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When spread bites fast – Volatility and wide bid-ask spread in a mixed high-frequency and low-frequency environment

  • Published:2020-01 Issue: Volume:51 Page:101066
  • ISSN:0275-5319
  • Container-title:Research in International Business and Finance
  • language:en
  • Short-container-title:Research in International Business and Finance

Author:

Virgilio Gianluca Piero MariaORCID

Publisher

Elsevier BV

Subject

Finance,Business, Management and Accounting (miscellaneous)

Reference33 articles.

1. High frequency trading and US stock market microstructure: a study of interactions between complexities, risks and strategies residing in U.S. equity market microstructure;Abrol;Financ. Mark. Inst. Instrum.,2016

2. The Netherlands Authority for the Financial Markets. A Case Analysis of Critiques on High-Frequency Trading;AFM,2016

3. High frequency trading - assessing the impact on market efficiency and integrity;Aitken,2012

4. Aggressive High-Frequency Trading in Equities;Aldridge,2015

5. The Resilience of Financial Market Liquidity. Financial Stability Paper no. 34;Anderson,2015

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