Quantifying the High-Frequency Trading “Arms Race”: A Simple New Methodology and Estimates-Reference-Cited by-同舟云学术

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

Published:2020 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

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

Cited by 13 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. US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks;Journal of Empirical Finance;2023-06

2. Lissy: Experimenting with On-Chain Order Books;Financial Cryptography and Data Security. FC 2022 International Workshops;2023

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

5. High‐frequency trading: Definition, implications, and controversies;Journal of Economic Surveys;2021-06-21

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