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High-Frequency Trading around Large Institutional Orders

Citations

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Cited by:

  1. 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.
  2. Mateusz Wilinski & Anubha Goel & Alexandros Iosifidis & Juho Kanniainen, 2025. "Classifying and Clustering Trading Agents," Papers 2505.21662, arXiv.org.
  3. Georges Dionne & Xiaozhou Zhou, 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.
  4. 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.
  5. Arumugam, Devika, 2023. "Algorithmic trading: Intraday profitability and trading behavior," Economic Modelling, Elsevier, vol. 128(C).
  6. 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).
  7. 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).
  8. van Kervel, Vincent & Kwan, Amy & Westerholm, P. Joakim, 2023. "Order splitting and interacting with a counterparty," Journal of Financial Markets, Elsevier, vol. 66(C).
  9. 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.
  10. 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.
  11. Berle, Erika & He, Wanwei (Angela) & Ødegaard, Bernt Arne, 2025. "The stock market and corporate consequences of ethical exclusions by the world’s largest fund," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 102(C).
  12. Ayad Assoil & Ndéné Ka & Jules Sadefo-Kamdem, 2021. "Analysis of the dynamic relationship between liquidity proxies and returns on the French CAC 40 index," SN Business & Economics, Springer, vol. 1(10), pages 1-23, October.
  13. 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.
  14. Chen, Marie & Garriott, Corey, 2020. "High-frequency trading and institutional trading costs," Journal of Empirical Finance, Elsevier, vol. 56(C), pages 74-93.
  15. Jean-Edouard Colliard, 2017. "Catching Falling Knives: Speculating on Liquidity Shocks," Management Science, INFORMS, vol. 63(8), pages 2573-2591, August.
  16. Bellia, Mario & Pelizzon, Loriana & Subrahmanyam, Marti & Uno, Jun & Yuferova, Darya, 2017. "Coming early to the party," SAFE Working Paper Series 182, Leibniz Institute for Financial Research SAFE.
    • 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".
  17. repec:osf:socarx:qe6tu_v1 is not listed on IDEAS
  18. 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.
  19. Ziyi Xu & Xue Cheng, 2024. "Trading Large Orders in the Presence of Multiple High-Frequency Anticipatory Traders," Papers 2403.08202, arXiv.org.
  20. 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.
  21. Charles-Albert Lehalle & Eyal Neuman, 2019. "Incorporating signals into optimal trading," Finance and Stochastics, Springer, vol. 23(2), pages 275-311, April.
  22. Czech, Robert & Huang, Shiyang & Lou, Dong & Wang, Tianyu, 2021. "Informed trading in government bond markets," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1253-1274.
  23. 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.
  24. Akey, Pat & Grégoire, Vincent & Martineau, Charles, 2021. "Price Revelation from Insider Trading: Evidence from Hacked Earnings News," SocArXiv qe6tu, Center for Open Science.
  25. Jasmin Gider & Simon N. M. Schmickler & Christian Westheide, 2021. "High-Frequency Trading and Price Informativeness," CRC TR 224 Discussion Paper Series crctr224_2021_257, University of Bonn and University of Mannheim, Germany.
  26. Sean Foley & Tom G Meling & Bernt Arne Ødegaard, 2023. "Tick Size Wars: The Market Quality Effects of Pricing Grid Competition," Review of Finance, European Finance Association, vol. 27(2), pages 659-692.
  27. Foucault, T., 2016. "Where are the risks in high frequency trading?," Financial Stability Review, Banque de France, issue 20, pages 53-67, April.
  28. 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.
  29. 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.
  30. 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.
  31. 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.
  32. 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.
  33. Brugler, James & Comerton-Forde, Carole, 2025. "Differential access to dark markets and execution outcomes," Journal of Financial Economics, Elsevier, vol. 171(C).
  34. 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).
  35. John Paul Broussard & Andrei Nikiforov & Sergey Osmekhin, 2025. "The market ecosystem in the age of algorithms: An analysis of trading dynamics and market quality," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 49(2), pages 343-363, June.
  36. Liou, Jyh-Hwa & Liu, Yun-Ti & Cheng, Li-Chen, 2024. "Price spread prediction in high-frequency pairs trading using deep learning architectures," International Review of Financial Analysis, Elsevier, vol. 96(PB).
  37. 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.
  38. 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.
  39. Deng, Mengdie & Lin, Tse-Chun & Zhou, Jiayu, 2024. "Does better liquidity for large orders attract institutional investors and analysts? Evidence from the Tick Size Pilot Program," Journal of Financial Markets, Elsevier, vol. 67(C).
  40. 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.
  41. 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.
  42. repec:osf:socarx:zurfk_v1 is not listed on IDEAS
  43. 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).
  44. 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.
  45. Nicholas Hirschey, 2021. "Do High-Frequency Traders Anticipate Buying and Selling Pressure?," Management Science, INFORMS, vol. 67(6), pages 3321-3345, June.
  46. 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.
  47. Corey Garriot & Ryan Riordan, 2020. "Trading on Long-term Information," Staff Working Papers 20-20, Bank of Canada.
  48. Xin Guo & Charles-Albert Lehalle & Renyuan Xu, 2022. "Transaction cost analytics for corporate bonds," Quantitative Finance, Taylor & Francis Journals, vol. 22(7), pages 1295-1319, July.
  49. Karolis Liaudinskas, 2022. "Human vs. Machine: Disposition Effect among Algorithmic and Human Day Traders," Working Paper 2022/6, Norges Bank.
  50. Xue Cheng & Meng Wang & Ziyi Xu, 2024. "Mean Field Game of High-Frequency Anticipatory Trading," Papers 2404.18200, arXiv.org.
  51. Rzayev, Khaladdin & Savaser, Tanseli & Sisli-Ciamarra, Elif, 2025. "Dark Trading and Stock-based CEO Pay," Journal of Corporate Finance, Elsevier, vol. 94(C).
  52. Ranaldo, Angelo & Somogyi, Fabricius, 2021. "Asymmetric information risk in FX markets," Journal of Financial Economics, Elsevier, vol. 140(2), pages 391-411.
  53. 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.
  54. Garriott, Corey & van Kervel, Vincent & Zoican, Marius, 2025. "Queuing and inventories in limit order markets," Journal of Financial Markets, Elsevier, vol. 75(C).
  55. 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, revised May 2024.
  56. Eisele, Alexander & Nefedova, Tamara & Parise, Gianpaolo & Peijnenburg, Kim, 2020. "Trading out of sight: An analysis of cross-trading in mutual fund families," Journal of Financial Economics, Elsevier, vol. 135(2), pages 359-378.
  57. Michael Goldstein & Amy Kwan & Richard Philip, 2023. "High-Frequency Trading Strategies," Management Science, INFORMS, vol. 69(8), pages 4413-4434, August.
  58. 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.
  59. 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.
  60. Cox, Justin & Woods, Donovan, 2023. "COVID-19 and market structure dynamics," Journal of Banking & Finance, Elsevier, vol. 147(C).
  61. 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.
  62. 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).
  63. Andrea Barbon & Marco Di Maggio & Francesco Franzoni & Augustin Landier, 2019. "Brokers and Order Flow Leakage: Evidence from Fire Sales," Journal of Finance, American Finance Association, vol. 74(6), pages 2707-2749, December.
  64. Onur, Esen & Roberts, John S. & Tuzun, Tugkan, 2023. "Trader positions and aggregate portfolio demand," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
  65. 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.
  66. 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).
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