Have a personal or library account? Click to login
Hidden and Fast Liquidity - Hidden Orders and High-Frequency Trading Cover

Hidden and Fast Liquidity - Hidden Orders and High-Frequency Trading

Open Access
|Mar 2020

References

  1. Agarwal, A. (2012). High Frequency Trading: Evolution and the Future, Capgemini. Retrieved fromhttps://www.capgemini.com/resource-file-access/resource/pdf/High_Frequency_Trading__Evolution_and_the_Future.pdf. Access: 10-02-2017.
  2. Aguilar, L.A. (2015). Shedding Light on Dark Pools. Retrieved fromhttps://www.sec.gov/news/statement/shedding-light-on-dark-pools.html. Access: 29-05-2019.
  3. Aldridge, I. (2013). High-frequency Trading: a Practical Guide to Algorithmic Strategies and Trading Systems. Hoboken, New Jersey: John Wiley & Sons.10.1002/9781119203803
  4. Anand, A., Weaver, D.G. (2004). Can Order Exposure be Mandated. Elsevier,Journal of Financial Markets, Vol. 7(4), 405-426.10.1016/j.finmar.2004.04.001
  5. Aquilina, M. (2017). Dark Trading and Market Quality. FCA. Retrieved fromhttps://www.fca.org.uk/insight/dark-trading-market-quality. Access: 29-05-2019.
  6. Bessembinder, H., Venkataraman, K. (2004). Does an Electronic Stock Exchange Need an Upstairs Market? Elsevier, Journal of Financial Economics, Vol. 73(1), 3-36.10.1016/j.jfineco.2003.05.005
  7. Biais, B., Foucault, T., Moinas, S. (2011). Equilibrium High Frequency Trading. Proceedings from International Conference of the French Finance Association (AFFI), May 2011. Retrieved from https://ssrn.com/abstract=1834344; http://www.lse.ac.uk/fmg/events/conferences/past-conferences/2012/PWC-Conference_7-8June/Papers-and-slides/Bruno_Biais_paper.pdf.10.2139/ssrn.2024360
  8. Breckenfelder, J.H. (2019). Competition Among High-Frequency Traders, and Market Quality, ECB, Working Paper Series, Vol. 2290 (June 2019).
  9. Brogaard, J., Hendershott, T., Riordan R. (2013). High Frequency Trading and Price Discovery. ECB, Working Paper, Vol. 1602.10.2139/ssrn.2341037
  10. Bunge, J. (2013). Stock Market’s Dark Side Expands to More Than 3-year High in July. Wall Street Journal. Retrieved from https://blogs.wsj.com/moneybeat/2013/07/31/stock-markets-dark-side-expands-to-more-than-3-year-high-in-july/. Access: 11-03-2019.
  11. Buti, S., Rindi, B. (2009). Hidden Orders and Optimal Submission Strategies in a Dynamic Limit Order Market, Retrieved from http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.598.2318&rep=rep1&type=pdf. Access: 20-03-2019.
  12. Carmona, R. (2013). Limit Order Books. Princeton University. Access: 13-05-2016.
  13. CFA (2019). Dark Pools, CFA Institute. Retrieved fromhttps://www.cfainstitute.org/en/advocacy/issues/dark-pools. Access: 13-03-2019.
  14. Chaboud, A., Chiquoine, B., Hjalmarsson, E., Vega, C., . . . . (2009). Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market, Federal Reserve Board. The Journal of Finance, Vol. 69(5), 2045-2084. doi:10.1111/jofi.12186.10.1111/jofi.12186
  15. Chakrabarty, B., Hendershott, T., Nawn, S., Pascual, R., . . . (2017). Order Exposure in High-frequency Markets. Retrieved from https://ssrn.com/abstract=3074049. Access: 24.04.2019.10.2139/ssrn.3074049
  16. D’Hondt, C., De Winne, R., Francois-Heude, A. (2004). Hidden Orders on Euronext: Nothing is Quite as it Seems, FuCaM-Catholic University of Mons, Working Paper, doi:10.2139/ssrn.379362.10.2139/ssrn.379362
  17. Euronext (2019).MiFid II - Cash Markets, Euronext. Retrieved from https://www.euronext.com/fr/regulation/mifid-2/cash-markets. Access: 22.05.2019.
  18. Finansinpektionen (2012). Investigation into High Frequency Trading and Algorithmic Trading, FI Report Ref. 11-10857. Finansinpektionen (February 2012). Retrieved from http://www.fi.se/contentassets/a9e47d166ba4466586bad3f216b46355/htf_eng.pdf. Access: 28-04-2016.
  19. Foley, S., Malinova, K., Park, A. (2013). Dark Trading on Public Exchanges. Retrieved from https://www.business.unsw.edu.au/About-Site/Schools-Site/banking-finance-site/Documents/dark-trading-on-public-exchanges.pdf. Access: 29-05-2019.10.2139/ssrn.2182839
  20. Frey, S., Sandås, P. (2009). The Impact of Iceberg Orders in Limit Order Books. AFA 2009 San Francisco Meetings Paper, Vol. 09 (06).10.2139/ssrn.1108485
  21. Furse C., Haldane A., Goodhart C., Cliff D., . . . Bond P. (2012), Foresight: The future of computer trading in financial markets, Working paper, The Government Office for Science, Available at: http://www.cftc.gov/idc/groups/public/@aboutcftc/documents/file/tacfuturecomputertrading1012.pdf, Retrieved: 14-03-2016
  22. Gai J., Yao C., & Ye M. (2012), The externalities of high frequency trading, Available at: https://www.sec..gov/divisions/riskfin/seminar/ye031513.pdf, Retrieved: (28-04-2016)
  23. Gao C. (2015), High frequency trading, hidden orders and market quality in equities, Rutgers The State University of New Jersey-New Brunswick.
  24. Golub A., Keane J., & Poon S.-H. (2012), High frequency trading and mini flash crashes, arXiv preprint arXiv:1211.6667.10.2139/ssrn.2182097
  25. Gomber P., Arndt B., Lutat M., &Uhle T., . . . . (2011), High-frequency trading, Available at SSRN 1858626.10.2139/ssrn.1858626
  26. Gould M. D., Porter M. A., Williams S., McDonald M., . . . Howison S. (2013), Limit order books, Quantitative Finance, Vol. 13 (11).10.1080/14697688.2013.803148
  27. Hendershott, T., Jones, C.M., Menkveld, A.J. (2011). Does Algorithmic Trading Improve Liquidity, Wiley Online Library. The Journal of Finance, Vol. 66(1), 1-33. doi:10.1111/j.1540-6261.2010.01624.x.10.1111/j.1540-6261.2010.01624.x
  28. Jain, A., Jain, C. (2017). Hide-and-seek in the Limit Order Book, JOT, Vol. 12(3), 30-36. doi:10.3905/jot.2017.12.3.030.10.3905/jot.2017.12.3.030
  29. Jarnecic, E., Snape, M. (2010). An Analysis of Trades by High Frequency Participants on the London Stock Exchange. Proceedings from 17th Annual Conference of the Multinational Finance Society MFS, Vol. 2010. Retrieved from http://scholar.googleusercontent.com/scholar.enw?q=info:Qcl4EaByKFYJ:scholar.google.
  30. Kaya, O. (2016). High-frequency Trading: Reaching the Limits. Deutsche Bank. Retrieved fromhttps://www.dbresearch.com/PROD/DBR_INTERNET_EN-PROD/PROD0000000000406105/High-frequency_trading%3A_Reaching_the_limits.pdf. Access: 20-04-2017.
  31. Lenczewski Martins, C.J. (2018). Toxic Liquidity - is it Here to Stay?, NBP, Bank i Kredyt, Vol. 49(1), 1-16.
  32. Lepone, A., Mistry, M. (2011). The Information Content of Undisclosed Limit Orders around Broker Anonymity. Australasian Accounting, Business and Finance Journal, Vol. 5(1), 5-18.
  33. Levine, M. (2015, January 12). ‘Hide not Slide’ Orders Were Slippery and Hidden, Bloomberg. Retrieved from https://www.bloomberg.com/view/articles/2015-01-13/hide-not-slide-orders-were-slippery-and-hidden. Access: 31-03-2017.
  34. Malinova, K., Park, A., Riordan, R. (2013). Do Retail Traders Suffer from High Frequency Traders. Available at SSRN 2183806. Retrieved from http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2183806. Access: 20-01-2016.
  35. Moro, E., Vicente, J., Moyano, L.G., Gerig A., . . . Mantegna, R.N. (2009). Market Impact and Trading Profile of Hidden Orders in Stock Markets. Physical Review E, Vol. 80(6 Pt 2), 066102, doi:10.1103/PhysRevE.80.066102.10.1103/PhysRevE.80.066102
  36. Narang, M. (2010).Tradeworx, Inc. Public Commentary on SEC Market Structure Concept Release, File no. S7-02-10, Tradeworx. Retrieved from https://www.sec.gov/comments/s7-02-10/s70210-129.pdf, Access: 26-04-2017.
  37. NYSE (2019). NYSE Timeline, NYSE. Retrieved from https://www.nyse.com/publicdocs/American_Stock_Exchange_Historical_Timeline.pdf. Access: 29-05-2019.
  38. Pardo, A., Pascual, R. (2012). On the Hidden Side of Liquidity. Taylor & Francis. The European Journal of Finance, Vol. 18(10), 949-967.10.1080/1351847X.2011.601641
  39. Petrescu, M., Wedow, M. (2017). Dark Pools in European Equity Markets: Emergence, Competition and Implications. ECB, Occasional Paper Series, Vol. 193.
  40. Preda, A. (2009). Brief Encounters: Calculation and the Interaction Order of Anonymous Electronic Markets. Accounting, Organizations and Society, Vol. 34(5), 675-693, doi:10.1016/j.aos.2008.06.005.10.1016/j.aos.2008.06.005
  41. SEC, Rule 610, Regulation of the National Market System (NMS), §§242.610.
  42. SEC, Rule 600, Regulation of the National Market System (NMS), §§242.600.
  43. SEC, Rule 611, Regulation of the National Market System (NMS), §§242.611.
  44. SEC (2010). Findings Regarding the Market Events of May 6, 2010. Retrieved from https://www.sec.gov/news/studies/2010/marketevents-report.pdf.
  45. SEC (2019). Market Structure - Data Visualisations. Retrieved from https://www.sec.gov/marketstructure/datavis.html. Access: 24.04.2019.
  46. Stafford, P. (2016, September 5). FT Explainer: Keeping up with High-frequency Traders, Financial Times, Access: 06–03-2017.
  47. Tuttle, L.A. (2003). Hidden Orders, Trading Costs and Information, Trading Costs and Information, November 29, 2003.10.2139/ssrn.676019
  48. Xu, J. (2013). Optimal Strategies of High Frequency Traders. Available at SSRN 2382378.10.2139/ssrn.2382378
Language: English
Page range: 27 - 35
Submitted on: Jan 31, 2020
|
Accepted on: Mar 15, 2020
|
Published on: Mar 31, 2020
In partnership with: Paradigm Publishing Services
Publication frequency: 4 issues per year

© 2020 Martins Carlos Jorge Lenczewski, published by University of Information Technology and Management in Rzeszow
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.