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High Frequency Traders and Market Structure
Menkveld, Albert J. - 2014
The arrival of high-frequency traders (HFTs) coincided with the entry of new markets and, subsequently, strong fragmentation of the order flow. These trends might be related as new markets serve HFTs who seek low fees and high speed. New markets only thrive on competitive price quotes which...
Persistent link: https://www.econbiz.de/10013066833
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Modelling intervalling effect of high frequency trading on portfolio volatility
Hong, KiHoon - In: Theoretical economics letters 9 (2019) 7, pp. 2362-2370
Persistent link: https://www.econbiz.de/10012213747
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Modelling intervalling effect of high frequency trading on portfolio volatility
Hong, KiHoon - In: Inventi impact: supply chain & logistics (2020) 1, pp. 56-64
Persistent link: https://www.econbiz.de/10012314621
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Fast and slow informed trading
Roşu, Ioanid - In: Journal of financial markets 43 (2019), pp. 1-30
Persistent link: https://www.econbiz.de/10012316293
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Price impact and bursts in liquidity provision
Gençay, Ramazan; Mahmoodzadeh, S.; Rojček, Jakub; … - In: Quantitative finance 18 (2018) 7, pp. 1129-1148
Persistent link: https://www.econbiz.de/10011911529
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An agent-based model of intra-day financial markets dynamics
Staccioli, Jacopo; Napoletano, Mauro - In: Journal of economic behavior & organization : JEBO 182 (2021), pp. 331-348
Persistent link: https://www.econbiz.de/10012598343
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Intraday phenomena in financial markets
Thyrsgaard, Martin - 2019
Persistent link: https://www.econbiz.de/10012519528
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When overconfident traders meet feedback traders
Boco, Herve; Germain, Laurent; Rousseau, Fabrice - In: Finance : revue de l'Association Française de Finance 42 (2021) 3, pp. 7-55
Persistent link: https://www.econbiz.de/10012792321
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Commonality in FX liquidity : high-frequency evidence
Sensoy, Ahmet; Uzun, Sevcan; Lucey, Brian M. - In: Finance research letters 39 (2021), pp. 1-9
Persistent link: https://www.econbiz.de/10012805184
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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