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Tick size, competition for liquidity provision, and price discovery : evidence from the u.s. treasury market

Fleming, Michael J.; Nguyen, Giang H.; Ruela, Francisco - In: Management science : journal of the Institute for … 70 (2024) 1, pp. 332-354

Persistent link: https://www.econbiz.de/10014470002

High price impact trades identification and its implication for volatility and price efficiency

Dionne, Georges; Zhou, Xiaozhou - 2024

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High price impact trades identification and its implication for volatility and price efficiency

Dionne, Georges; Zhou, Xiaozhou - 2024

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The implications of high-frequency trading on market efficiency and price discovery

Manahov, Viktor; Hudson, Robert - In: Applied economics letters 21 (2014) 16/18, pp. 1148-1151

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Attention : how high-frequency trading improves price efficiency following earnings announcements

Chakrabarty, Bidisha; Moulton, Pamela C.; Wang, Xu - In: Journal of financial markets 57 (2022), pp. 1-20

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High-frequency trading and price informativeness

Gider, Jasmin; Schmickler, Simon; Westheide, Christian - 2019

We study how stock price informativeness changes with the presence of highfrequency trading (HFT). Our estimate is based on the staggered start of HFT participation in a panel of international exchanges. With HFT presence market prices are a less reliable predictor of future cash ows and...

Persistent link: https://www.econbiz.de/10012062192

High-frequency trading and price informativeness

Gider, Jasmin; Schmickler, Simon; Westheide, Christian - 2019

We study how the informativeness of stock prices changes with the presence of high-frequency trading (HFT). Our estimate is based on the staggered start of HFT participation in a panel of international exchanges. With HFT presence, market prices are a less reliable predictor of future cash flows...

Persistent link: https://www.econbiz.de/10011990090

Judgment day: algorithmic trading around the Swiss franc cap removal

Breedon, Francis J.; Chen, Louisa; Ranaldo, Angelo; … - 2019

Persistent link: https://www.econbiz.de/10012101494

High-frequency trading in the U.S. treasury market around macroeconomic news announcements

Jiang, George J.; Lo, Ingrid; Valente, Giorgio - 2018

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Are high-frequency traders informed?

Anagnostidis, Panagiotis; Fontaine, Patrice; … - In: Economic modelling 93 (2020), pp. 365-383

Persistent link: https://www.econbiz.de/10012430169