Journal ArticleDOI
Low-latency trading $
Joel Hasbrouck,Gideon Saar +1 more
Reads0
Chats0
TLDR
In this paper, the authors define low-latency activity as strategies that respond to market events in the millisecond environment, the hallmark of proprietary trading by highfrequency traders though it could include other algorithmic activity as well.About:
This article is published in Journal of Financial Markets.The article was published on 2013-11-01. It has received 810 citations till now. The article focuses on the topics: Market microstructure & Algorithmic trading.read more
Citations
More filters
Journal ArticleDOI
High-Frequency Trading and Price Discovery
TL;DR: In this paper, the role of high-frequency traders (HFTs) in price discovery and price efficiency is examined, and it is shown that HFTs facilitate price efficiency by trading in the direction of permanent price changes and in the opposite direction of transitory pricing errors.
Journal ArticleDOI
The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response
TL;DR: In this article, the authors argue that the continuous limit order book is a flawed market design and propose that financial exchanges instead use frequent batch auctions: uniform-price sealed-bid double auctions conducted at frequent but discrete time intervals, e.g., every 1 second.
Posted Content
The Flash Crash: The Impact of High Frequency Trading on an Electronic Market
TL;DR: This article used audit-trail data to compare the trading of High Frequency Traders and other traders during the Flash Crash of May 6, 2010 with the three prior trading days, and concluded that the inventories of High-frequency Traders were too small to have caused or prevented the flash crash.
Journal ArticleDOI
High frequency trading and the new market makers
TL;DR: In this paper, the authors characterize the trading strategy of a large high frequency trader (HFT) and show that performance is very sensitive to cost of capital assumptions, and employ a cross-market strategy as half of its trades materialize on the incumbent market and the other half on a small, high-growth entrant market.
Journal ArticleDOI
Review: Text mining for market prediction: A systematic review
TL;DR: A comparative analysis of the systems based on market prediction based on online-text-mining expands onto the theoretical and technical foundations behind each and should help the research community to structure this emerging field and identify the exact aspects which require further research and are of special significance.
References
More filters
Journal ArticleDOI
Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
TL;DR: The presence of traders with superior information leads to a positive bid-ask spread even when the specialist is risk-neutral and makes zero expected profits as discussed by the authors, and the expectation of the average spread squared times volume is bounded by a number that is independent of insider activity.
Book ChapterDOI
Testing for Weak Instruments in Linear IV Regression
James H. Stock,Motohiro Yogo +1 more
TL;DR: This paper proposed quantitative definitions of weak instruments based on the maximum IV estimator bias, or the maximum Wald test size distortion, when there are multiple endogenous regressors, and tabulated critical values that enable using the first-stage F-statistic (or, for instance, the Cragg-Donald (1993) statistic) to test whether give n instruments are weak.
Journal ArticleDOI
Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data
John C. Driscoll,Aart Kraay +1 more
TL;DR: The authors presented conditions under which a simple extension of common nonparametric covariance matrix estimation techniques yields standard error estimates that are robust to very general forms of spatial and temporal dependence as the time dimension becomes large.
Journal ArticleDOI
A Theory of Intraday Patterns: Volume and Price Variability
Anat R. Admati,Paul Pfleiderer +1 more
TL;DR: In this paper, the authors developed a theory that concentrated trading patterns arise endogenously as a result of the strategic behavior of liquidity traders and informed traders and provided a partial explanation for some of the recent empitical findings concerning the patterns of volume and price variability in intraday transaction data.
Journal ArticleDOI
Autoregressive conditional duration: a new model for irregularly spaced transaction data
TL;DR: In this article, an autoregressive conditional duration (ACD) model is proposed for the analysis of data which arrive at irregular intervals, which treats the time between events as a stochastic process and proposes a new class of point processes with dependent arrival rates.