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High-Frequency Quoting: Short-Term Volatility in Bids and Offers

Citations

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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. Joel Hasbrouck, 2021. "Price Discovery in High Resolution," Journal of Financial Econometrics, Oxford University Press, vol. 19(3), pages 395-430.
  3. Banerjee, Anirban & Roy, Prince, 2023. "High-frequency traders’ evolving role as market makers," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
  4. Aquilina, Matteo & Foley, Sean & O'Neill, Peter & Ruf, Thomas, 2024. "Sharks in the dark: Quantifying HFT dark pool latency arbitrage," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
  5. Nicholas Hirschey, 2021. "Do High-Frequency Traders Anticipate Buying and Selling Pressure?," Management Science, INFORMS, vol. 67(6), pages 3321-3345, June.
  6. Aggarwal, Nidhi & Panchapagesan, Venkatesh & Thomas, Susan, 2023. "When is the order-to-trade ratio fee effective?," Journal of Financial Markets, Elsevier, vol. 62(C).
  7. 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.
  8. Abad, David & Massot, Magdalena & Nawn, Samarpan & Pascual, Roberto & Yagüe, José, 2025. "Message traffic and short-term illiquidity in high-speed markets," Emerging Markets Review, Elsevier, vol. 65(C).
  9. Jian Chen & Ahmad Haboub & Ali Khan & Syed Mahmud, 2025. "Investor clientele and intraday patterns in the cross section of stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 64(2), pages 757-797, February.
  10. Wu, Ming & Ohk, Ki Yool, 2023. "Who benefits more? Shanghai-Hong Kong stock Connect—“Through Train”," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 409-427.
  11. Zhicheng Li & Haipeng Xing, 2022. "High-Frequency Quote Volatility Measurement Using a Change-Point Intensity Model," Mathematics, MDPI, vol. 10(4), pages 1-24, February.
  12. 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).
  13. 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.
  14. Zhang, Hanyu & Dufour, Alfonso, 2019. "Modeling intraday volatility of European bond markets: A data filtering application," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 131-146.
  15. Conlon, Thomas & Cotter, John & Gençay, Ramazan, 2018. "Long-run wavelet-based correlation for financial time series," European Journal of Operational Research, Elsevier, vol. 271(2), pages 676-696.
  16. Li, Mingsheng & Liu, Desheng & Peng, Hongfeng & Zhang, Luxiu, 2020. "Does low synchronicity mean more or less informative prices? Evidence from an emerging market," Journal of Financial Stability, Elsevier, vol. 51(C).
  17. Vladimir Petrov & Anton Golub & Richard Olsen, 2019. "Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time," JRFM, MDPI, vol. 12(2), pages 1-31, April.
  18. Conrad, Jennifer & Wahal, Sunil, 2020. "The term structure of liquidity provision," Journal of Financial Economics, Elsevier, vol. 136(1), pages 239-259.
  19. Ge, Hengshun & Yang, Haijun & Doukas, John A., 2024. "The optimal strategies of competitive high-frequency traders and effects on market liquidity," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 653-679.
  20. Tveito, Andreas, 2019. "Coordination and price leadership in an unregulated environment," Working Papers in Economics 4/19, University of Bergen, Department of Economics.
  21. Armstrong, Will J. & Cardella, Laura & Sabah, Nasim, 2021. "Information shocks, disagreement, and drift," Journal of Financial Economics, Elsevier, vol. 140(3), pages 916-940.
  22. Gangadhar Nayak & Amit Kumar Singh & Dilip Senapati, 2021. "Computational Modeling of Non-Gaussian Option Price Using Non-extensive Tsallis’ Entropy Framework," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1353-1371, April.
  23. Cenesizoglu, Tolga & Dionne, Georges & Zhou, Xiaozhou, 2022. "Asymmetric effects of the limit order book on price dynamics," Journal of Empirical Finance, Elsevier, vol. 65(C), pages 77-98.
  24. Aditya Nittur Anantha & Shashi Jain, 2024. "Forecasting High Frequency Order Flow Imbalance," Papers 2408.03594, arXiv.org.
  25. 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).
  26. 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.
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