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High frequency trading and comovement in financial markets
Malceniece, Laura; Malcenieks, Kārlis; Putniņš, Tālis J. - In: Journal of financial economics 134 (2019) 2, pp. 381-399
Persistent link: https://www.econbiz.de/10012166913
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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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High frequency traders and the price process
Aït-Sahalia, Yacine; Brunetti, Celso - In: Journal of econometrics 217 (2020) 1, pp. 20-45
Persistent link: https://www.econbiz.de/10012482736
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Multiple markets, algorithmic trading, and market liquidity
Upson, James; Van Ness, Robert A. - In: Journal of financial markets 32 (2017), pp. 49-68
Persistent link: https://www.econbiz.de/10011814965
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Phantom Liquidity and High Frequency Quoting
Blocher, Jesse - 2019
This paper examines every NASDAQ ITCH feed message for the S&P 500 stocks for 2012 and identifies clusters of extremely high and extremely low limit order cancellation activity. We find results consistent with the ideas that cancel clusters are the result of high frequency traders jockeying for...
Persistent link: https://www.econbiz.de/10012903353
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The impact of algorithmic trading in a simulated asset market
Mukerji, Purba; Chung, Christine; Walsh, Timothy; Xiong, Bo - In: Journal of risk and financial management : JRFM 12 (2019) 2/68, pp. 1-11
level of market uncertainty and the degree of algorithmic versus human trading. Our results show that liquidity increases … initially as AT rises to about 10% share of the market; beyond this point, liquidity increases only marginally. Statistical …
Persistent link: https://www.econbiz.de/10012022150
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High frequency traders in a simulated market
Hanson, Thomas A. - In: Review of accounting & finance 15 (2016) 3, pp. 329-351
Persistent link: https://www.econbiz.de/10011607960
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The impact of the French financial transaction tax on HFT activities and market quality
Veryzhenko, Iryna; Harb, Etienne; Louhichi, Waël; … - In: Economic modelling 67 (2017), pp. 307-315
Persistent link: https://www.econbiz.de/10011813833
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High-Frequency Trading and its Impact on Market Liquidity : A Review of Literature
Ersan, Oguz; Dalgic, Nihan; Ekinci, Cumhur; Bodur, Mehmet - 2021
on liquidity in an attempt to explain the coexistence of evidence regarding both the positive and the negative impacts of … shocks, through which HFT trading patterns may sharply change. Latter regards the certain characteristics of HFT liquidity …
Persistent link: https://www.econbiz.de/10013244236
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Algorithmic and High Frequency Trading in Dynamic Limit Order Markets
Bernales, Alejandro - 2019
We present a dynamic equilibrium model to understand differences and interactions between informational and trading speed advantages. The model is a stochastic asynchronous game, with endogenous trading decisions and non-cooperation among agents, in a limit order market. We show that welfare and...
Persistent link: https://www.econbiz.de/10012905144