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The behavior of high-frequency traders under different market stress scenarios
Megarbane, Nicolas; Saliba, Pamela; Lehalle, Charles-Albert - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-54
Persistent link: https://www.econbiz.de/10011988891
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Trading and ordering patterns of market participants in high frequency trading environment : empirical study in the Japanese stock market
Saito, Taiga; Adachi, Takanori; Nakatsuma, Teruo; … - In: Asia-Pacific financial markets 25 (2018) 3, pp. 179-220
Persistent link: https://www.econbiz.de/10012033008
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Ultra-fast activity and intraday market quality
Cartea, Álvaro; Payne, Richard; Penalva, José; Tapia, … - In: Journal of banking & finance 99 (2019), pp. 157-181
Persistent link: https://www.econbiz.de/10012162376
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Financial price fluctuations in a stock market model with many interacting agents
Horst, Ulrich - 2001
Persistent link: https://www.econbiz.de/10001609562
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Ergodic fluctuations in a stock market model with interacting agents
Horst, Ulrich - 1999
Persistent link: https://www.econbiz.de/10001470275
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Financial price fluctuations in a stock market model with many interacting agents
Horst, Ulrich - In: Economic theory : official journal of the Society for … 25 (2005) 4, pp. 917-932
Persistent link: https://www.econbiz.de/10002790238
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Financial price fluctuations in a stock market model with many interacting agents
Horst, Ulrich - 2001
We consider a financial market model with a large number of interacting agents. Investors are heterogeneous in their expectations about the future evolution of an asset price process. Their current expectation is based on the previous states of their "neighbors" and on a random signal about the...
Persistent link: https://www.econbiz.de/10009613599
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Does high frequency algorithmic trading matter for non-AT investors?
Kelejian, Harry H.; Mukerji, Purba - In: Research in international business and finance 37 (2016), pp. 78-92
Persistent link: https://www.econbiz.de/10011595131
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Algorithmic trading : intraday profitability and trading behavior
Arumugam, Devika - In: Economic modelling 128 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10014464406
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Volatility of order imbalance of institutional traders and expected asset returns : evidence from Taiwan
Huang, Hong-Gia; Tsai, Wei-Che; Weng, Pei-Shih; Wu, … - In: Journal of financial markets 52 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10013266271