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High frequency trading and extreme price movements

Published:2018-05 Issue:2 Volume:128 Page:253-265
ISSN:0304-405X
Container-title:Journal of Financial Economics
language:en
Short-container-title:Journal of Financial Economics

Author:

Brogaard Jonathan,Carrion Allen,Moyaert Thibaut,Riordan Ryan,Shkilko Andriy,Sokolov Konstantin

Publisher

Elsevier BV

Subject

Strategy and Management,Economics and Econometrics,Finance,Accounting

Reference40 articles.

1. High frequency trading and end-of-day price dislocation;Aitken;J. Bank. Finance,2015

2. Does systemic risk in the financial sector predict future economic downturns?;Allen;Rev. Financ. Stud.,2012

3. Dealership market: market-making with inventory;Amihud;J. Financ. Econ.,1980

4. Market conditions, fragility, and the economics of market making;Anand;J. Financ. Econ.,2016

5. The distribution of realized stock return volatility;Andersen;J. Financ. Econ.,2001

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