Price discovery and the cross-section of high-frequency trading-Reference-Cited by-同舟云学术

Price discovery and the cross-section of high-frequency trading

Published:2016-09 Issue: Volume:30 Page:54-77
ISSN:1386-4181
Container-title:Journal of Financial Markets
language:en
Short-container-title:Journal of Financial Markets

Author:

Benos Evangelos,Sagade Satchit

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference27 articles.

1. AFM, 2010. High frequency trading: the application of advanced trading technology in the European marketplace. Report of the Dutch Authority for the Financial Markets, November, available at: 〈http://www.afm.nl/en/nieuws/rapporten/2010/hft-rapport〉.

2. Competition among trading venues;Barclay;J. Finance,2003

3. Baron, M., Brogaard, J., Hagströmer, B., Kirilenko, A., 2016. Risk and return in high-frequency trading. Working paper.

4. Benos, E., Brugler, J., Hjalmarsson, E., Zikes, F., 2015. Interactions among high-frequency traders. Bank of England Working Paper No. 523.

5. Boehmer, E., Li, D., Saar, G., 2016. Correlated high-frequency trading. Working paper.

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