Flow toxicity of high‐frequency trading and its impact on price volatility: Evidence from the KOSPI 200 futures market-Reference-Cited by-同舟云学术

Flow toxicity of high‐frequency trading and its impact on price volatility: Evidence from the KOSPI 200 futures market

Published:2019-10-10 Issue:2 Volume:40 Page:164-191
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J Futures Markets

Author:

Kang Jangkoo¹,Kwon Kyung Yoon²^ORCID,Kim Wooyeon³^ORCID

Affiliation:

1. Graduate School of Finance and Accounting, College of BusinessKorea Advanced Institute of Science and Technology Seoul Korea

2. Department of Accounting and Finance, Strathclyde Business SchoolUniversity of Strathclyde Glasgow United Kingdom

3. College of BusinessKorea Advanced Institute of Science and Technology Seoul Korea

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22062

Reference36 articles.

1. Evaluating VPIN as a trigger for single-stock circuit breakers

2. Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence*

3. VPIN and the flash crash

4. All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors

5. An examination of adverse selection risk in Indian IPO after‐markets using high frequency data;Bhattacharya A.;International Journal of Economic Sciences,2014

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