The information content of high-frequency traders aggressive orders: recent evidence

DOI10.1080/14697688.2020.1748700MaRDI QIDQ4957239zbMATH OpenOpenAlexFDO

Authors Pamela Saliba

Publication date 3 September 2021

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2020.1748700

zbMATH Keywords

high-frequency tradingprice impactasymmetric informationmarket microstructuremean reversionprice formationtrend followingaggressive ordersprice profile

Mathematics Subject Classification ID

Financial markets (91G15)

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Cites work

• Mean field game of controls and an application to trade crowding
• Why is equity order flow so persistent?

Cited in

(2)

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• scientific article; zbMATH DE number 6453480 (Why is no real title available?)

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