High Frequency Trading

By Adrienne G. Gonzalo. 2014

384 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/dc7ab80d61f8d731eb39d19da95e74e4ba2cd6ee

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Citations in the corpus

News-Driven Return Reversals: Liquidity Provision Ahead of Earnings Announcements (2014, neutral): “…composition of liquidity providers such as increased involvement from high-frequency traders that attempt to avoid holding inventories overnight (Brogaard, Hendershott, and Riordan, 2013).11 While disentangling these potential explanations is beyond the scope of this paper, the figure…”
A Dynamic Limit Order Market with Fast and Slow Traders (2014, background): “Lemma 2 implies (via equation (2)) that the endogenous outside option of posting limit orders is more valuable for FTs than for STs, which is natural given their ability to revise their limit orders conditional on the arrival of a ST in the next period.”
Designating Market Maker Behaviour in Limit Order Book Markets (2015, background): “The second class is that of Generalised Additive Models for Location, Shape 1[Chlistalla et al., 2011] notes that the average order size is one-eighth of that of fifteen years ago, in terms of number of shares, and one-third in dollar value. and Scale, or GAMLSS, which relax this assumption and can…”
High-Frequency Trading and Extreme Price Movements (2018, neutral): “Chordia et al. (2013) write: “There is growing unease on the part of some market observers that [.”
Utilizing artificial neural networks and genetic algorithms to build an algo-trading model for intra-day foreign exchange speculation (2013, background): “[1] Altridge, I., 2010.”
The Diversity of High-Frequency Traders (2013, background): “According to Grossman and Miller (1988) and Harris (1997), a tick size reduction benefits liquidity demanders due to smaller trading costs (narrower bid‐ask spreads), while it causes liquidity suppliers to be less willing to provide liquidity.”
Computer Algorithms, Market Manipulation and the Institutionalization of High Frequency Trading (2016, background): “Third, use of algos generally, and use of algos for high frequency trading speciﬁcally, has raised discussions about the possibility of market manipulation (Biais and Woolley, 2011).”
High frequency market microstructure. (2015, background): “Theoretically modelling such inter-relationships seems a daunting task, so empirical analyses focusing on the predictive power of market variables both within and across markets may be a good place to 34 See Almgren [2013] for discussion and analysis of across-market HFT activity in fixed income mar”