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Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading

Jarrow, Robert; Li, Hao - In: Quarterly Journal of Finance (QJF) 03 (2013) 02, pp. 1350012-1

In a frictionless and competitive economy, where high frequency (HF) traders possess no market power, this paper characterizes necessary and sufficient conditions on the price process and information sets for HF traders to earn abnormal trading profits. Two sufficient conditions shown to...

Persistent link: https://www.econbiz.de/10010883071

Abnormal profit opportunities and the informational advantage of high frequency trading

Jarrow, Robert A.; Li, Hao - In: The quarterly journal of finance 3 (2013) 2, pp. 1-12

Persistent link: https://www.econbiz.de/10010245481

The Dynamics of Information Incorporation into Asset Prices: An Empirical Analysis.

Kandel, S.; Ofer, A.R.; Sarig, O. - Rodney L. White Center for Financial Research, Wharton … - 1992

Persistent link: https://www.econbiz.de/10005245205

A Baysian Model of Intraday Specialist Pricing.

Madhavan, A.; Smidt, S. - Rodney L. White Center for Financial Research, Wharton … - 1991

Persistent link: https://www.econbiz.de/10005245207

MEASUREMENT DISTORTION AND MISSING CONTINGENCIES IN OPTIMAL CONTRACTS.

ALLEN, F.; GALE, D. - Rodney L. White Center for Financial Research, Wharton … - 1990

Persistent link: https://www.econbiz.de/10005245225

Finite Bubbles with Short Sale Constraints and Asymmetric Information

Allen, F.; Morris, S.; Postlewaite, A. - Rodney L. White Center for Financial Research, Wharton … - 1992

Persistent link: https://www.econbiz.de/10005245235

Arbitrage Chains.

Dow, J.; Gorton, G. - Rodney L. White Center for Financial Research, Wharton … - 1993

Persistent link: https://www.econbiz.de/10005245243

SELF-GENERATING TRADE AND RATIONAL FADS: THE RESPONSE OF PRICE TO NEW INFORMATION.

DOW, J.; GORTON, G. - Rodney L. White Center for Financial Research, Wharton … - 1989

Persistent link: https://www.econbiz.de/10005245251

An Exact Solution for the Investment and Market Value of a Firm Facing Uncertainty, Adjustment Costs, and Irreversibility.

Abel, A.B.; Eberly, J.C. - Rodney L. White Center for Financial Research, Wharton … - 1993

Persistent link: https://www.econbiz.de/10005245266

THE INFORMATION ROLE OF UPSTAIRS AND DOWNSTAIRS TRADING.

GROSSMAN, S.J. - Rodney L. White Center for Financial Research, Wharton … - 1990

Persistent link: https://www.econbiz.de/10005245269