Does algorithmic trading harm liquidity? Evidence from Brazil

Author:

Ramos Henrique Pinto,Perlin Marcelo Scherer

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference62 articles.

1. Asset pricing with liquidity risk;Acharya;Journal of Financial Economics,2005

2. Iliquidity and stock returns: Cross-section ant time series effects;Amihud;Journal of Financial Markets,2002

3. Anagnostidis, P. & Fontaine, P. C. (2018). Liquidity provision, commonality and high frequency trading. EUROFIDAI Working Paper.

4. Asset pricing with downside liquidity risks;Anthonisz;Management Science,2016

5. B3, 2018. Annual report - 2018. http://ir.bmfbovespa.com.br/enu/4188/Book_RA2018-EN.pdf, last accessed on Aug 29, 2019.

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