The Externalities of High Frequency Trading

By Mao Ye, Chengxi Yao, Jiading Gai. 2013

143 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/bf50769e21ef102f8c96b0406e0b8ac5319d6d2e

Citations in the corpus

• News Trading and Speed (2012, unknown): “That is, we solve for βk t and γ k t so that the strategy defined in equation (10) maximizes the informed trader’s expected profit (2).”
• High‐Frequency Trading around Large Institutional Orders (2019, unknown): “…studies document a negative correlation (Hasbrouck and Saar, 2013; Chaboud, Chiquoine, Hjalmarsson, and Vega, 2014; Hasbrouck, 2015) whereas others document a positive correlation (Gao and Mizrach, 2013; Ye, Yao, and Gai, 2013; Boehmer, Fong, and Wu, 2014; Kirilenko, Kyle, Samadi, and Tuzun, 2014).”