High frequency market microstructure

Journal of Financial Economics

Volumn 116, Issue 2, 2015, Pages 257-270

  O'Hara, Maureen ^a  

^a SAS Institute Inc   (United States)

Author keywords

Algorithmic trading; High frequency trading; Market microstructure

Indexed keywords

EID: 84928825780     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2015.01.003     Document Type: Article

References (52)

1. Angel J., Harris L., Spatt C. Equity trading in the 21st century. Quarterly Journal of Finance 2011, 1(1):1-53.
2. Battalio, R., Corwin, S., Jennings, R., 2013. Can brokers have it all? On the relation between make-take fees and limit order execution quality. Unpublished working paper. University of Notre Dame.
3. Battalio, R., Shkilko, A., Van Ness, R., 2011. To pay or be paid? The impact of taker fees and order flow inducements on trading costs in US options markets. Unpublished working paper.
4. Berman, G., 2014. What drives the complexity and speed of our markets? US Securities and Exchange Commission Speeches, April 15. www.sec.gov/speeches.
5. Biais, B., Foucault, T., Moinas, S., 2012. Equilibrium high-frequency trading. Unpublished working paper. University of Toulouse, Toulouse, France.
6. Biais, B., Wooley, P., 2011. High frequency trading. Unpublished working paper. University of Toulouse, Industrial Economics Institute, Toulouse, France.
7. Bloomfield R., O'Hara M., Saar G. Hidden liquidity: some new light on dark trading. Journal of Finance 2015, (forthcoming).
8. Brogaard J., Hendershott T.J., Riordan R. High frequency trading and price discovery. Review of Financial Studies 2013, 27(8):2267-2306.
9. Brogaard, J., Garriott, C., Pomeranets, A., 2013. Is more high frequency trading better? Unpublished working paper. University of Washington.
10. Budish, E., Cramton, P., Shim, J., 2013. The high frequency trading arms race: frequent batch auctions as a market design response. Unpublished working paper. University of Chicago.
11. Carrion A. Very fast money: high-frequency trading on Nasdaq. Journal of Financial Markets 2013, 680-711.
12. Cespa, G., Vives, X., 2013. The welfare impact of high frequency. Unpublished working paper. IESE Business School.
13. Duffie D., Garleanu N., Pedersen L. Over-the-counter markets. Econometrica 2005, 73:1815-1847.
14. Easley D., Kiefer N.M., O'Hara M., Paperman J. Liquidity, information, and less-frequently traded stocks. Journal of Finance 1996, 51:1405-1436.
15. Easley D., Lopez de Prado M., O'Hara M. The microstructure of the 'flash crash': flow toxicity, liquidity crashes, and the probability of informed trading. Journal of Portfolio Management 2011, 37:118-128.
16. Easley D., Lopez de Prado M., O'Hara M. Flow toxicity and liquidity in a high frequency world. Review of Financial Studies 2012, 25:1457-1493.
17. Easley, D., Lopez de Prado, M., O'Hara, M., 2013. Discerning information from trade data. Unpublished working paper. Cornell University.
18. Easley D., O'Hara M. Microstructure and ambiguity. Journal of Finance 2010, 65:1817-1866.
19. Easley D., O'Hara, Yang L. Differential access to price information. Journal of Financial and Quantitative Analysis 2015, (forthcoming).
20. Egginton, J.F., Van Ness, B., Van Ness, R., 2011. Quote stuffing. Unpublished working paper.
21. Foucault T., Kadan O., Kandel E. Limit order book as a market for liquidity. Review of Financial Studies 2005, 18:1171-1217.
22. Gloston L., Milgrom P. Bid, ask, and transaction prices in a securities market with heterogeneously informed traders. Journal of Financial Economics 1985, 14:71-100.
23. Goldstein M., Kumar P., Graves F.C. Computerized and high frequency trading. The Financial Review 2014, 49(2):177-202.
24. Guiso L., Sapienza P., Zingales L. Trusting in stock markets. Journal of Finance 2008, 63(6):2257-2260.
25. Haldane, A, 2011. The race to zero. Bank of England speeches, given to the International Economic Association 16th World Congress, July 8.
26. Haldane, A., 2012. Financial arms races. Bank of England speeches, delivered at the Institute for New Economic Thinking. Berlin, Germany, April 14.
27. Hasbrouck, J., 2013. High frequency quoting: short-term volatility in bids and offers. Unpublished working paper. http://ssrn.com/abstract=2237499.
28. Hasbrouck J., Saar G. Low-latency trading. Journal of Financial Markets 2013, 646-679.
29. Hasbrouck J., Sofianos G. The trades of market makers: an empirical analysis of NYSE specialists. Journal of Finance 1993, 48(5):1565-1593.
30. Hendershott T., Jones C., Menkveld A.J. Implementation shortfall with transitory price effects. High Frequency Trading: New Realities for Trades, Markets, and Regulators 2013, 185-206. Risk Books, London, UK. D. Easley, M. Lopez de Prado, M. O'Hara (Eds.).
31. Ho T., Stoll H. Optimal dealer pricing under transactions and return uncertainty. Journal of Financial Economics 1981, 9(1):47-73.
32. Holden C., Jacobsen S. Liquidity measurement problems in fast, competitive markets: expensive and cheap solutions. Journal of Finance 2013, 1747-1785.
33. Holden, C., Jacobsen, S., Subrahmanyam, A., 2014. The empirical analysis of liquidity. Unpublished working paper. University of Indiana.
34. Jarrow R.A., Protter P. A dysfunctional role of high frequency trading in electronic markets. International Journal of Theoretical and Applied Finance 2012, 15(3):2-15.
35. Jones, C., 2012. What do we know about high frequency trading? Unpublished working paper. Columbia University.
36. Kirilenko, A.A., Kyle, A.S., Samadi, M., Tuzun, T., 2011. The flash crash: the impact of high frequency trading on an electronic market. Unpublished working paper. Commodity Futures Trading Commission and University of Maryland, Washington, DC, and College Park, MD.
37. Kyle A.S. Continuous auctions and insider trading. Econometrica 1985, 53(6):1315-1335.
38. Laughlin, G., Aquirre, A., Grundfest, J., 2012. Information transmission between financial markets in Chicago and New York. Unpublished working paper. Stanford Law School, John M. Olin Program in Law and Economics, Stanford, CA.
39. Linton O., O'Hara M., Zigrand J.P. The regulatory challenge of high frequency markets. High Frequency Trading: New Realities for Trades, Markets, and Regulators 2013, 207-230. Risk Books, London, UK. D. Easley, M. Lopez de Prado, M. O'Hara (Eds.).
40. Madhavan A. Exchange-traded funds, market structure, and the flash crash. Financial Analysts Journal 2013, 68:20-35.
41. Malinova, K., Park, A., 2013. Do retail traders benefit from improvements in liquidity? Unpublished working paper. University of Toronto.
42. Menkveld A.J. High frequency trading and the new market makers. Journal of Financial Markets 2013, 712-740.
43. Menkveld, A.J., Yueshen, B., 2013. Anatomy of the flash crash. Unpublished working paper. University of Amsterdam.
44. O'Hara M. What is a quote?. Journal of Trading 2011, 5(2):10-26.
45. O'Hara, M., Saar, G., Zhang, Z., 2013. Relative tick size and the trading environment. Unpublished working paper. Cornell University.
46. O'Hara M., Yao C., Ye M. What[U+05F3]s not there: odd lots and market data. Journal of Finance. 2014, 69(5):2199-2236.
47. Pagnotti, E., Phillipon, T., 2013. Competing on speed. Unpublished working paper.
48. Securities and Exchange Commission, 2013. Data highlights 2013-05: the speed of equity markets. October 9. http://www.sec.gov.
49. Securities and Exchange Commission, 2014. Data highlight 2014-02: equity market speed relative to order placement. March 19. http://www.sec.gov.
50. Virtu Financial, Inc., 2014. Form S-1. Filed with the Securities and Exchange Commission. March 10.
51. Ye, M., Yao, C., 2014. Tick size constraints, market structure, and liquidity. Unpublished working paper. University of Illinois.
52. Ye, M., Yao, C., Jiading, G., 2013. The externalities of high-frequency trading. Unpublished working paper. University of Illinois.