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A descriptive study of high-frequency trade and quote option data

Andersen, Torben; Archakov, Ilya; Grund, Leon; Hautsch, … - In: Journal of financial econometrics 19 (2021) 1, pp. 128-177

Persistent link: https://www.econbiz.de/10012504324

High-Frequency Trading (HFT) and market quality research : an evaluation of the alternative HFT proxies

Hossain, Shahadat - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-31

We examine the soundness of high-frequency trading (HFT) proxies that are widely defined on the limit order book (LOB) information. We use a unique TRTH (Thomson Reuters Tick History) millisecond time-stamped intraday trades and quotes dataset enriched with 10 levels of LOB depth messages for...

Persistent link: https://www.econbiz.de/10012818174

Determinants of price reversal in high-frequency trading : empirical evidence from Indonesia

Santosa, Perdana Wahyu - In: Investment management and financial innovations 17 (2020) 1, pp. 175-187

Persistent link: https://www.econbiz.de/10012300573

High-frequency trading : insights from analytical models and simulated agent-based models

Kalimullina, Lina - 2019

Persistent link: https://www.econbiz.de/10012195053

GetHFData: a R package for downloading and aggregating high frequency trading data from Bovespa

Perlin, Marcelo Scherer; Ramos, Henrique P. - In: Revista Brasileira de Finanças : RBFin 14 (2016) 3, pp. 443-478

Persistent link: https://www.econbiz.de/10011654254

Parketthandel versus Computerhandel : Ergebnisse für den deutschen Aktienmarkt

Theissen, Erik - In: Informationssysteme in der Finanzwirtschaft : mit 35 …, (pp. 171-186). 1998

Persistent link: https://www.econbiz.de/10001303901

The initiation and withdrawal of odd-eighth quotes among Nasdaq stocks : an empirical analysis

Christie, William G.; Schultz, Paul H. - In: Journal of financial economics 52 (1999) 3, pp. 409-442

Persistent link: https://www.econbiz.de/10001394619

The influence of electronic trading on bid-ask spreads : new evidence from European bond futures

Ap Gwilym, Owain - In: The journal of fixed income 8 (1998) 1, pp. 7-19

Persistent link: https://www.econbiz.de/10001246662

Extreme price clustering in the London equity index futures and options markets

Ap Gwilym, Owain - In: Journal of banking & finance 22 (1998) 9, pp. 1193-1206

Persistent link: https://www.econbiz.de/10001249317

Dealer markets under stress : the performance of NASDAQ market makers during the November 15, 1991, market break

Christie, William G. - In: Journal of financial services research : JFSR 13 (1998) 3, pp. 205-229

Persistent link: https://www.econbiz.de/10001250345

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