The role of algorithmic trading in stock liquidity and commonality in electronic limit order markets-Reference-Cited by-同舟云学术

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The role of algorithmic trading in stock liquidity and commonality in electronic limit order markets

Published:2018-06 Issue: Volume:49 Page:103-128
ISSN:0927-538X
Container-title:Pacific-Basin Finance Journal
language:en
Short-container-title:Pacific-Basin Finance Journal

Author:

Moriyasu Hiroshi,Wee Marvin,Yu Jing

Funder

UWA Business School, Faculty of Economics at Nagasaki University

Japan Society for the Promotion of Science

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference65 articles.

1. Asset pricing with liquidity risk;Acharya;J. Financ. Econ.,2005

2. Adverse selection, brokerage coverage, and trading activity on the Tokyo Stock Exchange;Ahn;J. Bank. Financ.,2005

3. Liquidity and stock returns;Amihud;Financ. Anal. J.,1986

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

5. TSE Colocation Trading Growing Rapidly;Asia ETrading,2014

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1. Using bibliometrics to understand algorithmic finance;Journal of Applied Economics;2024-08-08

2. Machine economies;Electronic Markets;2023-07-22

3. Oil Market Factors as a Source of Commonality in Liquidity in International Equity Markets;Journal of Risk and Financial Management;2021-08-13

4. “Taps”: A trading approach based on deterministic sign patterns;Expert Systems with Applications;2021-08

5. High‐frequency trading: Definition, implications, and controversies;Journal of Economic Surveys;2021-06-21

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