevier, vol. 46(C), pages 1-10.
    4. Gromicho, J.A.S. & Hoorn, J.J. van & Timmer, G.T., 2009. "Exponentially better than brute force: solving the jobshop scheduling problem optimally by dynamic programming," Serie Research Memoranda 0056, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    5. Hsu, Chih-Hsiang, 2016. "Strategic noise trading of later-informed traders in a multi-market framework," Economic Modelling, Elsevier, vol. 54(C), pages 235-243.
    6. Gehrig, Thomas & Foucault, Thierry, 2006. "Stock Price Informativeness, Cross-Listings and Investment Decisions," CEPR Discussion Papers 5722, C.E.P.R. Discussion Papers.
    7. Lee, K.M.C. & Kraeussl, R.G.W. & Paas, L.J., 2010. "Personality and investment: Personality differences affect investors' adaptation to losses," Serie Research Memoranda 0007, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    8. Jaiswal-Dale, Ameeta & Jithendranathan, Thadavillil, 2009. "Transmission of shocks from cross-listed markets to the return and volatility of domestic stocks," Journal of Multinational Financial Management, Elsevier, vol. 19(5), pages 395-408, December.
    9. Gheasi, M. & Nijkamp, P. & Rietveld, P., 2009. "Migration and tourist flows," Serie Research Memoranda 0059, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    10. Lescourret, Laurence & Moinas, Sophie, 2015. "Liquidity Supply across Multiple Trading Venues," ESSEC Working Papers WP1505, ESSEC Research Center, ESSEC Business School.
    11. 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.
    12. Ghadhab, Imen & Hellara, Slaheddine, 2016. "Cross-listing and value creation," Journal of Multinational Financial Management, Elsevier, vol. 37, pages 1-11.
    13. Merikivi, J. & Verhagen, T. & Feldberg, J.F.M., 2010. "Having belief(s) in social virtual worlds: A decomposed approach," Serie Research Memoranda 0010, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    14. Mona Mortazian, 2022. "Liquidity and Volatility of Stocks Moved from the Main Market to the Alternative Investment Market (AIM)," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(2), pages 195-220, June.
    15. Hoorn, J.J. van, 2010. "A note on the worst case complexity for the capacitated vehicle routing problem," Serie Research Memoranda 0005, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    16. 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.
    17. Steenbruggen, J. & Borzacchiello, M.T. & Nijkamp, P. & Scholten, H.J., 2010. "Real-time data from mobile phone networks for urban incidence and traffic management - a review of application and opportunities," Serie Research Memoranda 0003, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    18. Sugato Chakravarty & Chiraphol N. Chiyachantana & Christine Jiang, 2012. "The Choice of Trading Venue and Relative Price Impact of Institutional Trading: ADRs versus the Underlying Securities in their Local Markets," Working Papers 1012, Purdue University, Department of Consumer Sciences.
    19. Ghadhab, Imen, 2016. "The effect of additional foreign market presence on the trading volume of cross-listed/traded stocks," Journal of Multinational Financial Management, Elsevier, vol. 34(C), pages 18-27.
    20. 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).
    21. Suleyman Cetintas & Luo Si & Sugato Chakravarty & Hans Aagard & Kyle Bowen, 2011. "Learning to Identify Students’ Relevant and IrrelevantQuestions in a Micro-blogging Supported Classroom," Working Papers 1010, Purdue University, Department of Consumer Sciences.
    22. Ghebrihiwet, N. & Motchenkova, E.I., 2010. "Leniency programs in the presence of judicial errors," Serie Research Memoranda 0008, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    23. H�lena Beltran-Lopez & Joachim Grammig & Albert J. Menkveld, 2012. "Limit order books and trade informativeness," The European Journal of Finance, Taylor & Francis Journals, vol. 18(9), pages 737-759, October.
    24. Moulton, Pamela C. & Wei, Li, 2009. "A tale of two time zones: The impact of substitutes on cross-listed stock liquidity," Journal of Financial Markets, Elsevier, vol. 12(4), pages 570-591, November.
    25. Laurent Germain & Brian Kluger & Crina Pungulescu & David Stolin & Daniel Weaver, 2010. "Intra†Dealer Integration," European Financial Management, European Financial Management Association, vol. 16(4), pages 507-527, September.
    26. Otsubo, Yoichi, 2014. "International cross-listing and price discovery under trading concentration in the domestic market: Evidence from Japanese shares," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 36-51.
    27. Lijesen, M.G., 2010. "Empirical applications of spatial competition; an interpretative literature review," Serie Research Memoranda 0006, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    28. Sitters, R.A., 2009. "Efficient algorithms for average completion time scheduling," Serie Research Memoranda 0058, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    29. Daniel Chen & Darrell Duffie, 2020. "Market Fragmentation," NBER Working Papers 26828, National Bureau of Economic Research, Inc.

  22. Chan, Kalok & Menkveld, Albert J. & Yang, Zhishu, 2006. "Are Domestic Investors Better Informed than Foreign Investors? : Evidence from the Perfectly Segmented Market in China," Serie Research Memoranda 0004, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.

    Cited by:

    1. Roberto Patuelli & Norbert Schanne & Daniel A. Griffith & Peter Nijkamp, 2009. "Persistence of Regional Unemployment: Application of a Spatial Filtering Approach to Local Labour Markets in Germany," Working Paper series 49_09, Rimini Centre for Economic Analysis, revised Nov 2011.
    2. Amélie Charles & Olivier Darné, 2009. "The random walk hypothesis for Chinese stock markets: Evidence from variance ratio tests," Post-Print hal-00771080, HAL.
    3. Gromicho, J.A.S. & Hoorn, J.J. van & Timmer, G.T., 2009. "Exponentially better than brute force: solving the jobshop scheduling problem optimally by dynamic programming," Serie Research Memoranda 0056, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    4. Fifield, Suzanne G.M. & Jetty, Juliana, 2008. "Further evidence on the efficiency of the Chinese stock markets: A note," Research in International Business and Finance, Elsevier, vol. 22(3), pages 351-361, September.
    5. Lee, K.M.C. & Kraeussl, R.G.W. & Paas, L.J., 2010. "Personality and investment: Personality differences affect investors' adaptation to losses," Serie Research Memoranda 0007, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    6. Gheasi, M. & Nijkamp, P. & Rietveld, P., 2009. "Migration and tourist flows," Serie Research Memoranda 0059, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    7. Ching-Mann Huang & Tsai-Yin Lin & Chih-Hsien Yu & Si-Ying Hoe, 2006. "Volatility–Volume Relationships Among Types of Traders Considering the Investment Limitation to Foreign Investors," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 9(04), pages 575-596.
    8. Merikivi, J. & Verhagen, T. & Feldberg, J.F.M., 2010. "Having belief(s) in social virtual worlds: A decomposed approach," Serie Research Memoranda 0010, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    9. Hoorn, J.J. van, 2010. "A note on the worst case complexity for the capacitated vehicle routing problem," Serie Research Memoranda 0005, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    10. Steenbruggen, J. & Borzacchiello, M.T. & Nijkamp, P. & Scholten, H.J., 2010. "Real-time data from mobile phone networks for urban incidence and traffic management - a review of application and opportunities," Serie Research Memoranda 0003, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    11. Hung, Jui-Cheng, 2009. "Deregulation and liberalization of the Chinese stock market and the improvement of market efficiency," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 843-857, August.
    12. Ghebrihiwet, N. & Motchenkova, E.I., 2010. "Leniency programs in the presence of judicial errors," Serie Research Memoranda 0008, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    13. Lijesen, M.G., 2010. "Empirical applications of spatial competition; an interpretative literature review," Serie Research Memoranda 0006, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    14. Sitters, R.A., 2009. "Efficient algorithms for average completion time scheduling," Serie Research Memoranda 0058, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.

  23. Thierry Foucault & Albert J. Menkveld, 2006. "Competition for Order Flow Smart Order Routing Systems," Post-Print halshs-00009932, HAL.

    Cited by:

    1. Sophie Laruelle & Charles-Albert Lehalle & Gilles Pag`es, 2009. "Optimal split of orders across liquidity pools: a stochastic algorithm approach," Papers 0910.1166, arXiv.org, revised May 2010.
    2. G. Wuyts, 2007. "Stock Market Liquidity.Determinants and Implications," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(2), pages 279-316.
    3. Olivier Guéant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2012. "Optimal Portfolio Liquidation with Limit Orders," Post-Print hal-01393114, HAL.
    4. Degryse, H.A., 2007. "Competition on financial markets : Does market design matter?," Other publications TiSEM ee5530b2-34f7-4d95-ad62-f, Tilburg University, School of Economics and Management.

  24. Foucault, Thierry & Menkveld, Albert J., 2006. "Competition for Order Flow and Smart Order Routing Systems," CEPR Discussion Papers 5523, C.E.P.R. Discussion Papers.

    Cited by:

    1. Phuong Pham, Thu & Joakim Westerholm, P., 2013. "An international trend in market design: Endogenous effects of limit order book transparency on volatility, spreads, depth and volume," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 202-223.
    2. Vasilios Mavroudis, 2019. "Market Manipulation as a Security Problem," Papers 1903.12458, arXiv.org.
    3. Watson, Ethan D. & Woods, Donovan, 2022. "Exchange introduction and market competition: The entrance of MEMX and MIAX," Global Finance Journal, Elsevier, vol. 54(C).
    4. Clapham, Benjamin & Gomber, Peter & Lausen, Jens & Panz, Sven, 2021. "Liquidity provider incentives in fragmented securities markets," Journal of Empirical Finance, Elsevier, vol. 60(C), pages 16-38.
    5. Jean-Edouard Colliard & Thierry Foucault, 2012. "Trading Fees and Efficiency in Limit Order Markets," The Review of Financial Studies, Society for Financial Studies, vol. 25(11), pages 3389-3421.
    6. Degryse, H.A. & van Achter, M. & Wuyts, G., 2007. "Dynamic Order Submission Strategies with Competition between a Dealer Market and a Crossing Network," Other publications TiSEM a63f4ee1-35ab-4fe3-a4ba-2, Tilburg University, School of Economics and Management.
    7. Buti, Sabrina & Rindi, Barbara & Werner, Ingrid M., 2017. "Dark pool trading strategies, market quality and welfare," Journal of Financial Economics, Elsevier, vol. 124(2), pages 244-265.
    8. Buti, Sabrina & Rindi, Barbara & Werner, Ingrid M., 2010. "Diving into Dark Pools," Working Paper Series 2010-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    9. Chakrabarty, Bidisha & Cox, Justin & Upson, James E., 2022. "Tick Size Pilot Program and price discovery in U.S. stock markets," Journal of Financial Markets, Elsevier, vol. 59(PB).
    10. Michael Brolley & David A. Cimon, 2018. "Order Flow Segmentation, Liquidity and Price Discovery: The Role of Latency Delays," Staff Working Papers 18-16, Bank of Canada.
    11. Kei Kawakami, 2014. "Information Aggregation and Optimal Market Size," Department of Economics - Working Papers Series 1182, The University of Melbourne.
    12. Fany Declerck & Laurence Lescourret, 2015. "Dark pools et trading haute fréquence : une évolution utile ?," Revue d'économie financière, Association d'économie financière, vol. 0(4), pages 113-126.
    13. Aim'e Lachapelle & Jean-Michel Lasry & Charles-Albert Lehalle & Pierre-Louis Lions, 2013. "Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis," Papers 1305.6323, arXiv.org, revised Aug 2015.
    14. Hendershott, Terrence & Wee, Marvin & Wen, Yuanji, 2022. "Transparency in fragmented markets: Experimental evidence," Journal of Financial Markets, Elsevier, vol. 59(PA).
    15. Alfred Lehar & Christine Parlour & Marius Zoican, 2023. "Fragmentation and optimal liquidity supply on decentralized exchanges," Papers 2307.13772, arXiv.org, revised Feb 2024.
    16. Kei Kawakami, 2015. "Welfare Consequences of Information Aggregation and Optimal Market Size," Department of Economics - Working Papers Series 1189, The University of Melbourne.
    17. Chen, Jing & Dong, Yizhe & Hou, Wenxuan & McMillan, David G., 2018. "Does feedback trading drive returns of cross-listed shares?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 179-199.
    18. Markus Baldauf & Joshua Mollner, 2015. "Trading in Fragmented Markets," Discussion Papers 15-018, Stanford Institute for Economic Policy Research.
    19. Furuhata, Masabumi & Dessouky, Maged & Ordóñez, Fernando & Brunet, Marc-Etienne & Wang, Xiaoqing & Koenig, Sven, 2013. "Ridesharing: The state-of-the-art and future directions," Transportation Research Part B: Methodological, Elsevier, vol. 57(C), pages 28-46.
    20. Oliver Linton & Soheil Mahmoodzadeh, 2018. "Implications of high-frequency trading for security markets," CeMMAP working papers CWP06/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    21. Bernales, Alejandro & Ladley, Daniel & Litos, Evangelos & Valenzuela, Marcela, 2021. "Dark trading and alternative execution priority rules," LSE Research Online Documents on Economics 118866, London School of Economics and Political Science, LSE Library.
    22. Sabrina Buti & Barbara Rindi & Yuanji Wen & Ingrid M. Werner, 2013. "Tick Size Regulation and Sub-Penny Trading," Working Papers 492, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    23. Sophie Laruelle & Charles-Albert Lehalle & Gilles Pag`es, 2009. "Optimal split of orders across liquidity pools: a stochastic algorithm approach," Papers 0910.1166, arXiv.org, revised May 2010.
    24. Carole Gresse, 2017. "Effects of Lit and Dark Market Fragmentation on Liquidity," Post-Print hal-01631771, HAL.
    25. Rama Cont & Arseniy Kukanov, 2012. "Optimal order placement in limit order markets," Papers 1210.1625, arXiv.org, revised Nov 2014.
    26. Clapham, Benjamin & Gomber, Peter & Panz, Sven, 2017. "Coordination of circuit breakers? Volume migration and volatility spillover in fagmented markets," SAFE Working Paper Series 196, Leibniz Institute for Financial Research SAFE.
    27. Franklin Allen & Julapa Jagtiani, 2020. "A Survey of Fintech Research and Policy Discussion," Working Papers 20-21, Federal Reserve Bank of Philadelphia.
    28. 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.
    29. Giovanni Cespa & Xavier Vives, 2022. "Exchange Competition, Entry, and Welfare," The Review of Financial Studies, Society for Financial Studies, vol. 35(5), pages 2570-2624.
    30. Stephanie Ligot & Roland Gillet & Iryna Veryzhenko, 2021. "Intraday volatility smile: Effects of fragmentation and high frequency trading on price efficiency," Post-Print hal-03621248, HAL.
    31. Lena Boneva (Körber) & Oliver Linton & Michael Vogt, 2013. "The effect of fragmentation in trading on market quality in the UK equity market," CeMMAP working papers 42/13, Institute for Fiscal Studies.
    32. Nicholas Hirschey, 2021. "Do High-Frequency Traders Anticipate Buying and Selling Pressure?," Management Science, INFORMS, vol. 67(6), pages 3321-3345, June.
    33. Li, Sida & Ye, Mao & Zheng, Miles, 2023. "Refusing the best price?," Journal of Financial Economics, Elsevier, vol. 147(2), pages 317-337.
    34. Lena Körber & Oliver Linton & Michael Vogt, 2014. "The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market," Cambridge Working Papers in Economics 1454, Faculty of Economics, University of Cambridge.
    35. Marius Zoican & Sorin Zoican, 2019. "Fragmentation of Distributed Exchanges," Papers 1910.11216, arXiv.org, revised Nov 2019.
    36. Comerton-Forde, Carole & Grégoire, Vincent & Zhong, Zhuo, 2019. "Inverted fee structures, tick size, and market quality," Journal of Financial Economics, Elsevier, vol. 134(1), pages 141-164.
    37. Kai-Uwe Kühn & Szabolcs Lorincz & Vincent Verouden & Annemiek Wilpshaar, 2012. "Economics at DG Competition, 2011–2012," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 41(4), pages 251-270, December.
    38. Thierry Foucault & Ohad Kadan & Eugene Kandel, 2013. "Liquidity Cycles and Make/Take Fees in Electronic Markets," Post-Print hal-00789263, HAL.
    39. Breckenfelder, Johannes, 2019. "Competition among high-frequency traders, and market quality," Working Paper Series 2290, European Central Bank.
    40. Lescourret, Laurence & Moinas, Sophie, 2015. "Liquidity Supply across Multiple Trading Venues," ESSEC Working Papers WP1505, ESSEC Research Center, ESSEC Business School.
    41. Upson, James & Van Ness, Robert A., 2017. "Multiple markets, algorithmic trading, and market liquidity," Journal of Financial Markets, Elsevier, vol. 32(C), pages 49-68.
    42. Aitken, Michael & Chen, Haoming & Foley, Sean, 2017. "The impact of fragmentation, exchange fees and liquidity provision on market quality," Journal of Empirical Finance, Elsevier, vol. 41(C), pages 140-160.
    43. Ismael Lemhadri, 2018. "Market Impact in a Latent Order Book," Papers 1802.06101, arXiv.org, revised Sep 2020.
    44. Foucault, Thierry & Moinas, Sophie, 2018. "Is Trading Fast Dangerous?," TSE Working Papers 18-881, Toulouse School of Economics (TSE).
    45. Kei Kawakami, 2013. "Optimal Market Size," Department of Economics - Working Papers Series 1168, The University of Melbourne.
    46. Comerton-Forde, Carole & Putniņš, Tālis J., 2015. "Dark trading and price discovery," Journal of Financial Economics, Elsevier, vol. 118(1), pages 70-92.
    47. Hoffmann, Peter, 2016. "Adverse selection, market access, and inter-market competition," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 108-119.
    48. Degryse, H.A. & de Jong, F.C.J.M. & van Kervel, V.L., 2014. "The impact of dark trading and visible fragmentation on market quality," Other publications TiSEM a51b5d9e-2687-4972-930f-4, Tilburg University, School of Economics and Management.
    49. Cantillon, Estelle & Yin, Pai-Ling, 2011. "Competition between exchanges: A research agenda," International Journal of Industrial Organization, Elsevier, vol. 29(3), pages 329-336, May.
    50. 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).
    51. Kohler, Alexander & von Wyss, Rico, 2012. "Where does Information Processing in a Fragmented Market Take Place? – Evidence from the Swiss Stock Market after MiFID," Working Papers on Finance 1209, University of St. Gallen, School of Finance.
    52. Garvey, Ryan & Huang, Tao & Wu, Fei, 2016. "Why do traders choose dark markets?," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 12-28.
    53. Degryse, Hans & Karagiannis, Nikolaos & Tombeur, Geoffrey & Wuyts, Gunther, 2021. "Two shades of opacity: Hidden orders and dark trading," Journal of Financial Intermediation, Elsevier, vol. 47(C).
    54. Hans Degryse & Rudy de Winne & Carole Gresse & Richard Payne, 2018. "High frequency trading and ghost liquidity," Post-Print hal-01894838, HAL.
    55. Gresse, Carole, 2017. "Effects of lit and dark market fragmentation on liquidity," Journal of Financial Markets, Elsevier, vol. 35(C), pages 1-20.
    56. Ryan Garvey & Tao Huang & Fei Wu, 2021. "Is faster or slower trading better? An examination of order type execution speed and costs," European Financial Management, European Financial Management Association, vol. 27(2), pages 326-363, March.
    57. Lausen, Jens & Clapham, Benjamin & Gomber, Peter & Bender, Micha, 2022. "Drivers and effects of stock market fragmentation - Insights on SME stocks," SAFE Working Paper Series 367, Leibniz Institute for Financial Research SAFE.
    58. 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.
    59. G. Wuyts, 2007. "Stock Market Liquidity.Determinants and Implications," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(2), pages 279-316.
    60. Greppmair, Stefan & Theissen, Erik, 2022. "Small is beautiful? How the introduction of mini futures contracts affects the regular contracts," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 19-38.
    61. Rahi, Rohit & Zigrand, Jean-Pierre, 2013. "Market quality and contagion in fragmented markets," LSE Research Online Documents on Economics 60971, London School of Economics and Political Science, LSE Library.
    62. Sadoghi, Amirhossein & Vecer, Jan, 2022. "Optimal liquidation problem in illiquid markets," European Journal of Operational Research, Elsevier, vol. 296(3), pages 1050-1066.
    63. Markus Baldauf & Joshua Mollner, 2015. "High-Frequency Trading and Market Performance," Discussion Papers 15-017, Stanford Institute for Economic Policy Research.
    64. Amirhossein Sadoghi & Jan Vecer, 2022. "Optimal liquidation problem in illiquid markets," Post-Print hal-03696768, HAL.
    65. Ende, Bartholomäus & Lutat, Marco, 2010. "Trade-throughs in European cross-traded equities after transaction costs: Empirical evidence for the EURO STOXX 50," CFS Working Paper Series 2010/15, Center for Financial Studies (CFS).
    66. van Kervel, V.L., 2013. "Competition between stock exchanges and optimal trading," Other publications TiSEM 5c608a0f-527d-441d-a910-e, Tilburg University, School of Economics and Management.
    67. Wafa Chabeb & Adel Boubaker, 2021. "Liquidity of Tunisian Stock Market: A Panel Var Estimation," Accounting and Finance Research, Sciedu Press, vol. 10(3), pages 1-93, August.
    68. Jurich, Stephen N., 2021. "Does off-exchange trading decrease in the presence of uncertainty?," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 201-213.
    69. Thierry Foucault, 2006. "Liquidité, coût du capital et organisation de la négociation des valeurs boursières," Post-Print hal-00459793, HAL.
    70. Charles-Albert Lehalle, 2013. "Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process," Papers 1302.4592, arXiv.org.
    71. Sabrina Buti & Barbara Rindi & Ingrid M. Werner, 2011. "Dark Pool Trading Strategies," Working Papers 421, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    72. O'Hara, Maureen & Ye, Mao, 2011. "Is market fragmentation harming market quality?," Journal of Financial Economics, Elsevier, vol. 100(3), pages 459-474, June.
    73. Olivier Guéant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2012. "Optimal Portfolio Liquidation with Limit Orders," Post-Print hal-01393114, HAL.
    74. Ban Zheng & Eric Moulines & Fr'ed'eric Abergel, 2012. "Price Jump Prediction in Limit Order Book," Papers 1204.1381, arXiv.org.
    75. Ismael Lemhadri, 2018. "Market impact in a latent order book," Working Papers hal-01711192, HAL.
    76. Haoyang Liu & Zhaogang Song & James Vickery, 2021. "Defragmenting Markets: Evidence from Agency MBS," Staff Reports 965, Federal Reserve Bank of New York.
    77. Markus Baldauf & Joshua Mollner, 2020. "High‐Frequency Trading and Market Performance," Journal of Finance, American Finance Association, vol. 75(3), pages 1495-1526, June.
    78. Sabrina Buti & Barbara Rindi & Ingrid M. Werner, 2014. "Dark Pool Trading Strategies, Market Quality and Welfare," Working Papers 530, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    79. Menkveld, Albert J., 2013. "High frequency trading and the new market makers," Journal of Financial Markets, Elsevier, vol. 16(4), pages 712-740.
    80. Ibikunle, Gbenga, 2018. "Trading places: Price leadership and the competition for order flow," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 178-200.
    81. Diamond, Stephen F. & Kuan, Jennifer W., 2018. "Are the stock markets “rigged”? An empirical analysis of regulatory change," International Review of Law and Economics, Elsevier, vol. 55(C), pages 33-40.
    82. Carole Gresse, 2013. "Effects of Lit and Dark Trading Venue Competition on Liquidity : The MiFID Experience," Post-Print hal-01632517, HAL.
    83. Pankaj K. Jain & Mohamed Mekhaimer & Sandra Mortal, 2020. "Commonality in liquidity and multilateral trading facilities," The Financial Review, Eastern Finance Association, vol. 55(3), pages 481-502, August.
    84. Friederich, Sylvain & Payne, Richard, 2015. "Order-to-trade ratios and market liquidity," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 214-223.
    85. Pelizzon, Loriana & Sagade, Satchit & Vozian, Katia, 2020. "Resiliency: Cross-venue dynamics with Hawkes processes," SAFE Working Paper Series 291, Leibniz Institute for Financial Research SAFE.
    86. 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.
    87. Degryse, H.A., 2007. "Competition on financial markets : Does market design matter?," Other publications TiSEM ee5530b2-34f7-4d95-ad62-f, Tilburg University, School of Economics and Management.
    88. Degryse, H.A. & de Jong, F.C.J.M. & van Kervel, V.L., 2011. "The Impact of Dark and Visible Fragmentation on Market Quality (Replaces CentER Discussion Paper 2011-051)," Discussion Paper 2011-069, Tilburg University, Center for Economic Research.
    89. Gomber, Peter & Sagade, Satchit & Theissen, Erik & Weber, Moritz Christian & Westheide, Christian, 2016. "Competition between equity markets: A review of the consolidation versus fragmentation debate," SAFE Working Paper Series 35, Leibniz Institute for Financial Research SAFE, revised 2016.
    90. Gomber, Peter & Sagade, Satchit & Theissen, Erik & Weber, Moritz Christian & Westheide, Christian, 2016. "Spoilt for choice: Order routing decisions in fragmented equity markets," CFR Working Papers 16-04, University of Cologne, Centre for Financial Research (CFR).
    91. Carole Gresse, 2011. "Effects of Lit and Dark Market Fragmentation on Liquidity," Post-Print halshs-00641122, HAL.
    92. Thierry Foucault, 2006. "Liquidity, cost of capital and the organization of trading in stock markets," Revue d'Économie Financière, Programme National Persée, vol. 82(1), pages 113-123.
    93. Breckenfelder, Johannes, 2013. "Competition between high-frequency traders, and market quality," MPRA Paper 66715, University Library of Munich, Germany, revised Dec 2013.
    94. Ibikunle, Gbenga & Li, Youwei & Mare, Davide & Sun, Yuxin, 2021. "Dark matters: The effects of dark trading restrictions on liquidity and informational efficiency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    95. Yildiz, Serhat & Van Ness, Bonnie & Van Ness, Robert, 2020. "VPIN, liquidity, and return volatility in the U.S. equity markets," Global Finance Journal, Elsevier, vol. 45(C).
    96. 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.
    97. Gomber, Peter & Jäger, Benedikt, 2014. "MiFID: Eine systematische Analyse der Zielerreichung," SAFE White Paper Series 14, Leibniz Institute for Financial Research SAFE.
    98. Cebiroglu, Gökhan & Hautsch, Nikolaus & Walsh, Christopher, 2019. "Revisiting the stealth trading hypothesis: Does time-varying liquidity explain the size-effect?," CFS Working Paper Series 625, Center for Financial Studies (CFS).
    99. Takanobu Mizuta, 2019. "An agent-based model for designing a financial market that works well," Papers 1906.06000, arXiv.org.
    100. Degryse, Hans & Karagiannis, Nikolaos, 2019. "Priority Rules," CEPR Discussion Papers 14127, C.E.P.R. Discussion Papers.
    101. Suchismita Mishra & Le Zhao, 2021. "Order Routing Decisions for a Fragmented Market: A Review," JRFM, MDPI, vol. 14(11), pages 1-32, November.
    102. Bernales, Alejandro & Garrido, Nicolás & Sagade, Satchit & Valenzuela, Marcela & Westheide, Christian, 2020. "Trader Competition in Fragmented Markets: Liquidity Supply versus Picking-off Risk," SAFE Working Paper Series 234, Leibniz Institute for Financial Research SAFE, revised 2020.
    103. Michael Chlistalla & Marco Lutat, 2011. "Competition in securities markets: the impact on liquidity," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(2), pages 149-172, June.
    104. Andreas Storkenmaier & Martin Wagener & Christof Weinhardt, 2012. "Public information in fragmented markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(2), pages 179-215, June.
    105. He, Peng William & Jarnecic, Elvis & Liu, Yubo, 2015. "The determinants of alternative trading venue market share: Global evidence from the introduction of Chi-X," Journal of Financial Markets, Elsevier, vol. 22(C), pages 27-49.
    106. Schröder, Michael & Riedler, Jesper & Jaroszek, Lena & Lang, Gunnar & Hommel, Paul & Voll, Sebastian Simon, 2011. "Assessment of the cumulative impact of various regulatory initiatives on the European banking sector: Study," ZEW Expertises, ZEW - Leibniz Centre for European Economic Research, number 110523.
    107. Gan, Quan & Leung, Henry & Zhou, Zhou, 2021. "Do intra-day auctions improve market liquidity?," Finance Research Letters, Elsevier, vol. 40(C).
    108. Corey Garriott & Anna Pomeranets & Joshua Slive & Thomas Thorn, 2013. "Fragmentation in Canadian Equity Markets," Bank of Canada Review, Bank of Canada, vol. 2013(Autumn), pages 20-29.
    109. M. Moses Antony RAJENDRAN, & Alexandru Mircea Nedelea, 2017. "Re - Modeling Of Global Financial Markets, Assets And Services Of Financial Institutions For Public Benefits," EcoForum, "Stefan cel Mare" University of Suceava, Romania, Faculty of Economics and Public Administration - Economy, Business Administration and Tourism Department., vol. 6(1), pages 1-57, January.
    110. Ban Zheng & Eric Moulines & Frédéric Abergel, 2013. "Price jump prediction in a limit order book," Post-Print hal-00684716, HAL.
    111. 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).
    112. Daniel Chen & Darrell Duffie, 2020. "Market Fragmentation," NBER Working Papers 26828, National Bureau of Economic Research, Inc.
    113. Kohler, Alexander & von Wyss, Rico, 2012. "Fragmentation in European Equity Markets and Market Quality – Evidence from the Analysis of Trade-Throughs," Working Papers on Finance 1210, University of St. Gallen, School of Finance.
    114. Foley, Sean & Putniņš, Tālis J., 2016. "Should we be afraid of the dark? Dark trading and market quality," Journal of Financial Economics, Elsevier, vol. 122(3), pages 456-481.
    115. Rama Cont & Arseniy Kukanov, 2012. "Optimal order placement in limit order markets," Working Papers hal-00737491, HAL.
    116. Umut c{C}etin & Henri Waelbroeck, 2020. "Informed trading, limit order book and implementation shortfall: equilibrium and asymptotics," Papers 2003.04425, arXiv.org.
    117. Gomber, Peter & Sagade, Satchit & Theissen, Erik & Weber, Moritz Christian & Westheide, Christian, 2023. "Spoilt for choice: Determinants of market shares in fragmented equity markets," Journal of Financial Markets, Elsevier, vol. 64(C).
    118. Sabrina Buti & Barbara Rindi & Ingrid M. Werner, 2022. "Diving into dark pools," Financial Management, Financial Management Association International, vol. 51(4), pages 961-994, December.

  25. Beltran, Héléna & Grammig, Joachim & Menkveld, Albert J., 2005. "Understanding the limit order book: Conditioning on trade informativeness," CFR Working Papers 05-05, University of Cologne, Centre for Financial Research (CFR).

    Cited by:

    1. Stange, Sebastian & Kaserer, Christoph, 2008. "The impact of order size on stock liquidity: a representative study," CEFS Working Paper Series 2008-09, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
    2. Chen, Tao & Li, Jie & Cai, Jun, 2008. "Information content of inter-trade time on the Chinese market," Emerging Markets Review, Elsevier, vol. 9(3), pages 174-193, September.
    3. Cumhur Ekinci, 2005. "Limit Order Book Reconstruction And Beyond: An Application To Istanbul Stock Exchange," Finance 0510025, University Library of Munich, Germany, revised 24 Oct 2005.

  26. Menkveld, Albert J. & Cheung, Yiu Chung & de Jong, Frank, 2004. "Euro area sovereign yield dynamics: the role of order imbalance," Working Paper Series 385, European Central Bank.

    Cited by:

    1. Guglielmo Maria Caporale & Alessandro Girardi, 2010. "Price Formation on the EuroMTS Platform," CESifo Working Paper Series 2938, CESifo.
    2. Caporale, Guglielmo Maria & Girardi, Alessandro, 2013. "Price discovery and trade fragmentation in a multi-market environment: Evidence from the MTS system," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 227-240.
    3. Alessandro Beber & Michael W. Brandt & Kenneth A. Kavajecz, 2009. "Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market," The Review of Financial Studies, Society for Financial Studies, vol. 22(3), pages 925-957.
    4. Guglielmo Maria Caporale & Alessandro Girardi & Paolo Paesani, 2010. "Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market," CESifo Working Paper Series 3281, CESifo.
    5. Fricke, Christoph & Menkhoff, Lukas, 2010. "Does the "Bund" dominate price discovery in Euro bond futures? Examining information shares," Hannover Economic Papers (HEP) dp-449, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    6. Sifat, Imtiaz Mohammad & Mohamad, Azhar, 2015. "Order imbalance and selling aggression under a shorting ban: Evidence from the UK," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 368-379.
    7. Coluzzi, Chiara & Ginebri, Sergio & Turco, Manuel, 2008. "Measuring and Analyzing the Liquidity of the Italian Treasury Security Wholesale Secondary Market," Economics & Statistics Discussion Papers esdp08044, University of Molise, Department of Economics.
    8. Buis, Boyd & Pieterse-Bloem, Mary & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2020. "Expected issuance fees and market liquidity," Journal of Financial Markets, Elsevier, vol. 48(C).
    9. Alessandro Girardi, 2008. "The Informational Content of Trades on the EuroMTS Platform," ISAE Working Papers 97, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).

  27. Helena Beltran & Albert J. Menkveld, 2004. "Understanding limit order book depth: conditioning on trade informativeness," Econometric Society 2004 Latin American Meetings 142, Econometric Society.

    Cited by:

    1. Cumhur Ekinci, 2005. "Limit Order Book Reconstruction And Beyond: An Application To Istanbul Stock Exchange," Finance 0510025, University Library of Munich, Germany, revised 24 Oct 2005.

  28. Albert J. Menkveld & Siem Jan Koopman & André Lucas, 2003. "Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence," Tinbergen Institute Discussion Papers 03-037/2, Tinbergen Institute, revised 13 Oct 2003.

    Cited by:

    1. Menkveld, Albert J., 2006. "Splitting orders in overlapping markets: a study of cross-listed stocks," Serie Research Memoranda 0003, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    2. Yaseen S. Alhaj-Yaseen & Dana Ladd, 2019. "Which sentiments do US investors follow when trading ADRs?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(3), pages 506-527, July.
    3. Chan, Justin S.P. & Hong, Dong & Subrahmanyam, Marti G., 2008. "A tale of two prices: Liquidity and asset prices in multiple markets," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 947-960, June.
    4. K.C. Chen & Guangzhong Li & Lifan Wu, 2010. "Price Discovery for Segmented US‐Listed Chinese Stocks: Location or Market Quality?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(1‐2), pages 242-269, January.

  29. Bert Menkveld, 2001. "Splitting Orders in Fragmented Markets," Tinbergen Institute Discussion Papers 01-059/2, Tinbergen Institute.

    Cited by:

    1. Boehmer, Beatrice & Boehmer, Ekkehart, 2003. "Trading your neighbor's ETFs: Competition or fragmentation?," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1667-1703, September.
    2. Gehrig, Thomas & Foucault, Thierry, 2006. "Stock Price Informativeness, Cross-Listings and Investment Decisions," CEPR Discussion Papers 5722, C.E.P.R. Discussion Papers.

  30. Menkveld, A.J., 2001. "Splitting Orders in Fragmented Markets; evidence from cross-listed stocks," Econometric Institute Research Papers EI 2001-20, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

    Cited by:

    1. Boehmer, Beatrice & Boehmer, Ekkehart, 2003. "Trading your neighbor's ETFs: Competition or fragmentation?," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1667-1703, September.

  31. Erik Hupperets & Bert Menkveld, 2000. "Intraday Analysis of Market Integration: Dutch Blue Chips traded in Amsterdam and New York," Tinbergen Institute Discussion Papers 00-018/2, Tinbergen Institute.

    Cited by:

    1. Fan, Rui & Talavera, Oleksandr & Tran, Vu, 2023. "Information flows and the law of one price," International Review of Financial Analysis, Elsevier, vol. 85(C).
    2. Menkveld, Albert J., 2006. "Splitting orders in overlapping markets: a study of cross-listed stocks," Serie Research Memoranda 0003, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    3. Figuerola-Ferretti Garrigues, Isabel & Gilbert, Chris L. & Yan, Jieqin, 2014. "Copper Price Discovery on Comex, the LME and the SHFE, 2001-2013," DEE - Working Papers. Business Economics. WB wb140402, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    4. Korczak, Piotr & Phylaktis, Kate, 2010. "Related securities and price discovery: Evidence from NYSE-listed Non-U.S. stocks," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 566-584, September.
    5. Fernandes, Marcelo & Scherrer, Cristina Mabel, 2013. "Price discovery in dual-class shares across multiple markets," Textos para discussão 344, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    6. Bert Menkveld, 2001. "Splitting Orders in Fragmented Markets," Tinbergen Institute Discussion Papers 01-059/2, Tinbergen Institute.
    7. Ghadhab, Imen & Hellara, Slaheddine, 2016. "Price discovery of cross-listed firms," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 177-188.
    8. Pascual, Roberto & Pascual-Fuster, Bartolome & Climent, Francisco, 2006. "Cross-listing, price discovery and the informativeness of the trading process," Journal of Financial Markets, Elsevier, vol. 9(2), pages 144-161, May.
    9. Gehrig, Thomas & Foucault, Thierry, 2006. "Stock Price Informativeness, Cross-Listings and Investment Decisions," CEPR Discussion Papers 5722, C.E.P.R. Discussion Papers.
    10. de Jong, F.C.J.M. & Schotman, P.C., 2010. "Price discovery in fragmented markets," Other publications TiSEM 4650a9e7-c4cf-41cf-a771-e, Tilburg University, School of Economics and Management.
    11. Senteney, David L. & Bazaz, Mohammad S. & Senteney, Michael H., 2016. "Cross-market information transfers of ADR firms: An investigation of emerging market economies," Research in International Business and Finance, Elsevier, vol. 37(C), pages 655-677.
    12. Frank De Jong & Peter C. Schotman, 2010. "Price Discovery in Fragmented Markets," Journal of Financial Econometrics, Oxford University Press, vol. 8(1), pages 1-28, Winter.
    13. Thomas Dimpfl & Franziska J. Peter, 2015. "Price discovery in the markets for credit risk: A Markov switching approach," SFB 649 Discussion Papers SFB649DP2015-035, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    14. Patel, Ritesh & Goodell, John W. & Oriani, Marco Ercole & Paltrinieri, Andrea & Yarovaya, Larisa, 2022. "A bibliometric review of financial market integration literature," International Review of Financial Analysis, Elsevier, vol. 80(C).
    15. Grammig, Joachim G. & Peter, Franziska J., 2008. "International price discovery in the presence of market microstructure effects," CFR Working Papers 08-10, University of Cologne, Centre for Financial Research (CFR).
    16. Kohler, Alexander & von Wyss, Rico, 2012. "Where does Information Processing in a Fragmented Market Take Place? – Evidence from the Swiss Stock Market after MiFID," Working Papers on Finance 1209, University of St. Gallen, School of Finance.
    17. Frijns, Bart & Gilbert, Aaron & Tourani-Rad, Alireza, 2010. "The dynamics of price discovery for cross-listed shares: Evidence from Australia and New Zealand," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 498-508, March.
    18. Papavassiliou, Vassilios G. & Kinateder, Harald, 2021. "Information shares and market quality before and during the European sovereign debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    19. 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.
    20. Wang, Jianxin & Yang, Minxian, 2011. "Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets," Journal of Financial Markets, Elsevier, vol. 14(1), pages 82-108, February.
    21. 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.
    22. Kaul, Aditya & Mehrotra, Vikas, 2007. "The role of trades in price convergence: A study of dual-listed Canadian stocks," Journal of Empirical Finance, Elsevier, vol. 14(2), pages 196-219, March.
    23. Sugato Chakravarty & Chiraphol N. Chiyachantana & Christine Jiang, 2012. "The Choice of Trading Venue and Relative Price Impact of Institutional Trading: ADRs versus the Underlying Securities in their Local Markets," Working Papers 1012, Purdue University, Department of Consumer Sciences.
    24. Timotheos Angelidis & Alexandros Benos, 2009. "The Components of the Bid‐Ask Spread: the Case of the Athens Stock Exchange," European Financial Management, European Financial Management Association, vol. 15(1), pages 112-144, January.
    25. Dan Gabriel ANGHEL & Elena Valentina ŢILICĂ & Victor DRAGOTĂ, 2020. "Intraday Patterns in Returns on the Romanian and Bulgarian Stock Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 92-114, July.
    26. Menkveld, A.J., 2001. "Splitting Orders in Fragmented Markets; evidence from cross-listed stocks," Econometric Institute Research Papers EI 2001-20, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    27. Ibikunle, Gbenga, 2018. "Trading places: Price leadership and the competition for order flow," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 178-200.
    28. Suleyman Cetintas & Luo Si & Sugato Chakravarty & Hans Aagard & Kyle Bowen, 2011. "Learning to Identify Students’ Relevant and IrrelevantQuestions in a Micro-blogging Supported Classroom," Working Papers 1010, Purdue University, Department of Consumer Sciences.
    29. Pascual-Fuster, Bartolome & Perez-Rodriguez, Jorge V., 2007. "Volatility transmission for cross-listed firms and the role of international exposure," Japan and the World Economy, Elsevier, vol. 19(3), pages 303-328, August.
    30. Frijns, Bart & Indriawan, Ivan & Tourani-Rad, Alireza, 2015. "Macroeconomic news announcements and price discovery: Evidence from Canadian–U.S. cross-listed firms," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 35-48.
    31. Frijns, Bart & Gilbert, Aaron & Tourani-Rad, Alireza, 2015. "The determinants of price discovery: Evidence from US-Canadian cross-listed shares," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 457-468.
    32. Lok, Emily & Kalev, Petko S., 2006. "The intraday price behaviour of Australian and New Zealand cross-listed stocks," International Review of Financial Analysis, Elsevier, vol. 15(4-5), pages 377-397.
    33. Donald Lien & Zijun Wang, 2016. "Estimation of Market Information Shares: A Comparison," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(11), pages 1108-1124, November.
    34. Albert J. Menkveld & Siem Jan Koopman & André Lucas, 2003. "Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence," Tinbergen Institute Discussion Papers 03-037/2, Tinbergen Institute, revised 13 Oct 2003.
    35. Turnbull, D. Alasdair S. & White, Robert W. & Smith, Brian F., 2010. "In search of liquidity: The block broker's choice of where to trade cross-listed stocks," Journal of Economics and Business, Elsevier, vol. 62(1), pages 20-34, January.
    36. Cepoi, Cosmin-Octavian & Anghel, Dan-Gabriel & Pop, Ionuţ Daniel, 2021. "Asymmetries and flight-to-safety effects in the price discovery process of cross-listed stocks," Economic Modelling, Elsevier, vol. 98(C), pages 302-318.
    37. Kehrle, Kerstin & Peter, Franziska J., 2013. "Who moves first? An intensity-based measure for information flows across stock exchanges," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1629-1642.
    38. Donald Lien & Zijun Wang, 2019. "Quantile information share," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 38-55, January.

  32. Winfried Hallerbach & Bert Menkveld, 1999. "Value at Risk as a Diagnostic Tool for Corporates: The Airline Industry," Tinbergen Institute Discussion Papers 99-023/2, Tinbergen Institute.

    Cited by:

    1. Farkas, Walter & Fringuellotti, Fulvia & Tunaru, Radu, 2020. "A cost-benefit analysis of capital requirements adjusted for model risk," Journal of Corporate Finance, Elsevier, vol. 65(C).
    2. Swidan, Hassan & Merkert, Rico & Kwon, Oh Kang, 2019. "Designing optimal jet fuel hedging strategies for airlines – Why hedging will not always reduce risk exposure," Transportation Research Part A: Policy and Practice, Elsevier, vol. 130(C), pages 20-36.
    3. Jingguo Wang & Aby Chaudhury & H. Raghav Rao, 2008. "Research Note ---A Value-at-Risk Approach to Information Security Investment," Information Systems Research, INFORMS, vol. 19(1), pages 106-120, March.

  33. Roy Thurik & Gerco van Leeuwen & David Audretsch & Bert Menkveld, 1999. "Are small firms really sub-optimal?: compensating factor differentials in small Dutch manufacturing firms," Scales Research Reports H199902, EIM Business and Policy Research.

    Cited by:

    1. Bechmann, Sebastian & Dahms, Vera & Fischer, Agnes & Frei, Marek & Leber, Ute & Möller, Iris, 2011. "Beschäftigung, Arbeit und Unternehmertum in deutschen Kleinbetrieben : Ergebnisse aus dem IAB-Betriebspanel 2010," IAB-Forschungsbericht 201107, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].

  34. Bert Menkveld & Ton Vorst, 1998. "A Pricing Model for American Options with Stochastic Interest Rates," Tinbergen Institute Discussion Papers 98-028/2, Tinbergen Institute.

    Cited by:

    1. Huang, Haishi, 2010. "Convertible Bonds: Risks and Optimal Strategies," Bonn Econ Discussion Papers 07/2010, University of Bonn, Bonn Graduate School of Economics (BGSE).

  35. Audretsch, D-B & Menkveld, A-J & Thurik, A-R, 1996. "The Decision Between Internal and External R&D," Papers 9603/e, NEUHUYS - RESEARCH INSTITUTE FOR SMALL AND MEDIUM.

    Cited by:

    1. Hasnas, Irina & Lambertini, Luca & Palestini, Arsen, 2013. "Open Innovation in a dynamic Cournot duopoly," DICE Discussion Papers 111, Heinrich Heine University Düsseldorf, Düsseldorf Institute for Competition Economics (DICE).
    2. Antonelli, Cristiano, 2002. "The Governance of Knowledge Commons," Department of Economics and Statistics Cognetti de Martiis LEI & BRICK - Laboratory of Economics of Innovation "Franco Momigliano", Bureau of Research in Innovation, Complexity and Knowledge, Collegio 200203, University of Turin.
    3. Masatoshi Kato & Yuji Honjo, 2015. "Entrepreneurial human capital and the survival of new firms in high- and low-tech sectors," Journal of Evolutionary Economics, Springer, vol. 25(5), pages 925-957, November.
    4. Hagedoorn, John & Wang, Ning, 2010. "Is there complementarity or substitutability between internal and external R&D strategies?," MERIT Working Papers 2010-005, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
    5. Boris Lokshin & René Belderbos & Martin Carree, 2008. "The Productivity Effects of Internal and External R&D: Evidence from a Dynamic Panel Data Model," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(3), pages 399-413, June.
    6. Caroline Mothe & Uyen T. Nguyen-Thi & Phu Nguyen-Van, 2015. "Assessing complementarity in organizational innovations for technological innovation: the role of knowledge management practices," Applied Economics, Taylor & Francis Journals, vol. 47(29), pages 3040-3058, June.
    7. Priit Vahter & James Love & Stephen Roper, 2012. "Openness and innovation performance: are small firms different?," The Centre for Small and Medium Sized Enterprises Research Paper Series 113, Centre for Small and Medium Sized Enterprises, Warwick Business School, University of Warwick.
    8. Agustí Segarra & Mercedes Teruel, 2014. "High-growth firms and innovation: an empirical analysis for Spanish firms," Small Business Economics, Springer, vol. 43(4), pages 805-821, December.
    9. Justin Doran & Eoin O'Leary, 2011. "External Interaction, Innovation and Productivity: An Application of the Innovation Value Chain to Ireland," Spatial Economic Analysis, Taylor & Francis Journals, vol. 6(2), pages 199-222.
    10. Marco van Gelderen & Roy Thurik & Micheal Frese, 2000. "Strategies, uncertainty and performance of small business startups," Scales Research Reports H200001, EIM Business and Policy Research.
    11. Ana Redondo-Cano & M. Canet-Giner, 2010. "Outsourcing agrochemical services: economic or strategic logic?," Service Business, Springer;Pan-Pacific Business Association, vol. 4(3), pages 237-252, December.
    12. Haddoud, Mohamed Yacine & Kock, Ned & Onjewu, Adah-Kole Emmanuel & Jafari-Sadeghi, Vahid & Jones, Paul, 2023. "Technology, innovation and SMEs' export intensity: Evidence from Morocco," Technological Forecasting and Social Change, Elsevier, vol. 191(C).
    13. Nishaal Gooroochurn & Aoife Hanley, 2006. "A Tale of Two Literatures: Transaction Cost and Property Rights in Innovation Outsourcing," Occasional Papers 17, Industrial Economics Division.
    14. Guan, JianCheng & Pang, Lanxin, 2017. "Industry specific effects on innovation performance in China," China Economic Review, Elsevier, vol. 44(C), pages 125-137.
    15. Gamal Atallah, 2004. "The Allocation of Resources to Cooperative and Noncooperative R&D," CIRANO Working Papers 2004s-01, CIRANO.
    16. Masatoshi Kato, 2016. "Internal R&D and External Knowledge Acquisition of Start-up Firms: Exploring the Role of Entrepreneurial Human Capital," Discussion Paper Series 145, School of Economics, Kwansei Gakuin University, revised Jul 2016.
    17. Silverio Alarcón & Mercedes Sánchez, 2013. "External and Internal R&D, Capital Investment and Business Performance in the Spanish Agri-Food Industry," Journal of Agricultural Economics, Wiley Blackwell, vol. 64(3), pages 654-675, September.
    18. Hagedoorn, John & Wang, Ning, 2012. "Is there complementarity or substitutability between internal and external R&D strategies?," Research Policy, Elsevier, vol. 41(6), pages 1072-1083.
    19. Roper, Stephen & Love, James H., 2002. "Innovation and export performance: evidence from the UK and German manufacturing plants," Research Policy, Elsevier, vol. 31(7), pages 1087-1102, September.
    20. Stanko, Michael A. & Olleros, Xavier, 2013. "Industry growth and the knowledge spillover regime: Does outsourcing harm innovativeness but help profit?," Journal of Business Research, Elsevier, vol. 66(10), pages 2007-2016.
    21. David Audretsch & Patrick Houweling & A. Thurik, 2000. "Firm Survival in the Netherlands," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 16(1), pages 1-11, February.
    22. D.B. Audretsch & P. Houweling & A.R. Thurik, 1998. "Industry Evolution: Diversity, Selection and the Role of Learning," Tinbergen Institute Discussion Papers 98-014/3, Tinbergen Institute.
    23. Claudio A. Piga & Marco Vivarelli, 2003. "Internal and External R&D: A Sample Selection Approach," Papers on Entrepreneurship, Growth and Public Policy 2004-05, Max Planck Institute of Economics, Entrepreneurship, Growth and Public Policy Group.
    24. Jun Hou & Pierre Mohnen, 2013. "Complementarity between In-house R&D and Technology Purchasing: Evidence from Chinese Manufacturing Firms," Oxford Development Studies, Taylor & Francis Journals, vol. 41(3), pages 343-371, September.
    25. James Love & Stephen Roper & Priit Vahter, 2013. "Paradigm Shift or Business as Usual? Dynamic Complementarities in Innovation Strategies," Research Papers 0006, Enterprise Research Centre.
    26. Kenta Nakamura & Hiroyuki Odagiri, 2005. "R&D boundaries of the firm: An estimation of the double-hurdle model on commissioned R&D, joint R&D, and licensing in Japan," Economics of Innovation and New Technology, Taylor & Francis Journals, vol. 14(7), pages 583-615.
    27. Caroline Mothe & Uyen T. Nguyen-Thi & Phu Nguyen-Van, 2014. "Are organizational innovation practices complements or substitutes for technological innovation performance?," Working Papers of BETA 2014-12, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    28. Love, James H. & Roper, Stephen, 2000. "Location And Network Effects On Innovation Success: Evidence For Uk, German And Irish Manufacturing Firms," ERSA conference papers ersa00p67, European Regional Science Association.
    29. James Love & Stephen Roper, 2002. "Internal Versus External R&D: A Study of R&D Choice with Sample Selection," International Journal of the Economics of Business, Taylor & Francis Journals, vol. 9(2), pages 239-255.
    30. Vassilis Kanellopoulos & Kostas Tsekouras, 2023. "Innovation efficiency and firm performance in a benchmarking context," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 44(1), pages 137-151, January.
    31. Christian Peukert, 2012. "External Technology Supply and Client-Side Innovation," International Studies in Entrepreneurship, in: David B. Audretsch & Erik E. Lehmann & Albert N. Link & Alexander Starnecker (ed.), Technology Transfer in a Global Economy, edition 127, chapter 0, pages 161-184, Springer.
    32. Alarcón, Silverio & Sánchez, Mercedes, 2016. "Is there a virtuous circle relationship between innovation activities and exports? A comparison of food and agricultural firms," Food Policy, Elsevier, vol. 61(C), pages 70-79.
    33. Luigi Cantone & Pierpaolo Testa & Svend Hollensen & Giuseppe Fabio Cantone, 2019. "Outsourcing New Product Development Fostered By Disruptive Technological Innovation: A Decision-Making Model," International Journal of Innovation Management (ijim), World Scientific Publishing Co. Pte. Ltd., vol. 23(01), pages 1-45, January.
    34. Boris Lokshin & Rene Belderbos & Martin Carree, 2006. "Internal and external R&D： complements or substitutes? Evidence from a dynamic panel data model," Hi-Stat Discussion Paper Series d06-163, Institute of Economic Research, Hitotsubashi University.
    35. Love, James H. & Roper, Stephen, 2001. "Location and network effects on innovation success: evidence for UK, German and Irish manufacturing plants," Research Policy, Elsevier, vol. 30(4), pages 643-661, April.
    36. Berchicci, Luca, 2013. "Towards an open R&D system: Internal R&D investment, external knowledge acquisition and innovative performance," Research Policy, Elsevier, vol. 42(1), pages 117-127.

  36. Franses, P.H. & Van Ieperen, R. & Kofman, P. & Martens, M. & Menkveld, B., 1994. "Volatility Patterns and Spillovers in Bund Futures," Monash Econometrics and Business Statistics Working Papers 16/94, Monash University, Department of Econometrics and Business Statistics.

    Cited by:

    1. Franke, Günter & Hess, Dieter, 1995. "Anonymous electronic trading versus floor trading," Discussion Papers, Series II 285, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
    2. Kaiser, Ulrich, 1997. "The determinants of BUND-future price changes: An ordered probit analysis using DTB and LIFFE data," ZEW Discussion Papers 97-09, ZEW - Leibniz Centre for European Economic Research.
    3. John Board & Charles Sutcliffe & Stephen Wells, 2002. "Transparency and Fragmentation," Palgrave Macmillan Books, Palgrave Macmillan, number 978-1-4039-0707-3.

Articles

  1. Bruno Biais & Christophe Bisière & Matthieu Bouvard & Catherine Casamatta & Albert J. Menkveld, 2023. "Equilibrium Bitcoin Pricing," Journal of Finance, American Finance Association, vol. 78(2), pages 967-1014, April.
    See citations under working paper version above.
  2. Terrence Hendershott & Albert J Menkveld & Rémy Praz & Mark Seasholes, 2022. "Asset Price Dynamics with Limited Attention," The Review of Financial Studies, Society for Financial Studies, vol. 35(2), pages 962-1008.

    Cited by:

    1. José Miguel Cardoso da Costa & Rui Albuquerque, 2023. "Price elasticity of demand and risk-bearing capacity in sovereign bond auctions," Working Papers w202302, Banco de Portugal, Economics and Research Department.

  3. Boyan Jovanovic & Albert J. Menkveld, 2022. "Equilibrium Bid-Price Dispersion," Journal of Political Economy, University of Chicago Press, vol. 130(2), pages 426-461.

    Cited by:

    1. Wang, Chaojun, 2023. "The limits of multi-dealer platforms," Journal of Financial Economics, Elsevier, vol. 149(3), pages 434-450.
    2. Gehrig, Thomas & Ritzberger, Klaus, 2022. "Intermediation and price volatility," Journal of Economic Theory, Elsevier, vol. 201(C).

  4. Albert J. Menkveld & Guillaume Vuillemey, 2021. "The Economics of Central Clearing," Annual Review of Financial Economics, Annual Reviews, vol. 13(1), pages 153-178, November.

    Cited by:

    1. Dorinel Bastide & St'ephane Cr'epey & Samuel Drapeau & Mekonnen Tadese, 2023. "Resolving a Clearing Member's Default, A Radner Equilibrium Approach," Papers 2310.02608, arXiv.org.
    2. Christian Kubitza & Loriana Pelizzon & Mila Getmansky Sherman, 2021. "Loss Sharing in Central Clearinghouses: Winners and Losers," ECONtribute Discussion Papers Series 066, University of Bonn and University of Cologne, Germany.
    3. Khetan, Umang & Neamțu, Ioana & Sen, Ishita, 2023. "The market for sharing interest rate risk: quantities behind prices," Bank of England working papers 1031, Bank of England.
    4. Daisuke Miyakawa & Takemasa Oda & Taihei Sone, 2023. "Regulatory Reforms and Price Heterogeneity in an OTC Derivative Market," Bank of Japan Working Paper Series 23-E-12, Bank of Japan.
    5. Christine Parlour, 2023. "An Introduction to Web3 with Implications for Financial Services," Policy Hub, Federal Reserve Bank of Atlanta, vol. 2023(3), May.
    6. Inaki Aldasoro & Luitgard A M Veraart, 2022. "Systemic Risk in Markets with Multiple Central Counterparties," BIS Working Papers 1052, Bank for International Settlements.
    7. Grothe, Magdalena & Pancost, N. Aaron & Tompaidis, Stathis, 2023. "Collateral competition: Evidence from central counterparties," Journal of Financial Economics, Elsevier, vol. 149(3), pages 536-556.
    8. Ron Berndsen, 2021. "Fundamental questions on central counterparties: A review of the literature," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 2009-2022, December.
    9. Vuillemey, Guillaume, 2023. "Mitigating fire sales with a central clearing counterparty," Journal of Financial Intermediation, Elsevier, vol. 55(C).
    10. González-Urteaga, Ana & Rubio, Gonzalo, 2022. "Guarantee requirements by European central counterparties and international volatility spillovers," Research in International Business and Finance, Elsevier, vol. 62(C).
    11. Bardoscia, Marco & Caccioli, Fabio & Gao, Haotian, 2022. "Efficiency of central clearing under liquidity stress," Bank of England working papers 1002, Bank of England.
    12. Stéphane Crépey, 2022. "Positive XVAs," Post-Print hal-03910135, HAL.
    13. Melinda Friesz & Kira Muratov-Szabó & Andrea Prepuk & Kata Váradi, 2021. "Risk Mutualization in Central Clearing: An Answer to the Cross-Guarantee Phenomenon from the Financial Stability Viewpoint," Risks, MDPI, vol. 9(8), pages 1-19, August.

  5. Wenqian Huang & Albert J. Menkveld & Shihao Yu, 2021. "Central Counterparty Exposure in Stressed Markets," Management Science, INFORMS, vol. 67(6), pages 3596-3617, June.
    See citations under working paper version above.
  6. Vincent Van Kervel & Albert J. Menkveld, 2019. "High‐Frequency Trading around Large Institutional Orders," Journal of Finance, American Finance Association, vol. 74(3), pages 1091-1137, June.
    See citations under working paper version above.
  7. Björn Hagströmer & Albert J. Menkveld, 2019. "Information Revelation in Decentralized Markets," Journal of Finance, American Finance Association, vol. 74(6), pages 2751-2787, December.

    Cited by:

    1. Lifang Li & Valentina Galvani, 2021. "Informed Trading and Momentum in the Corporate Bond Market [Asset pricing with liquidity risk]," Review of Finance, European Finance Association, vol. 25(6), pages 1773-1816.
    2. Joel Hasbrouck, 2021. "Price Discovery in High Resolution," Journal of Financial Econometrics, Oxford University Press, vol. 19(3), pages 395-430.
    3. Shrestha, Keshab & Philip, Sheena & Peranginangin, Yessy, 2020. "Contributions of Crude Oil Exchange Traded Funds in Price Discovery Process," American Business Review, Pompea College of Business, University of New Haven, vol. 23(2), pages 393-407, November.
    4. de Roure, Calebe & Mönch, Emanuel & Pelizzon, Loriana & Schneider, Michael, 2019. "OTC discount," Discussion Papers 42/2019, Deutsche Bundesbank.
      • de Roure, Calebe & Mönch, Emanuel & Pelizzon, Loriana & Schneider, Michael, 2021. "OTC discount," SAFE Working Paper Series 298, Leibniz Institute for Financial Research SAFE, revised 2021.
    5. 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).
    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. Kondor, Peter & Pinter, Gabor, 2022. "Clients’ connections: measuring the role of private information in decentralized markets," LSE Research Online Documents on Economics 110861, London School of Economics and Political Science, LSE Library.
    8. 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.
    9. 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).
    10. 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.
    11. Batten, Jonathan A. & Lončarski, Igor & Szilagyi, Peter G., 2021. "Strategic insider trading in foreign exchange markets," Journal of Corporate Finance, Elsevier, vol. 69(C).
    12. 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.
    13. 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.
    14. Rainone, Edoardo, 2020. "The network nature of over-the-counter interest rates," Journal of Financial Markets, Elsevier, vol. 47(C).
    15. Pintér, Gábor & Wang, Chaojun & Zou, Junyuan, 2022. "Information chasing versus adverse selection," Bank of England working papers 971, Bank of England.
    16. Zema, Sebastiano Michele, 2022. "Directed acyclic graph based information shares for price discovery," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
    17. Donald Lien & Pi-Hsia Hung, 2023. "Whose trades contribute more to price discovery? Evidence from the Taiwan stock exchange," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 213-263, July.

  8. Albert J Menkveld, 2017. "Crowded Positions: An Overlooked Systemic Risk for Central Clearing Parties," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 7(2), pages 209-242.

    Cited by:

    1. Radoslav Raykov, 2021. "Systemic Risk and Portfolio Diversification: Evidence from the Futures Market," Staff Working Papers 21-50, Bank of Canada.
    2. Christian Kubitza & Loriana Pelizzon & Mila Getmansky Sherman, 2021. "Loss Sharing in Central Clearinghouses: Winners and Losers," ECONtribute Discussion Papers Series 066, University of Bonn and University of Cologne, Germany.
    3. Kubitza, Christian & Pelizzon, Loriana & Getmansky Sherman, Mila, 2019. "Pitfalls of central clearing in the presence of systematic risk," SAFE Working Paper Series 235, Leibniz Institute for Financial Research SAFE, revised 2019.
    4. Viral V. Acharya & Aaditya M. Iyer & Rangarajan K. Sundaram, 2020. "Risk-Sharing and the Creation of Systemic Risk," JRFM, MDPI, vol. 13(8), pages 1-38, August.
    5. Cenedese, Gino & Ranaldo, Angelo & Vasios, Michalis, 2018. "OTC premia," Bank of England working papers 751, Bank of England.
    6. Berndsen, Ron, 2020. "Five Fundamental Questions on Central Counterparties," Discussion Paper 2020-028, Tilburg University, Center for Economic Research.
    7. Mariana Khapko & Marius Zoican, 2020. "How Fast Should Trades Settle?," Management Science, INFORMS, vol. 66(10), pages 4573-4593, October.
    8. Mark Paddrik & H. Peyton Young, 2021. "Assessing the Safety of Central Counterparties," Working Papers 21-02, Office of Financial Research, US Department of the Treasury.
    9. Injun Hwang & Baeho Kim, 2022. "A systemic change of measure from central clearing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(9), pages 1738-1754, September.
    10. Berlinger, Edina & Dömötör, Barbara & Illés, Ferenc, 2019. "Anti-cyclical versus risk-sensitive margin strategies in central clearing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 117-131.
    11. Cucic, Dominic, 2022. "Central clearing and loss allocation rules," Journal of Financial Markets, Elsevier, vol. 59(PA).
    12. Evangelos Benos & Wenqian Huang & Albert Menkveld & Michalis Vasios, 2019. "The cost of clearing fragmentation," BIS Working Papers 826, Bank for International Settlements.
    13. Ron Berndsen, 2021. "Fundamental questions on central counterparties: A review of the literature," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 2009-2022, December.
    14. González-Urteaga, Ana & Rubio, Gonzalo, 2022. "Guarantee requirements by European central counterparties and international volatility spillovers," Research in International Business and Finance, Elsevier, vol. 62(C).
    15. Injun Hwang & Baeho Kim, 2020. "Heterogeneity and netting efficiency under central clearing: A stochastic network analysis," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(2), pages 192-208, February.
    16. Capponi, Agostino & Cheng, Wan-Schwin Allen & Giglio, Stefano & Haynes, Richard, 2022. "The collateral rule: Evidence from the credit default swap market," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 58-86.
    17. Wenqian Huang & Albert J. Menkveld & Shihao Yu, 2021. "Central Counterparty Exposure in Stressed Markets," Management Science, INFORMS, vol. 67(6), pages 3596-3617, June.
    18. Stepan Gorban & Anna A. Obizhaeva & Yajun Wang, 2020. "Trading in Crowded Markets," Working Papers w0275, New Economic School (NES).

  9. Albert J. Menkveld & Marius A. Zoican, 2017. "Need for Speed? Exchange Latency and Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 30(4), pages 1188-1228.
    See citations under working paper version above.
  10. Menkveld, Albert J. & Yueshen, Bart Zhou & Zhu, Haoxiang, 2017. "Shades of darkness: A pecking order of trading venues," Journal of Financial Economics, Elsevier, vol. 124(3), pages 503-534.
    See citations under working paper version above.
  11. Albert J. Menkveld, 2016. "The Economics of High-Frequency Trading: Taking Stock," Annual Review of Financial Economics, Annual Reviews, vol. 8(1), pages 1-24, October.

    Cited by:

    1. Bongaerts, Dion & Achter, Mark Van, 2021. "Competition among liquidity providers with access to high-frequency trading technology," Journal of Financial Economics, Elsevier, vol. 140(1), pages 220-249.
    2. Li, Sida & Wang, Xin & Ye, Mao, 2021. "Who provides liquidity, and when?," Journal of Financial Economics, Elsevier, vol. 141(3), pages 968-980.
    3. Cespa, Giovanni & Vives, Xavier, 2017. "High Frequency Trading and Fragility," IESE Research Papers D/1161, IESE Business School.
    4. Peter Cziraki & Evgeny Lyandres & Roni Michaely, 2019. "What Do Insiders Know? Evidence from Insider Trading Around Share Repurchases and SEOs," Swiss Finance Institute Research Paper Series 19-11, Swiss Finance Institute, revised Mar 2019.
    5. Ziyi Xu & Xue Cheng, 2023. "The Effects of High-frequency Anticipatory Trading: Small Informed Trader vs. Round-Tripper," Papers 2304.13985, arXiv.org, revised Feb 2024.
    6. 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.
    7. 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".
    8. Gil Hersch, 2023. "Procedural Fairness in Exchange Matching Systems," Journal of Business Ethics, Springer, vol. 188(2), pages 367-377, November.
    9. Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian Brownlees & Javier Gil-Bazo, 2021. "Non-Standard Errors," Working Papers 1303, Barcelona School of Economics.
      • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," IWH Discussion Papers 11/2021, Halle Institute for Economic Research (IWH).
      • Albert J. et al. Menkveld, 2021. "Non-Standard Errors," CESifo Working Paper Series 9453, CESifo.
      • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Post-Print halshs-03500882, HAL.
      • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Cambridge Working Papers in Economics 2182, Faculty of Economics, University of Cambridge.
      • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Hasse, Jean-Baptiste & e.a.,, 2023. "Non-Standard Errors," LIDAM Reprints LFIN 2023002, Université catholique de Louvain, Louvain Finance (LFIN).
      • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," SAFE Working Paper Series 327, Leibniz Institute for Financial Research SAFE.
      • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Dí­az & Menachem Abudy & Tobi, 2021. "Non-Standard Errors," Working Papers 2021-31, Faculty of Economics and Statistics, Universität Innsbruck.
      • Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-Standard Errors," CEPR Discussion Papers 16751, C.E.P.R. Discussion Papers.
      • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Díaz & Menachem Abudy & To, 2021. "Non-Standard Errors," Working Paper Series, Social and Economic Sciences 2021-11, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.
      • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021. "Non-standard errors," Economics Working Papers 1807, Department of Economics and Business, Universitat Pompeu Fabra.
      • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021. "Non-Standard Errors," Working Papers 2021:17, Lund University, Department of Economics.
      • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Frömmel & et al, 2021. "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1032, Ghent University, Faculty of Economics and Business Administration.
      • Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli, 2022. "Non-Standard Errors," Swiss Finance Institute Research Paper Series 22-09, Swiss Finance Institute.
      • Moinas, Sophie & Declerck, Fany & Menkveld, Albert J. & Dreber, Anna, 2023. "Non-Standard Errors," TSE Working Papers 23-1451, Toulouse School of Economics (TSE).
      • Ferrara, Gerardo & Jurkatis, Simon, 2021. "Non-standard errors," Bank of England working papers 955, Bank of England.
      • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03500882, HAL.
      • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Janeway Institute Working Papers 2112, Faculty of Economics, University of Cambridge.
      • Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021. "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne 21033, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    10. Oliver Linton & Soheil Mahmoodzadeh, 2018. "Implications of high-frequency trading for security markets," CeMMAP working papers CWP06/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    11. 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.
    12. Thorsten Hens & Terje Lensberg & Klaus Reiner Schenk‐Hoppé, 2018. "Front‐Running and Market Quality: An Evolutionary Perspective on High Frequency Trading," International Review of Finance, International Review of Finance Ltd., vol. 18(4), pages 727-741, December.
    13. Giovanni Cespa & Xavier Vives, 2022. "Exchange Competition, Entry, and Welfare," The Review of Financial Studies, Society for Financial Studies, vol. 35(5), pages 2570-2624.
    14. 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).
    15. Xuefeng Gao & Yunhan Wang, 2018. "Optimal Market Making in the Presence of Latency," Papers 1806.05849, arXiv.org, revised Mar 2020.
    16. 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.
    17. Li, Sida & Ye, Mao & Zheng, Miles, 2023. "Refusing the best price?," Journal of Financial Economics, Elsevier, vol. 147(2), pages 317-337.
    18. 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).
    19. 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.
    20. Frijns, Bart & Zwinkels, Remco C.J., 2018. "Time-varying arbitrage and dynamic price discovery," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 485-502.
    21. Marie Chen & Corey Garriott, 2018. "High-Frequency Trading and Institutional Trading Costs," Staff Working Papers 18-8, Bank of Canada.
    22. Roşu, Ioanid, 2019. "Fast and slow informed trading," Journal of Financial Markets, Elsevier, vol. 43(C), pages 1-30.
    23. 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.
    24. 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.
    25. 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).
    26. 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.
    27. Hans Degryse & Rudy de Winne & Carole Gresse & Richard Payne, 2018. "High frequency trading and ghost liquidity," Post-Print hal-01894838, HAL.
    28. Giovanni Cespa & Xavier Vives, 2016. "Market Transparency and Fragility," CESifo Working Paper Series 6279, CESifo.
    29. Lausen, Jens & Clapham, Benjamin & Gomber, Peter & Bender, Micha, 2022. "Drivers and effects of stock market fragmentation - Insights on SME stocks," SAFE Working Paper Series 367, Leibniz Institute for Financial Research SAFE.
    30. He, Xue-Zhong & Lin, Shen, 2022. "Reinforcement Learning Equilibrium in Limit Order Markets," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
    31. Shiyang Huang & Bart Zhou Yueshen, 2021. "Speed Acquisition," Management Science, INFORMS, vol. 67(6), pages 3492-3518, June.
    32. Sébastien Duchêne & Nathalie Oriol, 2018. "Too fast, Too furious? Une réflexion historique et contemporaine sur l'emballement des marchés financiers," Post-Print halshs-01860721, HAL.
    33. 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.
    34. Sida Li & Xin Wang & Mao Ye, 2019. "Who Provides Liquidity, and When?," NBER Working Papers 25972, National Bureau of Economic Research, Inc.
    35. Ziyi Xu & Xue Cheng, 2022. "Are Large Traders Harmed by Front-running HFTs?," Papers 2211.06046, arXiv.org, revised Jul 2023.
    36. Sarah Draus, 2012. "Market Power on Exchanges: Linking Price Impact to Trading Fees," CSEF Working Papers 490, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    37. 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.
    38. Bogousslavsky, Vincent, 2021. "The cross-section of intraday and overnight returns," Journal of Financial Economics, Elsevier, vol. 141(1), pages 172-194.
    39. Poutré, Cédric & Dionne, Georges & Yergeau, Gabriel, 2023. "International high-frequency arbitrage for cross-listed stocks," International Review of Financial Analysis, Elsevier, vol. 89(C).
    40. Ye, Mao & Zheng, Miles Y. & Zhu, Wei, 2023. "The effect of tick size on managerial learning from stock prices," Journal of Accounting and Economics, Elsevier, vol. 75(1).
    41. Lisa Anderson & Emad Andrews & Baiju Devani & Michael Mueller & Adrian Walton, 2018. "Speed Segmentation on Exchanges: Competition for Slow Flow," Staff Working Papers 18-3, Bank of Canada.
    42. Boussetta, Selma, 2022. "Stock exchange governance and stock liquidity: International evidence," Journal of Multinational Financial Management, Elsevier, vol. 66(C).
    43. Gider, Jasmin & Schmickler, Simon & Westheide, Christian, 2019. "High-frequency trading and price informativeness," SAFE Working Paper Series 248, Leibniz Institute for Financial Research SAFE, revised 2019.
    44. Ramos, Henrique P. & Perlin, Marcelo S. & Righi, Marcelo B., 2017. "Mispricing in the odd lots market in Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 618-628.
    45. 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).
    46. Haas, Marlene & Khapko, Mariana & Zoican, Marius, 2021. "Speed and learning in high-frequency auctions," Journal of Financial Markets, Elsevier, vol. 54(C).
    47. Xu, Ke, 2023. "High frequency market making during stressed periods," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 379-397.
    48. Jørgensen, Kjell & Skjeltorp, Johannes & Ødegaard, Bernt Arne, 2018. "Throttling hyperactive robots – Order-to-trade ratios at the Oslo Stock Exchange," Journal of Financial Markets, Elsevier, vol. 37(C), pages 1-16.
    49. Agostino Capponi & Jos'e E. Figueroa-L'opez & Chuyi Yu, 2021. "Market Making with Stochastic Liquidity Demand: Simultaneous Order Arrival and Price Change Forecasts," Papers 2101.03086, arXiv.org.
    50. 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.
    51. Karolis Liaudinskas, 2022. "Human vs. Machine: Disposition Effect among Algorithmic and Human Day Traders," Working Paper 2022/6, Norges Bank.
    52. Gomber, Peter & Sagade, Satchit & Theissen, Erik & Weber, Moritz Christian & Westheide, Christian, 2016. "Competition between equity markets: A review of the consolidation versus fragmentation debate," SAFE Working Paper Series 35, Leibniz Institute for Financial Research SAFE, revised 2016.
    53. Ladley, Daniel, 2020. "The high frequency trade off between speed and sophistication," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
    54. 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.
    55. Jun Aoyagi, 2019. "Strategic Speed Choice by High-Frequency Traders under Speed Bumps," ISER Discussion Paper 1050, Institute of Social and Economic Research, Osaka University.
    56. Dimpfl, Thomas & Schweikert, Karsten, 2023. "Information shares for markets with partially overlapping trading hours," Journal of Banking & Finance, Elsevier, vol. 154(C).
    57. 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).
    58. Suchismita Mishra & Le Zhao, 2021. "Order Routing Decisions for a Fragmented Market: A Review," JRFM, MDPI, vol. 14(11), pages 1-32, November.
    59. Ciril Bosch-Rosa & Bernhard Kassner, 2023. "Non-Standard Errors," Rationality and Competition Discussion Paper Series 385, CRC TRR 190 Rationality and Competition.
      • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," IWH Discussion Papers 11/2021, Halle Institute for Economic Research (IWH).
      • Albert J. et al. Menkveld, 2021. "Non-Standard Errors," CESifo Working Paper Series 9453, CESifo.
      • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Cambridge Working Papers in Economics 2182, Faculty of Economics, University of Cambridge.
      • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Dí­az & Menachem Abudy & Tobi, 2021. "Non-Standard Errors," Working Papers 2021-31, Faculty of Economics and Statistics, Universität Innsbruck.
      • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Díaz & Menachem Abudy & To, 2021. "Non-Standard Errors," Working Paper Series, Social and Economic Sciences 2021-11, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.
      • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021. "Non-standard errors," Economics Working Papers 1807, Department of Economics and Business, Universitat Pompeu Fabra.
      • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021. "Non-Standard Errors," Working Papers 2021:17, Lund University, Department of Economics.
      • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Frömmel & et al, 2021. "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1032, Ghent University, Faculty of Economics and Business Administration.
    60. 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.
    61. Paulin, James & Calinescu, Anisoara & Wooldridge, Michael, 2019. "Understanding flash crash contagion and systemic risk: A micro–macro agent-based approach," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 200-229.
    62. Bogoev, Dimitar & Karam, Arzé, 2017. "Detection of algorithmic trading," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 484(C), pages 168-181.
    63. 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).
    64. Daniel Ladley, 2019. "The Design and Regulation of High Frequency Traders," Discussion Papers in Economics 19/02, Division of Economics, School of Business, University of Leicester.
    65. 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.
    66. Jegadeesh, Narasimhan & Wu, Yanbin, 2022. "Closing auctions: Nasdaq versus NYSE," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1120-1139.
    67. Sagade, Satchit & Scharnowski, Stefan & Westheide, Christian, 2022. "Broker colocation and the execution costs of customer and proprietary orders," SAFE Working Paper Series 366, Leibniz Institute for Financial Research SAFE.
    68. Arifovic, Jasmina & He, Xue-zhong & Wei, Lijian, 2022. "Machine learning and speed in high-frequency trading," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
    69. Aït-Sahalia, Yacine & Brunetti, Celso, 2020. "High frequency traders and the price process," Journal of Econometrics, Elsevier, vol. 217(1), pages 20-45.
    70. Meling, Tom Grimstvedt & Odegaard, Bernt Arne, 2016. "Tick Size Wars," UiS Working Papers in Economics and Finance 2016/15, University of Stavanger.
    71. Jarrow, Robert A., 2022. "High frequency trading and standard asset pricing models," Finance Research Letters, Elsevier, vol. 49(C).
    72. Aliyev, Nihad & Huseynov, Fariz & Rzayev, Khaladdin, 2022. "Algorithmic trading and investment-to-price sensitivity," LSE Research Online Documents on Economics 118844, London School of Economics and Political Science, LSE Library.

  12. Hendershott, Terrence & Menkveld, Albert J., 2014. "Price pressures," Journal of Financial Economics, Elsevier, vol. 114(3), pages 405-423.
    See citations under working paper version above.
  13. Michael Goldstein & Albert J. Menkveld, 2014. "High-Frequency Traders and Market Structure," The Financial Review, Eastern Finance Association, vol. 49(2), pages 333-344, May.

    Cited by:

    1. Manahov, Viktor, 2016. "A note on the relationship between high-frequency trading and latency arbitrage," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 281-296.
    2. Chakrabarty, Bidisha & Moulton, Pamela C. & Wang, Xu (Frank), 2022. "Attention: How high-frequency trading improves price efficiency following earnings announcements," Journal of Financial Markets, Elsevier, vol. 57(C).
    3. Tom Grimstvedt Meling, 2021. "Anonymous Trading in Equities," Journal of Finance, American Finance Association, vol. 76(2), pages 707-754, April.
    4. 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.
    5. Poutré, Cédric & Dionne, Georges & Yergeau, Gabriel, 2023. "International high-frequency arbitrage for cross-listed stocks," International Review of Financial Analysis, Elsevier, vol. 89(C).
    6. Haas, Marlene & Khapko, Mariana & Zoican, Marius, 2021. "Speed and learning in high-frequency auctions," Journal of Financial Markets, Elsevier, vol. 54(C).
    7. Marlene Haas & Marius Andrei Zoican, 2016. "Beyond the Frequency Wall: Speed and Liquidity on Batch Auction Markets," Post-Print hal-01484805, HAL.
    8. Viktor Manahov, 2021. "High‐frequency trading order cancellations and market quality: Is stricter regulation the answer?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5385-5407, October.
    9. 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).
    10. Zhang, Zeyu & Ibikunle, Gbenga, 2023. "The market quality effects of sub-second frequent batch auctions: Evidence from dark trading restrictions," International Review of Financial Analysis, Elsevier, vol. 89(C).
    11. Suchismita Mishra & Le Zhao, 2021. "Order Routing Decisions for a Fragmented Market: A Review," JRFM, MDPI, vol. 14(11), pages 1-32, November.
    12. Serbera, Jean-Philippe & Paumard, Pascal, 2016. "The fall of high-frequency trading: A survey of competition and profits," Research in International Business and Finance, Elsevier, vol. 36(C), pages 271-287.
    13. 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).
    14. 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.

  14. Menkveld, Albert J. & Wang, Ting, 2013. "How do designated market makers create value for small-caps?," Journal of Financial Markets, Elsevier, vol. 16(3), pages 571-603.

    Cited by:

    1. Gautier, Pieter & Hu, Bo & Watanabe, Makoto, 2016. "Marketmaking Middlemen," CEPR Discussion Papers 11437, C.E.P.R. Discussion Papers.
    2. Chung, Kee H. & Chuwonganant, Chairat, 2023. "COVID-19 pandemic and the stock market: Liquidity, price efficiency, and trading," Journal of Financial Markets, Elsevier, vol. 64(C).
    3. Arman Abgaryan & Utkarsh Sharma & Joshua Tobkin, 2024. "Proof of Efficient Liquidity: A Staking Mechanism for Capital Efficient Liquidity," Papers 2401.04521, arXiv.org, revised Feb 2024.
    4. Lamoureux, Christopher G. & Wang, Qin, 2015. "Measuring private information in a specialist market," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 92-119.
    5. Panayi, Efstathios & Peters, Gareth W. & Danielsson, Jon & Zigrandd, Jean-Pierre, 2018. "Designating market maker behaviour in limit order book markets," LSE Research Online Documents on Economics 90424, London School of Economics and Political Science, LSE Library.
    6. De Winne, Rudy & Gresse, Carole & Platten, Isabelle, 2014. "Liquidity and risk sharing benefits from opening an ETF market with liquidity providers: Evidence from the CAC 40 index," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 31-43.
    7. Clark-Joseph, Adam D. & Ye, Mao & Zi, Chao, 2017. "Designated market makers still matter: Evidence from two natural experiments," Journal of Financial Economics, Elsevier, vol. 126(3), pages 652-667.
    8. Y. Peter Chung & S. Thomas Kim & Kenji Kutsuna & Richard L. Smith, 2020. "Which firms benefit from market making?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(1), pages 33-63, March.
    9. 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.
    10. 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.
    11. Pierre-Olivier Weill & Guillaume Rocheteau & Ricardo Lagos, 2010. "Crises and Liquidity in Over-the-counter Markets," 2010 Meeting Papers 500, Society for Economic Dynamics.
    12. Matkovskyy, Roman & Jalan, Akanksha & Dowling, Michael & Bouraoui, Taoufik, 2021. "From bottom ten to top ten: The role of cryptocurrencies in enhancing portfolio return of poorly performing stocks," Finance Research Letters, Elsevier, vol. 38(C).
    13. Johannes Atle Skjeltorp & Bernt Arne Ødegaard, 2015. "When Do Listed Firms Pay for Market Making in Their Own Stock?," Financial Management, Financial Management Association International, vol. 44(2), pages 241-266, June.
    14. Kee H. Chung & Chairat Chuwonganant & Youngsoo Kim, 2022. "Preopening price indications and market quality: Evidence from NYSE Rule 48," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(2), pages 205-228, June.
    15. Theissen, Erik & Westheide, Christian, 2021. "Call of duty: Designated market maker participation in call auctions," SAFE Working Paper Series 319, Leibniz Institute for Financial Research SAFE.
    16. Duong, Huu Nhan & Kalev, Petko S., 2014. "Anonymity and the Information Content of the Limit Order Book," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 205-219.
    17. Hendershott, Terrence & Menkveld, Albert J., 2014. "Price pressures," Journal of Financial Economics, Elsevier, vol. 114(3), pages 405-423.
    18. Bellia, Mario & Pelizzon, Loriana & Subrahmanyam, Marti G. & Yuferova, Darya, 2020. "Designated Market Makers: Competition and Incentives," SAFE Working Paper Series 247, Leibniz Institute for Financial Research SAFE, revised 2020.
    19. Theissen, Erik & Westheide, Christian, 2022. "One for the money, two for the show? The number of designated market makers and liquidity," CFR Working Papers 22-10, University of Cologne, Centre for Financial Research (CFR).
    20. Bagnara, Matteo & Jappelli, Ruggero, 2022. "Liquidity derivatives," SAFE Working Paper Series 358, Leibniz Institute for Financial Research SAFE.
    21. Theissen, Erik & Westheide, Christian, 2023. "One for the money, two for the show? The number of designated market makers and liquidity," Economics Letters, Elsevier, vol. 224(C).
    22. Anand, Amber & Venkataraman, Kumar, 2016. "Market conditions, fragility, and the economics of market making," Journal of Financial Economics, Elsevier, vol. 121(2), pages 327-349.
    23. Iwanaga, Yasuhiro & Hirose, Takehide, 2022. "Liquidity shock and stock returns in the Japanese equity market," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).

  15. Menkveld, Albert J., 2013. "High frequency trading and the new market makers," Journal of Financial Markets, Elsevier, vol. 16(4), pages 712-740.
    See citations under working paper version above.
  16. H�lena Beltran-Lopez & Joachim Grammig & Albert J. Menkveld, 2012. "Limit order books and trade informativeness," The European Journal of Finance, Taylor & Francis Journals, vol. 18(9), pages 737-759, October.
    See citations under working paper version above.
  17. Menkveld, Albert J. & Sarkar, Asani & Wel, Michel van der, 2012. "Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(4), pages 821-849, August.

    Cited by:

    1. Guillermo Llorente & Jiang Wang, 2020. "Trading and information in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(8), pages 1231-1263, August.
    2. Kurov, Alexander & Olson, Eric & Zaynutdinova, Gulnara R., 2022. "When does the fed care about stock prices?," Journal of Banking & Finance, Elsevier, vol. 142(C).
    3. van der Wel, M., 2020. "Connecting Silos : On linking macroeconomics and finance, and the role of econometrics therein," ERIM Inaugural Address Series Research in Management 124748, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam..
    4. 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.
    5. Valseth, Siri, 2013. "Price discovery in government bond markets," Journal of Financial Markets, Elsevier, vol. 16(1), pages 127-151.
    6. Piccotti, Louis R., 2018. "Jumps, cojumps, and efficiency in the spot foreign exchange market," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 49-67.
    7. Piccotti, Louis R. & Schreiber, Ben Z., 2020. "Information shares in a two-tier FX market," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 19-35.
    8. Wu, Lei & Liu, Chunlin & Meng, Qingbin & Zeng, Hongchao, 2018. "Price discovery in China's inter-bank bond market," Pacific-Basin Finance Journal, Elsevier, vol. 48(C), pages 84-98.
    9. Deuskar, Prachi & Johnson, Timothy C., 2021. "Funding liquidity and market liquidity in government bonds," Journal of Banking & Finance, Elsevier, vol. 129(C).
    10. Opschoor, Anne & Taylor, Nick & van der Wel, Michel & van Dijk, Dick, 2014. "Order flow and volatility: An empirical investigation," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 185-201.
    11. Fei Su, 2018. "Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2018.
    12. Brunetti, Celso & Harris, Jeffrey H. & Mankad, Shawn, 2022. "Sidedness in the interbank market," Journal of Financial Markets, Elsevier, vol. 59(PA).
    13. 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.
    14. 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.

  18. 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.
    See citations under working paper version above.
  19. Lin, Kuan-Pin & Menkveld, Albert J. & Yang, Zhishu, 2009. "Chinese and world equity markets: A review of the volatilities and correlations in the first fifteen years," China Economic Review, Elsevier, vol. 20(1), pages 29-45, March.

    Cited by:

    1. Huo, Rui & Ahmed, Abdullahi D., 2017. "Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect," Economic Modelling, Elsevier, vol. 61(C), pages 260-272.
    2. He, Hongbo & Chen, Shou & Yao, Shujie & Ou, Jinghua, 2014. "Financial liberalisation and international market interdependence: Evidence from China’s stock market in the post-WTO accession period," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 434-444.
    3. Luo, Weiwei & Brooks, Robert D. & Silvapulle, Param, 2011. "Effects of the open policy on the dependence between the Chinese 'A' stock market and other equity markets: An industry sector perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(1), pages 49-74, February.
    4. Enzo Weber & Yanqun Zhang, 2008. "Common Influences, Spillover and Integration in Chinese Stock Markets," SFB 649 Discussion Papers SFB649DP2008-072, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    5. Richard C. K. Burdekin & Pierre L. Siklos, 2011. "Enter the Dragon: Interactions between Chinese, US and Asia-Pacific Equity Markets, 1995-2010," Working Papers 232011, Hong Kong Institute for Monetary Research.
    6. Erdogan, Oral & Tata, Kenan & Karahasan, B. Can & Sengoz, M. Hakan, 2013. "Dynamics of the co-movement between stock and maritime markets," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 282-290.
    7. Long, Ling & Tsui, Albert K. & Zhang, Zhaoyong, 2014. "Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market," Economic Modelling, Elsevier, vol. 37(C), pages 89-102.
    8. Hu, Zhijun & Kutan, Ali M. & Sun, Ping-Wen, 2018. "Is U.S. economic policy uncertainty priced in China's A-shares market? Evidence from market, industry, and individual stocks," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 207-220.
    9. Zhang, Bing & Li, Xiao-Ming, 2014. "Has there been any change in the comovement between the Chinese and US stock markets?," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 525-536.
    10. Li, Johnny Siu-Hang & Ng, Andrew C.Y. & Chan, Wai-Sum, 2015. "Managing financial risk in Chinese stock markets: Option pricing and modeling under a multivariate threshold autoregression," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 217-230.
    11. Ye, George L., 2014. "The interactions between China and US stock markets: New perspectives," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 331-342.
    12. Liao, Jia & Qian, Qi & Xu, Xiangyun, 2018. "Whether the fluctuation of China’s financial markets have impact on global commodity prices?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 1030-1040.
    13. Li, Hong, 2013. "Integration versus segmentation in China's stock market: An analysis of time-varying beta risks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 88-105.
    14. Cheema, Muhammad A. & Nartea, Gilbert V., 2017. "Momentum, idiosyncratic volatility and market dynamics: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 46(PA), pages 109-123.
    15. Du, Yuxin & Teixeira, Aurora A.C., 2012. "A bibliometric account of Chinese economics research through the lens of the China Economic Review," China Economic Review, Elsevier, vol. 23(4), pages 743-762.
    16. Alhaj-Yaseen, Yaseen S. & Barkoulas, John T. & Ouandlous, Arav, 2020. "Liberalization and asymmetric information flow dynamics in the Chinese equity markets," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
    17. Ijaz Younis & Cheng Longsheng & Muhammad Farhan Basheer & Ahmed Shafique Joyo, 2020. "Stock market comovements among Asian emerging economies: A wavelet-based approach," PLOS ONE, Public Library of Science, vol. 15(10), pages 1-23, October.
    18. Zhou, Xiangyi & Zhang, Weijin & Zhang, Jie, 2012. "Volatility spillovers between the Chinese and world equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 247-270.
    19. Li, Hong, 2012. "The impact of China's stock market reforms on its international stock market linkages," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 358-368.
    20. Shuangqi Li & Qi‐an Chen, 2021. "Do the Shanghai–Hong Kong & Shenzhen–Hong Kong Stock Connect programs enhance co‐movement between the Mainland Chinese, Hong Kong, and U.S. stock markets?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2871-2890, April.
    21. Anders Johansson, 2010. "China's financial market integration with the world," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 8(3), pages 293-314.
    22. M. Fatih Oztek & Nadir Ocal, 2012. "Integration of China Stock Markets with International Stock Markets: An application of Smooth Transition Conditional Correlation with Double Transition Functions," ERC Working Papers 1209, ERC - Economic Research Center, Middle East Technical University, revised Dec 2012.
    23. Yertai Tanai & Kuan-Pin Lin, 2013. "Mongolian and World Equity Markets: Volatilities and Correlations," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 3(2), pages 136-164, December.
    24. Hou, Yang & Li, Steven, 2016. "Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach," Economic Modelling, Elsevier, vol. 52(PB), pages 884-897.
    25. Geeta Duppati & Yang (Greg) Hou & Frank Scrimgeour, 2017. "The dynamics of price discovery for cross-listed stocks evidence from US and Chinese markets," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1389675-138, January.
    26. Pan, Qunxing & Mei, Xiaowen & Gao, Tianqing, 2022. "Modeling dynamic conditional correlations with leverage effects and volatility spillover effects: Evidence from the Chinese and US stock markets affected by the recent trade friction," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    27. Ma, Xiuying & Yang, Zhihua & Xu, Xiangyun & Wang, Chengqi, 2018. "The impact of Chinese financial markets on commodity currency exchange rates," Global Finance Journal, Elsevier, vol. 37(C), pages 186-198.
    28. Mehmet Fatih Öztek & Nadir Öcal, 2016. "The effects of domestic and international news and volatility on integration of Chinese stock markets with international stock markets," Empirical Economics, Springer, vol. 50(2), pages 317-360, March.

  20. Thierry Foucault & Albert J. Menkveld, 2008. "Competition for Order Flow and Smart Order Routing Systems," Journal of Finance, American Finance Association, vol. 63(1), pages 119-158, February.
    See citations under working paper version above.
  21. Kalok Chan & Albert J. Menkveld & Zhishu Yang, 2008. "Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount," Journal of Finance, American Finance Association, vol. 63(1), pages 159-196, February.
    See citations under working paper version above.
  22. Menkveld, Albert J., 2008. "Splitting orders in overlapping markets: A study of cross-listed stocks," Journal of Financial Intermediation, Elsevier, vol. 17(2), pages 145-174, April.
    See citations under working paper version above.
  23. Menkveld, Albert J. & Koopman, Siem Jan & Lucas, Andre, 2007. "Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 213-225, April.

    Cited by:

    1. Menkveld, Albert J., 2006. "Splitting orders in overlapping markets: a study of cross-listed stocks," Serie Research Memoranda 0003, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    2. Yue Zhao & Difang Wan, 2018. "Institutional high frequency trading and price discovery: Evidence from an emerging commodity futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 243-270, February.
    3. Schotman, Peter C & Frijns, Bart, 2004. "Price Discovery in Tick Time," CEPR Discussion Papers 4456, C.E.P.R. Discussion Papers.
    4. Korczak, Piotr & Phylaktis, Kate, 2010. "Related securities and price discovery: Evidence from NYSE-listed Non-U.S. stocks," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 566-584, September.
    5. Piotr Korczak & Kate Phylaktis, 2009. "Related Securities, Allocation of Attention and Price Discovery: Evidence from NYSE-Listed Non-U.S. Stocks," Bristol Economics Discussion Papers 09/612, School of Economics, University of Bristol, UK.
    6. Naohiko Baba & Yasuaki Amatatsu, 2008. "Price discovery from cross-currency and FX swaps: a structural analysis," BIS Working Papers 264, Bank for International Settlements.
    7. Thomas Dimpfl & Robert Jung, 2011. "Financial market spillovers around the globe," Global Financial Markets Working Paper Series 20-2011, Friedrich-Schiller-University Jena.
    8. Daures-Lescourret, Laurence & Fulop, Andras, 2022. "Standardization, transparency initiatives, and liquidity in the CDS market," Journal of Financial Markets, Elsevier, vol. 59(PA).
    9. de Jong, F.C.J.M. & Schotman, P.C., 2010. "Price discovery in fragmented markets," Other publications TiSEM 4650a9e7-c4cf-41cf-a771-e, Tilburg University, School of Economics and Management.
    10. 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.
    11. Jaiswal-Dale, Ameeta & Jithendranathan, Thadavillil, 2009. "Transmission of shocks from cross-listed markets to the return and volatility of domestic stocks," Journal of Multinational Financial Management, Elsevier, vol. 19(5), pages 395-408, December.
    12. Gregory Boadu-Sebbe, 2022. "Effect of Exchange-Traded Funds Arbitrage Transactions on their Underlying Holdings," CERGE-EI Working Papers wp738, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    13. Cartea, Álvaro & Karyampas, Dimitrios, 2009. "Volatility and covariation of financial assets: a high-frequency analysis," DEE - Working Papers. Business Economics. WB wb097609, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    14. Marc Pomp & Suncica Vujic, 2008. "Rising health spending, new medical technology and the Baumol effect," CPB Discussion Paper 115, CPB Netherlands Bureau for Economic Policy Analysis.
    15. Sait Ozturk & Michel van der Wel, 2014. "Intraday Price Discovery in Fragmented Markets," Tinbergen Institute Discussion Papers 14-027/III, Tinbergen Institute.
    16. Hendershott, Terrence & Menkveld, Albert J., 2014. "Price pressures," Journal of Financial Economics, Elsevier, vol. 114(3), pages 405-423.
    17. Wang, Jianxin & Yang, Minxian, 2011. "Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets," Journal of Financial Markets, Elsevier, vol. 14(1), pages 82-108, February.
    18. Michel van der Wel & Albert Menkveld & Asani Sarkar, 2009. "Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes," Tinbergen Institute Discussion Papers 09-046/3, Tinbergen Institute.
    19. Brogaard, Jonathan & Hendershott, Terrence & Riordan, Ryan, 2013. "High frequency trading and price discovery," Working Paper Series 1602, European Central Bank.
    20. Manahov, Viktor & Hudson, Robert & Gebka, Bartosz, 2014. "Does high frequency trading affect technical analysis and market efficiency? And if so, how?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 131-157.
    21. Paulo Pereira da Silva & Carlos Vieira & Isabel Vieira, 2018. "Central clearing and CDS market quality," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 731-753, June.
    22. Baba, Naohiko & Sakurai, Yuji, 2011. "When and how US dollar shortages evolved into the full crisis? Evidence from the cross-currency swap market," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1450-1463, June.
    23. Menkveld, Albert J. & Wang, Ting, 2013. "How do designated market makers create value for small-caps?," Journal of Financial Markets, Elsevier, vol. 16(3), pages 571-603.
    24. Menkveld, Albert J., 2013. "High frequency trading and the new market makers," Journal of Financial Markets, Elsevier, vol. 16(4), pages 712-740.
    25. Yasuaki Amatatsu & Naohiko Baba, 2007. "Price Discovery from Cross-Currency and FX Swaps: A Structural Analysis," Bank of Japan Working Paper Series 07-E-12, Bank of Japan.
    26. Tao Chen, 2020. "Trade‐size clustering and informed trading in global markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(4), pages 579-597, October.
    27. Eun Jung Lee, 2015. "High Frequency Trading in the Korean Index Futures Market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(1), pages 31-51, January.
    28. Peter Koudijs, 2013. "The boats that did not sail: Asset Price Volatility and Market Efficiency in a Natural Experiment," NBER Working Papers 18831, National Bureau of Economic Research, Inc.
    29. Moulton, Pamela C. & Wei, Li, 2009. "A tale of two time zones: The impact of substitutes on cross-listed stock liquidity," Journal of Financial Markets, Elsevier, vol. 12(4), pages 570-591, November.
    30. Joel Hasbrouck, 2021. "Rejoinder on: Price Discovery in High Resolution," Journal of Financial Econometrics, Oxford University Press, vol. 19(3), pages 465-471.
    31. Otsubo, Yoichi, 2014. "International cross-listing and price discovery under trading concentration in the domestic market: Evidence from Japanese shares," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 36-51.
    32. Dimpfl, Thomas & Schweikert, Karsten, 2023. "Information shares for markets with partially overlapping trading hours," Journal of Banking & Finance, Elsevier, vol. 154(C).
    33. Alhaj-Yaseen, Yaseen S. & Lam, Eddery & Barkoulas, John T., 2014. "Price discovery for cross-listed firms with foreign IPOs," International Review of Financial Analysis, Elsevier, vol. 31(C), pages 80-87.
    34. Ibikunle, Gbenga & McGroarty, Frank & Rzayev, Khaladdin, 2020. "More heat than light: Investor attention and bitcoin price discovery," International Review of Financial Analysis, Elsevier, vol. 69(C).
    35. Rzayev, Khaladdin & Ibikunle, Gbenga, 2019. "A state-space modeling of the information content of trading volume," Journal of Financial Markets, Elsevier, vol. 46(C).
    36. Fuertes, Ana-Maria & Phylaktis, Kate & Yan, Cheng, 2016. "Hot money in bank credit flows to emerging markets during the banking globalization era," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 29-52.

  24. Chan, Kalok & Menkveld, Albert J. & Yang, Zhishu, 2007. "The informativeness of domestic and foreign investors' stock trades: Evidence from the perfectly segmented Chinese market," Journal of Financial Markets, Elsevier, vol. 10(4), pages 391-415, November.

    Cited by:

    1. Lin Liao & Yukun Pan & Daifei (Troy) Yao, 2023. "Capital market liberalisation and voluntary corporate social responsibility disclosure: Evidence from a quasi‐natural experiment in China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(2), pages 2677-2715, June.
    2. Feng, Xunan & Johansson, Anders C., 2014. "Escaping political extraction: Political participation, institutions, and cash holdings in China," China Economic Review, Elsevier, vol. 30(C), pages 98-112.
    3. Chien, Cheng-Yi & Lee, Hsiu-Chuan & Tai, Shih-Wen & Liao, Tzu-Hsiang, 2013. "Information, hedging demand, and institutional investors: Evidence from the Taiwan Futures Exchange," Journal of Multinational Financial Management, Elsevier, vol. 23(5), pages 394-414.
    4. Hankil Kang & Jangkoo Kang & Soonhee Lee, 2016. "Which Traders Contribute Most to Price Discovery? Evidence from the KOSPI 200 Options Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(10), pages 2335-2347, October.
    5. Wong, Woon K. & Tan, Dijun & Tian, Yixiang, 2009. "Informed trading and liquidity in the Shanghai Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 66-73, March.
    6. Mr. Jacob Gyntelberg & Mr. Subhanij Tientip & Mr. Mico Loretan, 2012. "Private Information, Capital Flows, and Exchange Rates," IMF Working Papers 2012/213, International Monetary Fund.
    7. He, Yinghua & Nielsson, Ulf & Guo, Hong & Yang, Jiong, 2012. "Subscribing to Transparency," TSE Working Papers 12-351, Toulouse School of Economics (TSE), revised Nov 2013.
    8. Gau, Yin-Feng & Hua, Mingshu & Wu, Wen-Lin, 2010. "International asset allocation for incompletely-informed investors," Journal of Financial Markets, Elsevier, vol. 13(4), pages 422-447, November.
    9. Enzo Weber & Yanqun Zhang, 2008. "Common Influences, Spillover and Integration in Chinese Stock Markets," SFB 649 Discussion Papers SFB649DP2008-072, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    10. Yang, Heejin & Kutan, Ali M. & Ryu, Doojin, 2019. "Volatility information trading in the index options market: An intraday analysis," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 412-426.
    11. Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2009. "Private information, stock markets, and exchange rates," BIS Working Papers 271, Bank for International Settlements.
    12. Tri Minh Nguyen, 2017. "The Impact of Foreign Investor Trading Activity on Vietnamese Stock Market," International Journal of Marketing Studies, Canadian Center of Science and Education, vol. 9(1), pages 109-118, February.
    13. Chen, Jing & Buckland, Roger & Williams, Julian, 2011. "Regulatory changes, market integration and spillover effects in the Chinese A, B and Hong Kong equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 19(4), pages 351-373, September.
    14. Bian, Jiangze & Chan, Kalok & Han, Bing & Shi, Donghui, 2023. "Cross-border equity flows and information transmission: Evidence from Chinese stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
    15. Feng, Xunan & Johansson, Anders C., 2018. "Living through the Great Chinese Famine: Early-life experiences and managerial decisions," Journal of Corporate Finance, Elsevier, vol. 48(C), pages 638-657.
    16. Feng, Xunan & Hu, Na & Johansson, Anders C., 2016. "Ownership, analyst coverage, and stock synchronicity in China," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 79-96.
    17. William T. Lin & Shih-Chuan Tsai & David S. Sun, 2012. "Search Costs and Investor Trading Activity: Evidence from Limit Order Books," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(3), pages 4-30, May.
    18. Swee-Sim Foong & Kian-Ping Lim, 2016. "Stock Market Liberalisation and Cost of Equity: Firm-Level Evidence from Malaysia," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 12(Suppl. 1), pages 1-19–42.
    19. Johansson, Anders C. & Feng, Xunan, 2013. "CEO Incentives in Chinese State-Controlled Firms," Stockholm School of Economics Asia Working Paper Series 2013-27, Stockholm School of Economics, Stockholm China Economic Research Institute.
    20. Chiu, Junmao & Chen, Chin-Ho, 2023. "Limit order revisions across investor sophistication," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 74-90.
    21. Ai-Chi Hsu & Show-Yen Lai & Lien-Hui Chao, 2014. "Information Transmission Effects between A and H Dual Listing Shares," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 8(5), pages 27-40.
    22. Andreou, Christoforos K. & Lambertides, Neophytos & Savvides, Andreas, 2020. "Sovereign credit risk and global equity fund returns in emerging markets," Journal of International Money and Finance, Elsevier, vol. 107(C).
    23. Zhian Chen & Hai Jiang & Donghui Li & Ah Boon Sim, 2010. "Regulation Change and Volatility Spillovers: Evidence from China's Stock Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 46(6), pages 140-157, November.
    24. Corbet, Shaen & Hou, Yang & Hu, Yang & Oxley, Les, 2020. "The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry," International Review of Financial Analysis, Elsevier, vol. 72(C).
    25. Andy C W Chui & Avanidhar Subrahmanyam & Sheridan Titman, 2022. "Momentum, Reversals, and Investor Clientele [Illiquidity and stock returns: Cross-section and time-series effects]," Review of Finance, European Finance Association, vol. 26(2), pages 217-255.
    26. Feng, Xunan & Zhou, Mingshan & Chan, Kam C., 2014. "Smart money or dumb money? A study on the selection ability of mutual fund investors in China," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 154-170.
    27. Arjoon, Vaalmikki & Bougheas, Spiros & Milner, Chris, 2016. "Lead-lag relationships in an embryonic stock market: Exploring the role of institutional ownership and liquidity," Research in International Business and Finance, Elsevier, vol. 38(C), pages 262-276.
    28. Bai, Ye & Chow, Darien Yan Pang, 2017. "Shanghai-Hong Kong Stock Connect: An analysis of Chinese partial stock market liberalization impact on the local and foreign markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 50(C), pages 182-203.
    29. Fong, Wai Mun, 2009. "Speculative trading and stock returns: A stochastic dominance analysis of the Chinese A-share market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 712-727, October.
    30. Lin, Kuan-Pin & Menkveld, Albert J. & Yang, Zhishu, 2009. "Chinese and world equity markets: A review of the volatilities and correlations in the first fifteen years," China Economic Review, Elsevier, vol. 20(1), pages 29-45, March.
    31. Li, Shan & Brockman, Paul & Zurbruegg, Ralf, 2015. "Cross-listing, firm-specific information, and corporate governance: Evidence from Chinese A-shares and H-shares," Journal of Corporate Finance, Elsevier, vol. 32(C), pages 347-362.
    32. Doukas, John A. & Wang, Liu, 2013. "Information asymmetry, price discovery, and the Chinese B-share discount puzzle," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1116-1135.
    33. Johansson, Anders C. & Feng, Xunan, 2013. "The State Advances, the Private Sector Retreats: Firm Effects of China’s Great Stimulus Program," Stockholm School of Economics Asia Working Paper Series 2013-25, Stockholm School of Economics, Stockholm China Economic Research Institute.
    34. He, Yan & Wang, Junbo & Wu, Chunchi, 2013. "Domestic versus foreign equity shares: Which are more costly to trade in the Chinese market?," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 465-481.
    35. Omay, Tolga & Iren, Perihan, 2019. "Behavior of foreign investors in the Malaysian stock market in times of crisis: A nonlinear approach," Journal of Asian Economics, Elsevier, vol. 60(C), pages 85-100.
    36. Chen, Li-Wen & Johnson, Shane A. & Lin, Ji-Chai & Liu, Yu-Jane, 2009. "Information, sophistication, and foreign versus domestic investors' performance," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1636-1651, September.
    37. Jain, Pawan & Jiang, Christine, 2014. "Predicting future price volatility: Empirical evidence from an emerging limit order market," Pacific-Basin Finance Journal, Elsevier, vol. 27(C), pages 72-93.
    38. Anders Johansson, 2010. "China's financial market integration with the world," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 8(3), pages 293-314.
    39. K.C. Chen & Guangzhong Li & Lifan Wu, 2010. "Price Discovery for Segmented US‐Listed Chinese Stocks: Location or Market Quality?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(1‐2), pages 242-269, January.
    40. M. Fatih Oztek & Nadir Ocal, 2012. "Integration of China Stock Markets with International Stock Markets: An application of Smooth Transition Conditional Correlation with Double Transition Functions," ERC Working Papers 1209, ERC - Economic Research Center, Middle East Technical University, revised Dec 2012.
    41. Yang, Heejin & Ahn, Hee-Joon & Kim, Maria H. & Ryu, Doojin, 2017. "Information asymmetry and investor trading behavior around bond rating change announcements," Emerging Markets Review, Elsevier, vol. 32(C), pages 38-51.
    42. Eric Girardin & Dijun Tan & Woon K. Wong, 2010. "Information Content of Order Flow and Cross-market Portfolio Rebalancing: Evidence for the Chinese Stock, Treasury and Corporate Bond Markets," Working Papers 022010, Hong Kong Institute for Monetary Research.
    43. Bae, Kee-Hong & Ozoguz, Arzu & Tan, Hongping & Wirjanto, Tony S., 2012. "Do foreigners facilitate information transmission in emerging markets?," Journal of Financial Economics, Elsevier, vol. 105(1), pages 209-227.
    44. Oi-Ping Chong & A.N. Bany-Ariffin & Annuar Md Nassir & Junaina Muhammad, 2019. "An Empirical Study of Herding Behaviour in China’s A-Share and B-Share Markets: Evidence of Bidirectional Herding Activities," Capital Markets Review, Malaysian Finance Association, vol. 27(2), pages 37-57.
    45. Albert Tsang, 2012. "Discussion: the impact of market segmentation on the value-relevance of accounting information: evidence from China," Asia-Pacific Journal of Accounting & Economics, Taylor & Francis Journals, vol. 19(1), pages 97-99.

  25. Winfried G. Hallerbach & Albert J. Menkveld, 2004. "Analysing Perceived Downside Risk: the Component Value‐at‐Risk Framework," European Financial Management, European Financial Management Association, vol. 10(4), pages 567-591, December.

    Cited by:

    1. Yingying Kang & Rajan Batta & Changhyun Kwon, 2014. "Value-at-Risk model for hazardous material transportation," Annals of Operations Research, Springer, vol. 222(1), pages 361-387, November.
    2. Hu, Xiangling & Motwani, Jaideep G., 2014. "Minimizing downside risks for global sourcing under price-sensitive stochastic demand, exchange rate uncertainties, and supplier capacity constraints," International Journal of Production Economics, Elsevier, vol. 147(PB), pages 398-409.
    3. Andrés García Mirantes & Javier Población & Gregorio Serna, 2012. "The Stochastic Seasonal Behaviour of Natural Gas Prices," European Financial Management, European Financial Management Association, vol. 18(3), pages 410-443, June.
    4. Wei Sun & Svetlozar Rachev & Frank J. Fabozzi, 2009. "A New Approach for Using Lévy Processes for Determining High‐Frequency Value‐at‐Risk Predictions," European Financial Management, European Financial Management Association, vol. 15(2), pages 340-361, March.

  26. Hupperets, Erik C. J. & Menkveld, Albert J., 2002. "Intraday analysis of market integration: Dutch blue chips traded in Amsterdam and New York," Journal of Financial Markets, Elsevier, vol. 5(1), pages 57-82, January.
    See citations under working paper version above.
  27. Audretsch, David B. & van Leeuwen, George & Menkveld, Bert & Thurik, Roy, 2001. "Market dynamics in the Netherlands: Competition policy and the role of small firms," International Journal of Industrial Organization, Elsevier, vol. 19(5), pages 795-821, April.

    Cited by:

    1. Daniel Fackler & Michaela Fuchs & Lisa Hölscher & Claus Schnabel, 2019. "Do Start-ups Provide Employment Opportunities for Disadvantaged Workers?," ILR Review, Cornell University, ILR School, vol. 72(5), pages 1123-1148, October.
    2. Schnabel, Claus & Kohaut, Susanne & Brixy, Udo, 2008. "Employment stability of entrants in newly founded firms: a matching approach using linked employer-employee data from Germany," Discussion Papers 56, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Labour and Regional Economics.
    3. Katja Bringmann & Ann Verhetsel & Thomas Vanoutrive & Jo Reynaerts, 2013. "The impact of venture capital linkages on start-ups' cluster embeddedness," ERSA conference papers ersa13p298, European Regional Science Association.
    4. D.B. Audretsch & A.R. Thurik, 2010. "Unraveling the Shift to the Entrepreneurial Economy," Tinbergen Institute Discussion Papers 10-080/3, Tinbergen Institute, revised 02 Apr 2011.
    5. Marco Cucculelli & Francesco Marchionne, 2009. "Market Opportunities and the Owner Identity. Are Family Firms different?," Mo.Fi.R. Working Papers 32, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
    6. Patrick Piget & Mohamed Kossaï, 2013. "The Relationship between Information and Communication Technology Use and Firm Performance in Developing Countries: A Case Study of Electrical and Electronic Goods Manufacturing SMEs in Tunisia," African Development Review, African Development Bank, vol. 25(3), pages 330-343, September.
    7. Lopez-Acevedo, Gladys, 2002. "Technology and firm performance in Mexico," Policy Research Working Paper Series 2778, The World Bank.
    8. Schnabel, Claus & Kohaut, Susanne & Brixy, Udo, 2004. "Do newly founded firms pay lower wages? First evidence from Germany," Discussion Papers 28, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Labour and Regional Economics.
    9. Brixy, Udo & Kohaut, Susanne & Schnabel, Claus, 2005. "How fast do newly founded firms mature? : empirical analyses on job quality in start-ups," IAB-Discussion Paper 200502, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
    10. Yeo, Benjamin & Grant, Delvin, 2018. "Predicting service industry performance using decision tree analysis," International Journal of Information Management, Elsevier, vol. 38(1), pages 288-300.
    11. Pierre Blanchard & Jean-Pierre Huiban & Claude Mathieu, 2014. "The shadow of death model revisited with an application to French firms," Applied Economics, Taylor & Francis Journals, vol. 46(16), pages 1883-1893, June.
    12. Stuart S. Rosenthal & William C. Strange, 2003. "Geography, Industrial Organization, and Agglomeration," Center for Policy Research Working Papers 56, Center for Policy Research, Maxwell School, Syracuse University.
    13. Roy Thurik & David Audretsch & Isabel Grilo, 2012. "Globalization, entrepreneurship and the region," Scales Research Reports H201201, EIM Business and Policy Research.
    14. Kostas Tsekouras & Efthalia Dimara & Dimitris Skuras & Dimitris Tzelepis, 2009. "Back to basics: The Comanor–Wilson MES index revisited," Small Business Economics, Springer, vol. 32(1), pages 111-120, January.
    15. Onofri, Alejandro & Giannakas, Konstantinos, 2001. "The Strategic Role Of Public R&D In Agriculture," 2001 Annual meeting, August 5-8, Chicago, IL 20699, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    16. Olav Sorenson & Michael S. Dahl & Rodrigo Canales & M. Diane Burton, 2021. "Do Startup Employees Earn More in the Long Run?," Organization Science, INFORMS, vol. 32(3), pages 587-604, May.
    17. Majumdar Sumit K., 2015. "Competitor entry impact on jobs and wages in incumbent firms: retrospective evidence from a natural experiment," Business and Politics, De Gruyter, vol. 17(2), pages 291-326, August.
    18. Urbano, David & Aparicio, Sebastian, 2016. "Entrepreneurship capital types and economic growth: International evidence," Technological Forecasting and Social Change, Elsevier, vol. 102(C), pages 34-44.
    19. World Bank, 2001. "Mexico : Technology, Wages and Employment, Volume 1. Main Document," World Bank Publications - Reports 15432, The World Bank Group.
    20. Claus Schnabel & Susanne Kohaut & Udo Brixy, 2011. "Employment stability in newly founded firms: a matching approach using linked employer–employee data from Germany," Small Business Economics, Springer, vol. 36(1), pages 85-100, January.
    21. David B. Audretsch & Apexa Mamtora & Hugo Menendez, 2018. "Creating an entrepreneurial society in Europe," The Journal of Technology Transfer, Springer, vol. 43(6), pages 1437-1448, December.
    22. Manuela Presutti & Cristina Boari & Antonio Majocchi, 2013. "Inter-organizational geographical proximity and local start-ups' knowledge acquisition: a contingency approach," Entrepreneurship & Regional Development, Taylor & Francis Journals, vol. 25(5-6), pages 446-467, June.
    23. Grant, Delvin & Yeo, Benjamin, 2018. "A global perspective on tech investment, financing, and ICT on manufacturing and service industry performance," International Journal of Information Management, Elsevier, vol. 43(C), pages 130-145.
    24. Sumit K. Majumdar & Rabih Moussawi & Ulku Yaylacicegi, 2014. "Do Incumbents’ Mergers Influence Entrepreneurial Entry? An Evaluation," Entrepreneurship Theory and Practice, , vol. 38(3), pages 601-633, May.

  28. Albert Menkveld & Ton Vorst, 2000. "A Pricing Model for American Options with Gaussian Interest Rates," Annals of Operations Research, Springer, vol. 100(1), pages 211-226, December.

    Cited by:

    1. João Nunes, 2011. "American options and callable bonds under stochastic interest rates and endogenous bankruptcy," Review of Derivatives Research, Springer, vol. 14(3), pages 283-332, October.
    2. Taiga Saito & Shivam Gupta, 2022. "Big Data Applications with Theoretical Models and Social Media in Financial Management," CIRJE F-Series CIRJE-F-1205, CIRJE, Faculty of Economics, University of Tokyo.
    3. Taiga Saito & Shivam Gupta, 2022. "Big data applications with theoretical models and social media in financial management," CARF F-Series CARF-F-550, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    4. Jérôme Detemple & Weidong Tian, 2002. "The Valuation of American Options for a Class of Diffusion Processes," Management Science, INFORMS, vol. 48(7), pages 917-937, July.
    5. Cheng Cai & Tiziano De Angelis & Jan Palczewski, 2021. "The American put with finite-time maturity and stochastic interest rate," Papers 2104.08502, arXiv.org, revised Feb 2024.
    6. Huang, Haishi, 2010. "Convertible Bonds: Risks and Optimal Strategies," Bonn Econ Discussion Papers 07/2010, University of Bonn, Bonn Graduate School of Economics (BGSE).
    7. Cheng Cai & Tiziano De Angelis & Jan Palczewski, 2022. "The American put with finite‐time maturity and stochastic interest rate," Mathematical Finance, Wiley Blackwell, vol. 32(4), pages 1170-1213, October.

  29. Menkveld, A J & Thurik, A R, 1999. "Firm Size and Efficiency in Innovation: Reply," Small Business Economics, Springer, vol. 12(1), pages 97-101, February.

    Cited by:

    1. Ingrid Verheul & Sander Wennekers & David Audretsch & Roy Thurik, 2001. "An Eclectic Theory of Entrepreneurship: Policies, Institutions and Culture," Tinbergen Institute Discussion Papers 01-030/3, Tinbergen Institute.
    2. Alexander Cobham, "undated". "Making Bad Decisions: firm size and investment under uncertainty," QEH Working Papers qehwps39, Queen Elizabeth House, University of Oxford.

  30. Philip Hans Franses & Reinoud leperen & Paul Kofman & Martin Martens & Bert Menkveld, 1997. "Volatility Transmission And Patterns In Bund Futures," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 20(4), pages 459-482, December.

    Cited by:

    1. Sofiane Aboura & Julien Chevallier, 2014. "Cross-Market Spillovers with ‘Volatility Surprise’," EconomiX Working Papers 2014-46, University of Paris Nanterre, EconomiX.
    2. Sofiane Aboura & Julien Chevallier, 2014. "Cross-Market Spillovers with ‘Volatility Surprise’," Working Papers hal-04141310, HAL.
    3. Stevenson, Alan & Boyd, Milton S., 2001. "Lead Lag Relationships Between Resource Prices and Corresponding Resource Company Share Prices," 2001 Conference (45th), January 23-25, 2001, Adelaide, Australia 125959, Australian Agricultural and Resource Economics Society.
    4. Yang, Joey Wenling, 2011. "Transaction duration and asymmetric price impact of trades--Evidence from Australia," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 91-102, January.
    5. Christopher L. Gilbert & Herbert A. Rijken, 2006. "How is Futures Trading Affected by the Move to a Computerized Trading System? Lessons from the LIFFE FTSE 100 Contract," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(7‐8), pages 1267-1297, September.
    6. Deqing Diane Li & YingChou Lin & John Jin, 2012. "International Volatility Transmission Of Reit Returns," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(3), pages 41-51.
    7. Helena Chuliá & Hipòlit Torró, 2008. "The economic value of volatility transmission between the stock and bond markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(11), pages 1066-1094, November.

Chapters

    Sorry, no citations of chapters recorded.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.