Quantifying the High-Frequency Trading “Arms Race”: A Simple New Methodology and Estimates

Author:

Aquilina Matteo,Budish Eric B.,O'Neill Peter

Publisher

Elsevier BV

Reference88 articles.

1. Asset Pricing with Liquidity Risk;Viral V Acharya;Journal of Financial Economics,2005

2. Illiquidity and Stock Returns: Cross-Section and Time-Series Effects;Yakov Amihud;Journal of Financial Markets,2002

3. Equity Trading in the 21st Century: An Update;James J Angel;The Quarterly Journal of Finance,2015

4. Quantifying the High-Frequency Trading 'Arms Race': A New Methodology and Estimates;Matteo Aquilina;Financial Conduct Authority Occasional Paper No. 50,2020

5. Asymmetries in Dark Pool Reference Prices;Matteo Aquilina;Financial Conduct Authority Occasional Paper,2016

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1. US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks;Journal of Empirical Finance;2023-06

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3. Connectivity costs and price efficiency: An event study;Journal of Futures Markets;2021-11-11

4. Quantifying the High-Frequency Trading “Arms Race”;The Quarterly Journal of Economics;2021-09-10

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