High frequency traders and the price process

DOI10.1016/J.JECONOM.2019.11.005zbMATH Open1456.62238OpenAlexW2998082826MaRDI QIDQ2190209FDOQ2190209

Authors: Yacine Aït-Sahalia, Celso Brunetti 

Publication date: 18 June 2020

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.11.005

Recommendations

• Buy Low, Sell High: A High Frequency Trading Perspective
• Quantifying the high-frequency trading ``arms race
• Liquidity suppliers and high frequency trading
• A multiscale model of high-frequency trading
• Risk metrics and fine tuning of high-frequency trading strategies

zbMATH Keywords

jumpsvolatilityliquiditymarket microstructure noisemarket impacthigh frequency tradingprice process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Title not available (Why is that?)
• A Tale of Two Time Scales
• Title not available (Why is that?)
• The high-frequency trading arms race: frequent batch auctions as a market design response
• Trading networks
• A dysfunctional role of high frequency trading in electronic markets

Cited In (13)

• A multiscale model of high-frequency trading
• High frequency market making: the role of speed
• Disentangling and quantifying market participant volatility contributions
• Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis
• Quantifying the high-frequency trading ``arms race
• High frequency trading and stock index returns: a nonlinear dynamic analysis
• Liquidity suppliers and high frequency trading
• Stock markets fragmentation, volatility and final investors
• Risk metrics and fine tuning of high-frequency trading strategies
• Algorithmic trading and mini flash crashes: evidence from Austria
• A dysfunctional role of high frequency trading in electronic markets
• Private Information and High-Frequency Stochastic Volatility
• Buy Low, Sell High: A High Frequency Trading Perspective

This page was built for publication: High frequency traders and the price process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2190209)