Trading and Exchanges: Market Microstructure for Practitioners

By Lawrence E. Harris. 2002

784 citations recorded by the source corpus.

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Citations in the corpus

The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2015, background): “Readers interested in further details should consult Harris (2002).”
DeepLOB: Deep Convolutional Neural Networks for Limit Order Books (2018, background): “For classical references on market microstructure the reader is referred to [48], [49] and for a short review on LOBs in particular we refer to [7].”
Demystifying Time‐Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations (2020, unknown): “Market participants estimate implicit transaction costs using specified price benchmark methods and econometric transaction cost estimation methods (Harris 2002).”
Limit order books (2010, background): “Harris (2003) provided a comprehensive review of specific details governing particular exchanges.”
Financial reporting quality and idiosyncratic return volatility (2011, background): “Harris (2003) argues that “transitory volatility is due to trading activity by uninformed traders.””
Designating Market Maker Behaviour in Limit Order Book Markets (2015, background): “The second category of definitions, proposed by Garbade [1982] and Harris [2002] was concerned with liquidity replenishment.”
Limit Order Markets: A Survey 1 (2008, background): “Harris (2003) reviews lessons and insights of microstructure research for practitioners and policy makers.”
A one-level limit order book model with memory and variable spread (2017, background): “Other than limit orders and market orders, cancellation of limit orders is another common operation, which accounts for a considerably large fraction of the events in an order book (cf. Harris [10]).”
Bitcoin - Asset or Currency? Revealing Users' Hidden Intentions (2014, background): “Sellers can ask for higher and higher prices, as there are people willing to pay higher prices for a good with limited supply (Harris, 2003).”
Secondary Trading Costs in the Municipal Bond Market (2006, background): “His data 9 Chapter 21 of Harris (2003) and the associated bibliography describe these methods.”
Failure to Launch: Critical Mass in Platform Businesses (2010, unknown): “13 See Harris (2002) and O’Hara (1995) on this literature.”
Bagehot was a Shadow Banker: Shadow Banking, Central Banking, and the Future of Global Finance (2013, unknown): “Dealers supply market liquidity by quoting a two ‐ sided market and absorbing the resulting order flow on their balance sheets (Harris 2003).”
Decision Making in the Stock Market: Incorporating Psychology with Finance (2008, background): “Harris, L. (2003). Trading and Exchanges: Market Microstructure for Practitioners, Oxford University Press New York, 353-367. Heller, R. (2000). Warren Buffet: The Man who made Billion with a Unique Investment Strategy Dorling Kindersley, London. Hirschey, Mark and John Nofsinger (2008). Invest”
Enhancing quantitative intra-day stock return prediction by integrating both market news and stock prices information (2014, background): “With the advancement of the algorithmic trading [18,22], the reporting speed and the volume of market data have been increasing significantly.”