Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Austin Gerig, 2012. "High-Frequency Trading Synchronizes Prices in Financial Markets," Papers 1211.1919, arXiv.org.
- Gerig, Austin & Michayluk, David, 2017.
"Automated liquidity provision,"
Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 1-13.
- Austin Gerig & David Michayluk, 2010. "Automated Liquidity Provision and the Demise of Traditional Market Making," Papers 1007.2352, arXiv.org.
- Austin Gerig & David Michayluk, 2014. "Automated Liquidity Provision," Research Paper Series 345, Quantitative Finance Research Centre, University of Technology, Sydney.
- Gode, Dhananjay K & Sunder, Shyam, 1993.
"Allocative Efficiency of Markets with Zero-Intelligence Traders: Market as a Partial Substitute for Individual Rationality,"
Journal of Political Economy, University of Chicago Press, vol. 101(1), pages 119-137, February.
- Gode, D.K. & Sunder, S., 1991. "Allocative Efficiency of Markets with Zero Intelligence (Z1) Traders: Market as a Partial Substitute for Individual Rationality," GSIA Working Papers 1992-16, Carnegie Mellon University, Tepper School of Business.
- Hasbrouck, Joel & Saar, Gideon, 2013. "Low-latency trading," Journal of Financial Markets, Elsevier, vol. 16(4), pages 646-679.
- Jonathan Brogaard & Terrence Hendershott & Ryan Riordan, 2014.
"High-Frequency Trading and Price Discovery,"
The Review of Financial Studies, Society for Financial Studies, vol. 27(8), pages 2267-2306.
- Brogaard, Jonathan & Hendershott, Terrence & Riordan, Ryan, 2013. "High frequency trading and price discovery," Working Paper Series 1602, European Central Bank.
- 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.
- 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).
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- 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.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Gerig, Austin & Michayluk, David, 2017.
"Automated liquidity provision,"
Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 1-13.
- Austin Gerig & David Michayluk, 2014. "Automated Liquidity Provision," Research Paper Series 345, Quantitative Finance Research Centre, University of Technology, Sydney.
- Austin Gerig & David Michayluk, 2010.
"Automated Liquidity Provision and the Demise of Traditional Market Making,"
Papers
1007.2352, arXiv.org.
- Austin Gerig & David Michayluk, 2014. "Automated Liquidity Provision," Research Paper Series 345, Quantitative Finance Research Centre, University of Technology, Sydney.
- 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.
- 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.
- 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).
- 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).
- Tobias Adrian & Agostino Capponi & Michael J. Fleming & Erik Vogt & Hongzhong Zhang, 2016. "Intraday market making with overnight inventory costs," Staff Reports 799, Federal Reserve Bank of New York.
- Adrian, Tobias & Capponi, Agostino & Vogt, Erik & Zhang, Hongzhong, 2017. "Intraday Market Making with Overnight Inventory Costs," CEPR Discussion Papers 12245, C.E.P.R. Discussion Papers.
- Breedon, Francis & Chen, Louisa & Ranaldo, Angelo & Vause, Nicholas, 2023.
"Judgment day: Algorithmic trading around the Swiss franc cap removal,"
Journal of International Economics, Elsevier, vol. 140(C).
- 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.
- Francis Breedon & Louisa Chen & Angelo Ranaldo & Nicholas Vause, 2019. "Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal," Working Papers on Finance 1912, University of St. Gallen, School of Finance.
- Breedon, Francis & Chen, Louisa & Ranaldo, Angelo & Vause, Nicholas, 2018. "Judgement Day: algorithmic trading around the Swiss franc cap removal," Bank of England working papers 711, Bank of England.
- 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).
- Aït-Sahalia, Yacine & Brunetti, Celso, 2020. "High frequency traders and the price process," Journal of Econometrics, Elsevier, vol. 217(1), pages 20-45.
- 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.
- Markus Baldauf & Joshua Mollner, 2015. "High-Frequency Trading and Market Performance," Discussion Papers 15-017, Stanford Institute for Economic Policy Research.
- 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.
- Ligot, Stephanie & Gillet, Roland & Veryzhenko, Iryna, 2021.
"Intraday volatility smile: Effects of fragmentation and high frequency trading on price efficiency,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
- 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.
- 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).
- Zheng, Jiayi & Zhu, Yushu, 2023. "Algorithmic trading and block ownership initiation: An information perspective," The British Accounting Review, Elsevier, vol. 55(4).
- 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).
- Mark Paddrik & Roy Hayes & William Scherer & Peter Beling, 2017.
"Effects of limit order book information level on market stability metrics,"
Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(2), pages 221-247, July.
- 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.
- 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.
- 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.
- 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.
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2013-11-22 (Financial Markets)
- NEP-MST-2013-11-22 (Market Microstructure)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1311.4160. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.