Intraday volatility smile: Effects of fragmentation and high frequency trading on price efficiency-Reference-Cited by-同舟云学术

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Intraday volatility smile: Effects of fragmentation and high frequency trading on price efficiency

Published:2021-11 Issue: Volume:75 Page:101437
ISSN:1042-4431
Container-title:Journal of International Financial Markets, Institutions and Money
language:en
Short-container-title:Journal of International Financial Markets, Institutions and Money

Author:

Ligot Stephanie,Gillet Roland,Veryzhenko Iryna

Funder

Agence Nationale de la Recherche

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference45 articles.

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

2. The impact of fragmentation, exchange fees and liquidity provision on market quality;Aitken;J. Empirical Finance,2017

3. AMF (2017). https://www.amf-france.org/en/news-publications/publications/reports-research-and-analysis/study-behaviour-high-frequency-traders-euronext-paris.

4. Market structure, fragmentation, and market quality;Bennett;J. Financial Markets,2006

5. Flickering quotes;Baruch,2013

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Abnormal trading volume, news and market efficiency: Evidence from the Jamaica Stock Exchange;Research in International Business and Finance;2023-01

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