Middlemen in Limit Order Markets

215 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

International Evidence on Algorithmic Trading (2015, unknown): “Third, existing evidence suggests that HFT provides liquidity to other traders, and that fast traders act as informal market makers (Brogaard, 2011b; Jovanovic and Menkveld, 2011).”
Risk and Return in High-Frequency Trading (2018, background): “…the use of microwave transmission technologies (Shkilko and Sokolov, 2016) and colocation services (Brogaard, Hagströmer, Nordén, and Riordan, 2015), it is 1 For example, Bongaerts and van Achter (2015), Jovanovic and Menkveld (2015), Aït-Sahalia and Saglam (2014), and Menkveld and Zoican (2017).”
High Frequency Trading (2014, unknown): “Similarly,Jovanovic and Menkveld (2010) find that for the stocks of the Dutch index, one high frequency trader participated in more than 35% of the trades on Chi-X.”
Price Discovery without Trading: Evidence from Limit Orders (2019, unknown): “4 Jovanovic and Menkveld (2015) model a continuously present intermediary who can constantly revise its limit orders as ‘public’ information arrives.”
What Is the Optimal Trading Frequency in Financial Markets (2017, background): “For instance, in Biais, Foucault, and Moinas (2015) and Jovanovic and Menkveld (2012), HFTs have outright fundamental information. In Budish, Cramton, and Shim (2015); Hoffmann (2014), HFTs obtain public news faster than others so they can quickly use market orders to make profit or cancel stale lim”