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The impact of automation and high frequency trading on market quality

Litzenberger, Robert H.; Castura, Jeff; Gorelick, Richard - In: Annual review of financial economics 4 (2012), pp. 59-98

Persistent link: https://www.econbiz.de/10009690342

A limit order book model for latency arbitrage

Cohen, Samuel N.; Szpruch, Lukasz - In: Mathematics and financial economics 6 (2012) 3, pp. 211-227

Persistent link: https://www.econbiz.de/10009624627

Does broker anonymity hide informed traders?

Lepone, Andrew; Segara, Reuben; Wong, Brad - In: Transparency and governance in a global world, (pp. 287-317). 2012

Persistent link: https://www.econbiz.de/10009708452

Very fast money : high-frequency trading on the NASDAQ

Carrion, Allen - In: Journal of financial markets 16 (2013) 4, pp. 680-711

Persistent link: https://www.econbiz.de/10010242212

Price impact of aggressive liquidity provision

Gençay, Ramazan; Mahmoodzadeh, Soheil; Rojček, Jakub; … - 2016

This paper analyzes brief episodes of high-intensity quotes turnover and revision-"bursts" in quotes-in the U.S. equity market. Such events occur very frequently, several hundred times a day for actively traded stocks. We find significant price impact associated with these market makers...

Persistent link: https://www.econbiz.de/10011516027

Equity trading in the 21st century

Angel, James Joseph; Harris, Lawrence E.; Spatt, Chester S. - In: The quarterly journal of finance 1 (2011) 1, pp. 1-53

Persistent link: https://www.econbiz.de/10009270182

Electronic vs. open outcry : side-by-side trading of KCBT wheat futures

Shah, Samarth; Brorsen, B. Wade - In: Journal of agricultural and resource economics : JARE ; … 36 (2011) 1, pp. 48-62

Persistent link: https://www.econbiz.de/10009231956

The information content of an open limit-order book

Cao, Charles Q.; Hansch, Oliver; Wang, Xiaoxin - In: The journal of futures markets 29 (2009) 1, pp. 16-41

Persistent link: https://www.econbiz.de/10003826609

Depth characteristics for the electronic futures limit order book

Aidov, Alexandre; Daigler, Robert T. - In: The journal of futures markets 35 (2015) 6, pp. 542-560

Persistent link: https://www.econbiz.de/10011405409

Implementation details for frequent batch auctions : slowing down markets to the blink of an eye

Budish, Eric B.; Cramton, Peter C.; Shim, John - In: The American economic review 104 (2014) 5, pp. 418-424

Persistent link: https://www.econbiz.de/10010390138

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