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The journal of trading
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ECONIS (ZBW)
71
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1
High-frequency trading and market quality : evidence from account-level futures data
Coughlan, John
;
Orlov, Alexei G.
- In:
The journal of futures markets
43
(
2023
)
8
,
pp. 1126-1160
Persistent link: https://www.econbiz.de/10014339377
Saved in:
2
Resiliency in the E-mini futures market
Fishe, Raymond P. H.
;
Haynes, Richard
;
Onur, Esen
- In:
The journal of futures markets
42
(
2022
)
1
,
pp. 5-23
Persistent link: https://www.econbiz.de/10012796291
Saved in:
3
Algorithmic trading and market quality : evidence from the Taiwan index futures market
Chang, Ya-Kai
;
Chou, Robin K.
- In:
The journal of futures markets
42
(
2022
)
10
,
pp. 1837-1855
Persistent link: https://www.econbiz.de/10013465825
Saved in:
4
Understanding intraday momentum strategies
Rosa, Carlo
- In:
The journal of futures markets
42
(
2022
)
12
,
pp. 2218-2234
Persistent link: https://www.econbiz.de/10013465878
Saved in:
5
The impact of high speed quoting on execution risk dynamics : evidence from interest rate futures markets
Nie, Jing
;
Penen Malagon, Juliana
;
Williams, Julian
- In:
The journal of futures markets
42
(
2022
)
8
,
pp. 1434-1465
Persistent link: https://www.econbiz.de/10013287987
Saved in:
6
Phantom liquidity and high-frequency quoting
Blocher, Jesse
;
Cooper, Rick
;
Seddon, Jonathan
;
Van …
- In:
The journal of trading
13
(
2018
)
4
,
pp. 119-128
Persistent link: https://www.econbiz.de/10012017521
Saved in:
7
Machine learning for algorithmic trading and trade schedule optimization
Kissell, Robert
;
Bae, Jungsun Sunny
- In:
The journal of trading
13
(
2018
)
4
,
pp. 138-147
Persistent link: https://www.econbiz.de/10012017548
Saved in:
8
Algorithmic trading and fragmentation
Jain, Archana
;
Jain, Chinmay
;
Jiang, Christine X.
- In:
The journal of trading
12
(
2017
)
4
,
pp. 18-28
Persistent link: https://www.econbiz.de/10011876859
Saved in:
9
DTER and DTTER as high-frequency trading efficiency ratios
Martins, Carlos Jorge Lenczewski
- In:
The journal of trading
12
(
2017
)
4
,
pp. 39-55
Persistent link: https://www.econbiz.de/10011876884
Saved in:
10
A bivariate high-frequency-based volatility model for optimal futures hedging
Lai, Yu-Sheng
;
Lien, Da-hsiang Donald
- In:
The journal of futures markets
37
(
2017
)
9
,
pp. 913-929
Persistent link: https://www.econbiz.de/10011950909
Saved in:
11
A multivariate Markov regime-switching high-frequency-based volatility model for optimal futures hedging
Lai, Yu-Sheng
;
Sheu, Her-jiun
;
Lee, Hsiang-Tai
- In:
The journal of futures markets
37
(
2017
)
11
,
pp. 1124-1140
Persistent link: https://www.econbiz.de/10011950956
Saved in:
12
Can trading volume validate extreme price movements in the age of higher algorithmic trading activities?
Avis, Yu-Jung L.
;
Chang, Chingfu
;
Wu, Dandan
- In:
The journal of trading
12
(
2017
)
2
,
pp. 73-87
Persistent link: https://www.econbiz.de/10011699629
Saved in:
13
High-frequency trading patterns around short-term volatility spikes
Griffith, Todd G.
;
Van Ness, Bonnie F.
;
Van Ness, Robert A.
- In:
The journal of trading
12
(
2017
)
3
,
pp. 48-68
Persistent link: https://www.econbiz.de/10011699679
Saved in:
14
Hedge ratio prediction with noisy and asynchronous high-frequency data
Lai, Yu-Sheng
- In:
The journal of futures markets
36
(
2016
)
3
,
pp. 295-314
Persistent link: https://www.econbiz.de/10011568233
Saved in:
15
The prevalence, sources, and effects of herding
Boyd, Naomi E.
;
Buyuksahin, Bahattin
;
Haigh, Michael S.
; …
- In:
The journal of futures markets
36
(
2016
)
7
,
pp. 671-694
Persistent link: https://www.econbiz.de/10011568531
Saved in:
16
On the intraday relation between the VIX and its futures
Frijns, Bart
;
Tourani Rad, Alireza
;
Webb, Robert I.
- In:
The journal of futures markets
36
(
2016
)
9
,
pp. 870-886
Persistent link: https://www.econbiz.de/10011568650
Saved in:
17
Fat-finger trade and market quality : the first evidence from China
Gao, Ming
;
Liu, Yu-jane
;
Wu, Weili
- In:
The journal of futures markets
36
(
2016
)
10
,
pp. 1014-1025
Persistent link: https://www.econbiz.de/10011568867
Saved in:
18
The ultimate best execution conflict of interest? : a speed bump designed to enable predatory high-frequency trading
Schmitt, Jos
- In:
The journal of trading
11
(
2016
)
1
,
pp. 76-80
Persistent link: https://www.econbiz.de/10011697419
Saved in:
19
The impact of high-frequency trading on market volatility
Virgilio, Gianluca
- In:
The journal of trading
11
(
2016
)
2
,
pp. 55-63
Persistent link: https://www.econbiz.de/10011697576
Saved in:
20
Phantom liquidity and high-frequency quoting
Blocher, Jesse
;
Cooper, Rick
;
Seddon, Jonathan
;
Van …
- In:
The journal of trading
11
(
2016
)
3
,
pp. 6-15
Persistent link: https://www.econbiz.de/10011697583
Saved in:
21
The effect of high-frequency market making on option market liquidity
Mishra, Suchi
;
Daigler, Robert T.
;
Holowczak, Richard
- In:
The journal of trading
11
(
2016
)
4
,
pp. 56-76
Persistent link: https://www.econbiz.de/10011697653
Saved in:
22
The information content of trading activity and quote changes : evidence from VIX Options
Tsai, Wei-Che
;
Chiu, Ying-Tzu
;
Wang, Yaw-Huei
- In:
The journal of futures markets
35
(
2015
)
8
,
pp. 715-737
Persistent link: https://www.econbiz.de/10011392636
Saved in:
23
The effects of algorithmic trading on security market quality
Harris, Frederick H. deB.
- In:
The journal of trading
10
(
2015
)
2
,
pp. 41-53
Persistent link: https://www.econbiz.de/10011290754
Saved in:
24
Expected return in high-frequency trading
Cooper, Rick
;
Van Vliet, Benjamin
- In:
The journal of trading
10
(
2015
)
2
,
pp. 34-40
Persistent link: https://www.econbiz.de/10011290761
Saved in:
25
Recommendations for equitable allocation of trades in high-frequency trading environments
McPartland, John
- In:
The journal of trading
10
(
2015
)
2
,
pp. 81-100
Persistent link: https://www.econbiz.de/10011293519
Saved in:
26
Effects of high-frequency trading in the multidealer spot foreign exchange
Schmidt, Anatoly B.
- In:
The journal of trading
10
(
2015
)
2
,
pp. 72-78
Persistent link: https://www.econbiz.de/10011293525
Saved in:
27
Futures market volatility : what has changed?
Bollen, Nicolas P. B.
;
Whaley, Robert E.
- In:
The journal of futures markets
35
(
2015
)
5
,
pp. 426-454
Persistent link: https://www.econbiz.de/10011405386
Saved in:
28
Time pro-rata matching : evidence of a change in LIFFE STIR futures
Aspris, Angelo
;
Foley, Sean
;
Harris, Drew
;
O'Neill, Peter
- In:
The journal of futures markets
35
(
2015
)
6
,
pp. 522-541
Persistent link: https://www.econbiz.de/10011405404
Saved in:
29
Depth characteristics for the electronic futures limit order book
Aidov, Alexandre
;
Daigler, Robert T.
- In:
The journal of futures markets
35
(
2015
)
6
,
pp. 542-560
Persistent link: https://www.econbiz.de/10011405409
Saved in:
30
High frequency trading in the Korean index futures market
Lee, Eun Jung
- In:
The journal of futures markets
35
(
2015
)
1
,
pp. 31-51
Persistent link: https://www.econbiz.de/10011346176
Saved in:
31
Price dynamics in global crude oil markets
Liu, Wai-man
;
Schultz, Emma
;
Swieringa, John
- In:
The journal of futures markets
35
(
2015
)
2
,
pp. 148-162
Persistent link: https://www.econbiz.de/10011348457
Saved in:
32
Understanding the stakes of high-frequency trading
Abergel, Frédéric
;
Lehalle, Charles-Albert
; …
- In:
The journal of trading
9
(
2014
)
4
,
pp. 49-73
Persistent link: https://www.econbiz.de/10011291063
Saved in:
33
Seeking optimal ETF execution in electronic markets
Pingali, Kiran
;
Liu, Jingle
;
Park, Sanghyun
;
Baradas, …
- In:
The journal of trading
9
(
2014
)
3
,
pp. 109-119
Persistent link: https://www.econbiz.de/10011291075
Saved in:
34
The rationale for AT 9000 : an ISO 9000-style quality management system standard for automated and algorithmic trading
Van Vliet, Benjamin
;
Cooper, Ricky
;
Kumiega, Andrew
; …
- In:
The journal of trading
8
(
2013
)
3
,
pp. 102-106
Persistent link: https://www.econbiz.de/10009781121
Saved in:
35
A practical real options approach to valuing high-frequency trading system R&D projects
Kumiega, Andrew
;
Van Vliet, Benjamin
- In:
The journal of trading
8
(
2013
)
3
,
pp. 40-48
Persistent link: https://www.econbiz.de/10009781146
Saved in:
36
Balancing execution risk and trading cost in portfolio trading algorithms
Bacidore, Jeffrey M.
;
Wu, Di
;
Xu, Wenjie
- In:
The journal of trading
8
(
2013
)
4
,
pp. 37-43
Persistent link: https://www.econbiz.de/10010211738
Saved in:
37
Algorithmic, electronic, and automated trading
Hanif, Ayub
;
Smith, Robert Elliot
- In:
The journal of trading
7
(
2012
)
4
,
pp. 78-86
Persistent link: https://www.econbiz.de/10009670649
Saved in:
38
Currency at the speed of light : suitability of the foreign exchange market for high-frequency trading
Mangram, Myles E.
- In:
The journal of trading
7
(
2012
)
3
,
pp. 76-84
Persistent link: https://www.econbiz.de/10009670674
Saved in:
39
Can high-frequency traders game futures?
Aldridge, Irene
- In:
The journal of trading
7
(
2012
)
2
,
pp. 75-82
Persistent link: https://www.econbiz.de/10009670692
Saved in:
40
Electronic markets and trading algorithms
Wahal, Sunil
- In:
The journal of trading
7
(
2012
)
2
,
pp. 26-36
Persistent link: https://www.econbiz.de/10009670704
Saved in:
41
Adverse selection in a high-frequency trading environment
Agatonovic, Milos
;
Patel, Vimal
;
Sparrow, Chris
- In:
The journal of trading
7
(
2012
)
1
,
pp. 18-33
Persistent link: https://www.econbiz.de/10009532065
Saved in:
42
High-frequency trading : implications for markets, regulators, and efficiency
Muthuswamy, Jayaram
;
Palmer, John
;
Richie, Nivine
; …
- In:
The journal of trading
6
(
2011
)
1
,
pp. 87-97
Persistent link: https://www.econbiz.de/10008900892
Saved in:
43
Analysis of binary trading patterns in Xetra
Maurer, Kai-Oliver
;
Schäfer, Carsten
- In:
The journal of trading
6
(
2011
)
1
,
pp. 46-60
Persistent link: https://www.econbiz.de/10008900895
Saved in:
44
Alternative trading systems in Europe : trading performance by European venues post-MiFID ; 2010 update
Brandes, Yossi
;
Domowitz, Ian
- In:
The journal of trading
6
(
2011
)
2
,
pp. 14-21
Persistent link: https://www.econbiz.de/10009008505
Saved in:
45
Do informed traders prefer automated electronic markets?
Perry, Timothy T.
- In:
The journal of trading
6
(
2011
)
4
,
pp. 34-44
Persistent link: https://www.econbiz.de/10009349014
Saved in:
46
Empirical limitations on high-frequency trading profitability
Kearns, Michael
;
Kulesza, Alex
;
Nevmyvaka, Yuriy
- In:
The journal of trading
5
(
2010
)
4
,
pp. 50-62
Persistent link: https://www.econbiz.de/10008689018
Saved in:
47
Price discovery in electronic foreign exchange markets : the Sterling/Dollar market
Poskitt, Russell
- In:
The journal of futures markets
30
(
2010
)
6
,
pp. 590-606
Persistent link: https://www.econbiz.de/10003962650
Saved in:
48
Alternative trading systems in Europe : trading performance by European venues post-MiFID
Brandes, Yossi
;
Domowitz, Ian
- In:
The journal of trading
5
(
2010
)
3
,
pp. 17-30
Persistent link: https://www.econbiz.de/10003992720
Saved in:
49
The information content of an open limit-order book
Cao, Charles Q.
;
Hansch, Oliver
;
Wang, Xiaoxin
- In:
The journal of futures markets
29
(
2009
)
1
,
pp. 16-41
Persistent link: https://www.econbiz.de/10003826609
Saved in:
50
After-hours trading in equity futures markets
Dungey, Mardi H.
;
Fakhrutdinova, Luba
;
Goodhart, …
- In:
The journal of futures markets
29
(
2009
)
2
,
pp. 114-136
Persistent link: https://www.econbiz.de/10003831059
Saved in:
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