High-Frequency Trading Competition
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- Brogaard, Jonathan & Garriott, Corey, 2019. "High-Frequency Trading Competition," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(4), pages 1469-1497, August.
References listed on IDEAS
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Citations
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Cited by:
- 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.
- Tomy Lee, 2019.
"Latency in Fragmented Markets,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 128-153, July.
- Tomy Lee, 2019. "Code and data files for "Latency in Fragmented Markets"," Computer Codes 18-287, Review of Economic Dynamics.
- 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.
- Benos, Evangelos & Brugler, James & Hjalmarsson , Erik & Zikes , Filip, 2015. "Interactions among high-frequency traders," Bank of England working papers 523, Bank of England.
- Benes, Evangelos & Brugler, James & Hjalmarsson, Erik & Zikes, Filip, 2016. "Interactions among High-Frequency Traders," Working Papers in Economics 680, University of Gothenburg, Department of Economics.
- Fabrice Rousseau & Herve Boco & Laurent Germain, 2020. "High Frequency Trading: Strategic Competition Between Slow and Fast Traders," Economics, Finance and Accounting Department Working Paper Series n296-20.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
- Baron, Matthew & Brogaard, Jonathan & Hagströmer, Björn & Kirilenko, Andrei, 2019.
"Risk and Return in High-Frequency Trading,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(3), pages 993-1024, June.
- Matthew Baron & Björn Hagströmer & Andrei Kirilenko, 2017. "Risk and Return in High-Frequency Trading," GRU Working Paper Series GRU_2017_018, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
- 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.
- Angerer, Martin & Neugebauer, Tibor & Shachat, Jason, 2019. "Arbitrage bots in experimental asset markets," MPRA Paper 96224, University Library of Munich, Germany.
- Nilabhra Bhattacharya & Bidisha Chakrabarty & Xu (Frank) Wang, 0. "High-frequency traders and price informativeness during earnings announcements," Review of Accounting Studies, Springer, vol. 0, pages 1-44.
- Oliver Linton & Soheil Mahmoodzadeh, 2018.
"Implications of High-Frequency Trading for Security Markets,"
Annual Review of Economics, Annual Reviews, vol. 10(1), pages 237-259, August.
- 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.
- Linton, O. & Mahmoodzadeh, S., 2018. "Implications of High-Frequency Trading for Security Markets," Cambridge Working Papers in Economics 1802, Faculty of Economics, University of Cambridge.
- 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.
- Brolley, Michael & Cimon, David A., 2020.
"Order-Flow Segmentation, Liquidity, and Price Discovery: The Role of Latency Delays,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(8), pages 2555-2587, December.
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- 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).
- Marta Khomyn, 2020. "Essays on Modern Market Structure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2020.
- Ke Xu & Xinwei Zheng & Deng Pan & Li Xing & Xuekui Zhang, 2020. "Stock Market Openness And Market Quality: Evidence From The Shanghai–Hong Kong Stock Connect Program," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 43(2), pages 373-406, May.
- 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.
- Breckenfelder, Johannes, 2019. "Competition among high-frequency traders, and market quality," Working Paper Series 2290, European Central Bank.
- 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.
- Chen, Marie & Garriott, Corey, 2020.
"High-frequency trading and institutional trading costs,"
Journal of Empirical Finance, Elsevier, vol. 56(C), pages 74-93.
- Marie Chen & Corey Garriott, 2018. "High-Frequency Trading and Institutional Trading Costs," Staff Working Papers 18-8, Bank of Canada.
- Henryk Gurgul & Robert Syrek, 2016. "The logarithmic ACD model: The microstructure of the German and Polish stock markets," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 17(1), pages 77-92.
- Aldrich, Eric M. & Friedman, Daniel, 2017. "Order protection through delayed messaging," Discussion Papers, Research Professorship Market Design: Theory and Pragmatics SP II 2017-502, WZB Berlin Social Science Center.
- Zura Kakushadze & Juan Andrés Serur, 2018. "151 Trading Strategies," Springer Books, Springer, number 978-3-030-02792-6, March.
More about this item
Keywords
Financial markets; Market structure and pricing;JEL classification:
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- L1 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2014-05-24 (Corporate Finance)
- NEP-MST-2014-05-24 (Market Microstructure)
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