High frequency trading and extreme price movements
Top Cited Papers
- 1 May 2018
- journal article
- research article
- Published by Elsevier in Journal of Financial Economics
- Vol. 128 (2) , 253-265
- https://doi.org/10.1016/j.jfineco.2018.02.002
Abstract
No abstract availableThis publication has 36 references indexed in Scilit:
- Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?The Review of Financial Studies, 2012
- Evaporating LiquidityThe Review of Financial Studies, 2012
- Jumps in equilibrium prices and market microstructure noiseJournal of Econometrics, 2012
- Why Designate Market Makers? Affirmative Obligations and Market QualitySSRN Electronic Journal, 2011
- Time Variation in Liquidity: The Role of Market‐Maker Inventories and RevenuesThe Journal of Finance, 2010
- Market Maker Inventories and Stock PricesAmerican Economic Review, 2007
- Predatory TradingThe Journal of Finance, 2005
- The distribution of realized stock return volatilityPublished by Elsevier ,2001
- Market Structure and the Intraday Pattern of Bid-Ask Spreads for NASDAQ SecuritiesThe Journal of Business, 1995
- Dealership marketJournal of Financial Economics, 1980