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Order-to-trade ratios and market liquidity

Citations

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Cited by:

  1. Ladley, Daniel, 2020. "The high frequency trade off between speed and sophistication," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
  2. 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).
  3. Poutré, Cédric & Dionne, Georges & Yergeau, Gabriel, 2023. "International high-frequency arbitrage for cross-listed stocks," International Review of Financial Analysis, Elsevier, vol. 89(C).
  4. 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.
  5. Shahadat Hossain, 2022. "High-Frequency Trading (HFT) and Market Quality Research: An Evaluation of the Alternative HFT Proxies," JRFM, MDPI, vol. 15(2), pages 1-31, January.
  6. 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.
  7. 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.
  8. Sandra Ferreruela & Daniel Martín, 2022. "Market Quality and Short-Selling Ban during the COVID-19 Pandemic: A High-Frequency Data Approach," JRFM, MDPI, vol. 15(7), pages 1-29, July.
  9. 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.
  10. Capelle-Blancard, Gunther, 2017. "Curbing the growth of stock trading? Order-to-trade ratios and financial transaction taxes," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 49(C), pages 48-73.
  11. Nikolsko-Rzhevska, Olena & Nikolsko-Rzhevskyy, Alex & Black, Jeffrey R., 2020. "The life of U’s: Order revisions on NASDAQ," Journal of Banking & Finance, Elsevier, vol. 111(C).
  12. Thiago W. Alves & Ionuţ Florescu & Dragoş Bozdog, 2023. "Insights on the Statistics and Market Behavior of Frequent Batch Auctions," Mathematics, MDPI, vol. 11(5), pages 1-26, March.
  13. 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.
  14. Antonio Figueiredo & Pankaj Jain & Suchismita Mishra, 2023. "The role of fleeting orders on option expiration days," Quantitative Finance, Taylor & Francis Journals, vol. 23(10), pages 1511-1529, October.
  15. 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.
  16. 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.
  17. 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.
  18. Aggarwal, Nidhi & Panchapagesan, Venkatesh & Thomas, Susan, 2023. "When is the order-to-trade ratio fee effective?," Journal of Financial Markets, Elsevier, vol. 62(C).
  19. Nidhi Aggarwal & Venkatesh Panchapagesan & Susan Thomas, 2019. "When do regulatory interventions work?," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2019-011, Indira Gandhi Institute of Development Research, Mumbai, India.
  20. 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).
  21. Cox, Justin & Woods, Donovan, 2023. "COVID-19 and market structure dynamics," Journal of Banking & Finance, Elsevier, vol. 147(C).
  22. Veryzhenko, Iryna & Harb, Etienne & Louhichi, Waël & Oriol, Nathalie, 2017. "The impact of the French financial transaction tax on HFT activities and market quality," Economic Modelling, Elsevier, vol. 67(C), pages 307-315.
  23. 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.
  24. 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).
  25. 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.
  26. Sandrine Jacob Leal & Mauro Napoletano, 2017. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading," Post-Print hal-01768876, HAL.
  27. Iryna Veryzhenko & Lise Arena, 2017. "A Reexamination of High Frequency Trading Regulation Effectiveness in an Artificial Market Framework," Post-Print halshs-01444738, HAL.
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