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Informativeness and influence of limit order books on order submissions in electronic continuous auction markets
Chang, Matthew C.; Wu, Rebecca Chung-fern - In: Emerging markets finance & trade : a journal of the … 49 (2013), pp. 70-97
Persistent link: https://www.econbiz.de/10010204875
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High-frequency trading around large institutional orders
Kervel, Vincent van; Menkveld, Albert J. - 2017
Liquidity suppliers lean against the wind. We analyze whether high-frequency traders (HFTs) lean against large institutional orders that execute through a series of child orders. The alternative is HFTs trading "with the wind," that is, in the same direction. We find that HFTs initially lean...
Persistent link: https://www.econbiz.de/10011725287
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High-frequency trading strategies
Goldstein, Michael A.; Kwan, Amy; Philip, Richard - In: Management science : journal of the Institute for … 69 (2023) 8, pp. 4413-4434
Persistent link: https://www.econbiz.de/10014339256
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The information content of special orders
Huu Nhan Duong; Lajbcygier, Paul; Vu, Van-Hoang - In: Pacific-Basin finance journal 45 (2017), pp. 68-81
Persistent link: https://www.econbiz.de/10011800814
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Hidden liquidity, market quality, and order submission strategies
Lee, Albert J.; Chung, Kee H. - In: Journal of financial markets 61 (2022), pp. 1-16
Persistent link: https://www.econbiz.de/10013540481
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Who supplies liquidity, how and when?
Biais, Bruno; Declerck, Fany; Moinas, Sophie - 2016
Persistent link: https://www.econbiz.de/10011533627
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"Who supplies liquidity, how and when?"
Biais, Bruno; Declerck, Fany; Moinas, Sophie - 2017
Persistent link: https://www.econbiz.de/10011731316
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Who supplies liquidity, how and when?
Biais, Bruno; Declerck, Fany; Moinas, Sophie - 2017
Persistent link: https://www.econbiz.de/10012266229
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Algorithmic trading for online portfolio selection under limited market liquidity
Ha, Youngmin; Zhang, Hai - In: European journal of operational research : EJOR 286 (2020) 3, pp. 1033-1051
Persistent link: https://www.econbiz.de/10012291611
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An algorithmic trading strategy to balance profitability and risk
Peña, Guillermo - In: Big Data in Finance : Opportunities and Challenges of …, (pp. 35-53). 2022
Persistent link: https://www.econbiz.de/10013431761