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High-frequency lead-lag effects and cross-asset linkages : a multi-asset lagged adjustment model
Buccheri, Giuseppe, (2021)
High frequency traders and the price process
Aït-Sahalia, Yacine, (2020)
Information or noise : what does algorithmic trading incorporate into the stock prices?
Zhou, Hao, (2019)
Algorithmic activity on Xetra
Gsell, Markus, (2009)
Assessing the impact of algorithmic trading on markets : a simulation approach
Gsell, Markus, (2008)