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Battalio, Robert H. - In: Journal of financial and quantitative analysis : JFQA 32 (1997) 2, pp. 225-238

Persistent link: https://www.econbiz.de/10001224463

Short sales are almost instantaneously bad news : evidence from the Australian Stock Exchange

Aitken, Michael J.; Frino, Alex; MacCorry, Michael S.; … - In: The journal of finance : the journal of the American … 53 (1998) 6, pp. 2205-2223

Persistent link: https://www.econbiz.de/10001251908

Quotes, order flow, and price discovery

Blume, Marshall E. - In: The journal of finance : the journal of the American … 52 (1997) 1, pp. 221-244

Persistent link: https://www.econbiz.de/10001217799

Electronic screen trading and the transmission of information : an empirical examination

Grünbichler, Andreas - In: Journal of financial intermediation 3 (1994) 2, pp. 166-187

Persistent link: https://www.econbiz.de/10001166034

High frequency trading and end-of-day price dislocation

Aitken, Michael J.; Cumming, Douglas J.; Zhan, Feng - In: Journal of banking & finance 59 (2015), pp. 330-349

Persistent link: https://www.econbiz.de/10011544576

High-frequency trading in bond futures markets

Schlepper, Kathi - In: Essays on current phenomena and developments in …, (pp. 25-67). 2016

In this work, I study the impact of high-frequency trading (HFT) on price discovery and volatility in the Bund futures market. Using a new dataset based on microseconds, the focus of the study is on the reaction of high-frequency traders (HFTs) to major macroeconomic news events. I show that...

Persistent link: https://www.econbiz.de/10011545655