The Impact of High-Frequency Trading on Market Volatility

被引:2
|
作者
Virgilio, Gianluca [1 ]
机构
[1] Univ Hertfordshire, Social Sci Arts & Humanities Res Inst, Hatfield, Herts, England
来源
JOURNAL OF TRADING | 2016年 / 11卷 / 02期
关键词
D O I
10.3905/jot.2016.11.2.055
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:55 / 63
页数:9
相关论文
共 50 条
  • [21] CAN HIGH-FREQUENCY TRADING STRATEGIES CONSTANTLY BEAT THE MARKET?
    Manahov, Viktor
    [J]. INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2016, 21 (02) : 167 - 191
  • [22] Statistical characteristics of price impact in high-frequency trading
    Jia, Can
    Zhou, Tianmin
    Li, Handong
    [J]. STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, 2021, 25 (03): : 19 - 34
  • [23] Impact of stock market trading on currency market volatility spillovers
    Baklaci, Hasan Fehmi
    Aydogan, Berna
    Yelkenci, Tezer
    [J]. RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2020, 52
  • [24] Impact of high frequency trading on volatility in short run and long run
    Hruska, Juraj
    [J]. EUROPEAN FINANCIAL SYSTEMS 2017: PROCEEDINGS OF THE 14TH INTERNATIONAL SCIENTIFIC CONFERENCE, PT 1, 2017, : 266 - 273
  • [25] Analysis of stock market volatility: Adjusted VPIN with high-frequency data
    Yang, Haijun
    Xue, Feng
    [J]. INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2021, 75 : 210 - 222
  • [26] The Ethics of Financial Market Making and Its Implications for High-Frequency Trading
    Andrea Roncella
    Ignacio Ferrero
    [J]. Journal of Business Ethics, 2022, 181 : 139 - 151
  • [27] Keynote Talk: High-Frequency Trading and the Design of Financial Exchanges: Will the Market Fix the Market?
    Budish, Eric
    [J]. ACM EC'18: PROCEEDINGS OF THE 2018 ACM CONFERENCE ON ECONOMICS AND COMPUTATION, 2018, : 233 - 234
  • [28] Trading Imbalance in Chinese Stock Market-A High-Frequency View
    Lu, Shan
    Zhao, Jichang
    Wang, Huiwen
    [J]. ENTROPY, 2020, 22 (08)
  • [29] Does high-frequency trading reduce market underreaction to earnings news?
    Ke, Yun
    Zhang, Yanan
    [J]. FINANCE RESEARCH LETTERS, 2020, 34
  • [30] The Ethics of Financial Market Making and Its Implications for High-Frequency Trading
    Roncella, Andrea
    Ferrero, Ignacio
    [J]. JOURNAL OF BUSINESS ETHICS, 2022, 181 (01) : 139 - 151