Information or noise: What does algorithmic trading incorporate into the stock prices?

Author:

Zhou Hao,Elliott Robert J.,Kalev Petko S.ORCID

Funder

Australian Research Council

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference46 articles.

1. The accuracy of the tick test: Evidence from the Australian Stock Exchange;Aitken;Journal of Banking and Finance,1996

2. Price discovery and the cross-section of high-frequency trading;Benos;Journal of Financial Markets,2016

3. Equilibrium fast trading;Biais;Journal of Financial Economics,2015

4. Boehmer, E., Fong, K., & Wu, J. (2015). International evidence on algorithmic trading, Unpublished working paper. Singapore Management University.

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