1,083
Views
1
CrossRef citations to date
0
Altmetric

References

  • Agarwalla, S. K., J. Jacob, and J. R. Varma. 2014. “Four Factor Model in Indian Equities Market.” Indian Institute of Management, Ahmedabad Working Paper (2013-09), 05.
  • Ahn, H. J., J. Cai, and Y. L. Cheung. 2005. “Price Clustering on the Limit-Order Book: Evidence from the Stock Exchange of Hong Kong.” Journal of Financial Markets 8 (4): 421–51. doi:10.1016/j.finmar.2005.07.001.
  • Aitken, M., P. Brown, C. Buckland, H. Y. Izan, and T. Walter. 1996. “Price Clustering on the Australian Stock Exchange.” Pacific-Basin Finance Journal 4 (2–3): 297–314. doi:10.1016/0927-538X(96)00016-9.
  • Angel, J. 2021. “Gamestonk: What Happened and What to do About It.” Available at SSRN 3782195.
  • Banerjee, A., and P. Roy. 2022. "Are High Frequency Traders Really Market-Makers." SSRN working paper.
  • Barber, B. M., Y. T. Lee, Y. J. Liu, and T. Odean. 2009. “Just How Much Do Individual Investors Lose by Trading?” Review of Financial Studies 22 (2): 609–32. doi:10.1093/rfs/hhn046.
  • Barber, B. M., and T. Odean. 2000. “Trading is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors.” The Journal of Finance 55 (2): 773–806. doi:10.1111/0022-1082.00226.
  • Baron, M., J. Brogaard, B. Hagströmer, and A. Kirilenko. 2019. “Risk and Return in High-Frequency Trading.” Journal of Financial and Quantitative Analysis 54 (3): 993–1024. doi:10.1017/S0022109018001096.
  • Barrot, J. N., R. Kaniel, and D. Sraer. 2016. “Are Retail Traders Compensated for Providing Liquidity?” Journal of Financial Economics 120 (1): 146–68. doi:10.1016/j.jfineco.2016.01.005.
  • Bessembinder, H., M. Panayides, and K. Venkataraman. 2009. “Hidden Liquidity: An Analysis of Order Exposure Strategies in Electronic Stock Markets.” Journal of Financial Economics 94 (3): 361–83. doi:10.1016/j.jfineco.2009.02.001.
  • Bhattacharya, U., C. W. Holden, and S. Jacobsen. 2012. “Penny Wise, Dollar Foolish: Buy–Sell Imbalances on and around Round Numbers.” Management Science 58 (2): 413–31. doi:10.1287/mnsc.1110.1364.
  • Biais, B., and T. Foucault. 2014. “HFT and Market Quality.” Bankers, Markets & Investors 2014 (128): 5–19.
  • Biais, B., T. Foucault, and S. Moinas. 2015. “Equilibrium Fast Trading.” Journal of Financial Economics 116 (2): 292–313. doi:10.1016/j.jfineco.2015.03.004.
  • Boehmer, E., K. Fong, and J. J. Wu. 2021. “Algorithmic Trading and Market Quality: International Evidence.” Journal of Financial and Quantitative Analysis 56 (8): 2659–88. doi:10.1017/S0022109020000782.
  • Boehmer, E., C. M. Jones, X. Zhang, and X. Zhang. 2021. “Tracking Retail Investor Activity.” The Journal of Finance 76 (5): 2249–305. doi:10.1111/jofi.13033.
  • Brogaard, J., A. Carrion, T. Moyaert, R. Riordan, A. Shkilko, and K. Sokolov. 2018. “High Frequency Trading and Extreme Price Movements.” Journal of Financial Economics 128 (2): 253–65. doi:10.1016/j.jfineco.2018.02.002.
  • Brogaard, J., T. Hendershott, and R. Riordan. 2019. “Price Discovery without Trading: Evidence from Limit Orders.” The Journal of Finance 74 (4): 1621–58. doi:10.1111/jofi.12769.
  • Chae, J. 2005. “Trading Volume, Information Asymmetry, and Timing Information.” The Journal of Finance 60 (1): 413–42. doi:10.1111/j.1540-6261.2005.00734.x.
  • Chakrabarty, B., T. Hendershott, S. Nawn, and R. Pascual. 2020. “Order Exposure in High Frequency Markets.” Available at SSRN 3074049.
  • Chakravarty, S. 2001. “Stealth-Trading: Which Traders’ Trades Move Stock Prices?” Journal of Financial Economics 61 (2): 289–307. doi:10.1016/S0304-405X(01)00063-0.
  • Collin-Dufresne, P., and V. Fos. 2015. “Do Prices Reveal the Presence of Informed Trading?” The Journal of Finance 70 (4): 1555–82. doi:10.1111/jofi.12260.
  • Copeland, T. E., and D. Galai. 1983. “Information Effects on the Bid‐Ask Spread.” The Journal of Finance 38 (5): 1457–69. doi:10.1111/j.1540-6261.1983.tb03834.x.
  • Davis, R. L., B. F. Van Ness, and R. A. Van Ness. 2014. “Clustering of Trade Prices by High‐Frequency and Non–High‐Frequency Trading Firms.” Financial Review 49 (2): 421–33. doi:10.1111/fire.12042.
  • Domowitz, I., and H. Yegerman. 2005. “The Cost of Algorithmic Trading: A First Look at Comparative Performance.” The Journal of Trading 1 (1): 33–42. doi:10.3905/jot.2006.609174.
  • Easley, D., M. L. de Prado, and M. O’Hara. 2016. “Discerning Information from Trade Data.” Journal of Financial Economics 120 (2): 269–85. doi:10.1016/j.jfineco.2016.01.018.
  • Easley, D., N. M. Kiefer, M. O’Hara, and J. B. Paperman. 1996. “Liquidity, Information, and Infrequently Traded Stocks.” The Journal of Finance 51 (4): 1405–36. doi:10.1111/j.1540-6261.1996.tb04074.x.
  • Engen, E. M., and A. Lehnert. 2000. “Mutual Funds and the US Equity Market.” Fed. Res. Bull 86:797.
  • Fama, E. F. 1998. “Market Efficiency, Long-Term Returns, and Behavioral Finance.” Journal of Financial Economics 49 (3): 283–306. doi:10.1016/S0304-405X(98)00026-9.
  • Fong, K. Y., D. R. Gallagher, and A. D. Lee. 2014. “Individual Investors and Broker Types.” Journal of Financial and Quantitative Analysis 49 (2): 431–51. doi:10.1017/S0022109014000349.
  • Hagströmer, B., and L. Nordén. 2013. “The Diversity of High-Frequency Traders.” Journal of Financial Markets 16 (4): 741–70. doi:10.1016/j.finmar.2013.05.009.
  • Handa, P., R. A. Schwartz, and A. Tiwari. 1998. “The Ecology of an Order-Driven Market.” The Journal of Portfolio Management 24 (2): 47–55. doi:10.3905/jpm.24.2.47.
  • Hendershott, T., C. M. Jones, and A. J. Menkveld. 2011. “Does Algorithmic Trading Improve Liquidity?” The Journal of Finance 66 (1): 1–33. doi:10.1111/j.1540-6261.2010.01624.x.
  • Hendershott, T., D. Livdan, and N. Schürhoff. 2015. “Are Institutions Informed about News?” Journal of Financial Economics 117 (2): 249–87. doi:10.1016/j.jfineco.2015.03.007.
  • Hendershott, T., and R. Riordan. 2013. “Algorithmic Trading and the Market for Liquidity.” Journal of Financial and Quantitative Analysis 48 (4): 1001–24. doi:10.1017/S0022109013000471.
  • Hoffmann, P. 2014. “A Dynamic Limit Order Market with Fast and Slow Traders.” Journal of Financial Economics 113 (1): 156–69. doi:10.1016/j.jfineco.2014.04.002.
  • Hong, H., T. Lim, and J. C. Stein. 2000. “Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies.” The Journal of Finance 55 (1): 265–95. doi:10.1111/0022-1082.00206.
  • Jørgensen, K., J. Skjeltorp, and B. A. Ødegaard. 2018. “Throttling Hyperactive Robots–Order-to-Trade Ratios at the Oslo Stock Exchange.” Journal of Financial Markets 37:1–16. doi:10.1016/j.finmar.2017.09.001.
  • Kaniel, R., S. Liu, G. Saar, and S. Titman. 2012. “Individual Investor Trading and Return Patterns around Earnings Announcements.” The Journal of Finance 67 (2): 639–80. doi:10.1111/j.1540-6261.2012.01727.x.
  • Kaniel, R., G. Saar, and S. Titman. 2008. “Individual Investor Trading and Stock Returns.” The Journal of Finance 63 (1): 273–310. doi:10.1111/j.1540-6261.2008.01316.x.
  • Kelley, E. K., and P. C. Tetlock. 2013. “How Wise Are Crowds? Insights from Retail Orders and Stock Returns.” The Journal of Finance 68 (3): 1229–65. doi:10.1111/jofi.12028.
  • Kim, S. T., and H. R. Stoll. 2014. “Are Trading Imbalances Indicative of Private Information?” Journal of Financial Markets 20:151–74. doi:10.1016/j.finmar.2014.03.003.
  • Kovacs, T. 2010. “Equity Issues and Temporal Variation in Information Asymmetry.” Journal of Banking & Finance 34 (1): 12–23.
  • Linnainmaa, J. T., and G. Saar. 2012. “Lack of Anonymity and the Inference from Order Flow.” The Review of Financial Studies 25 (5): 1414–56.
  • Menkveld, A. J. 2013. “High Frequency Trading and the New Market Makers.” Journal of Financial Markets 16 (4): 712–40. doi:10.1016/j.finmar.2013.06.006.
  • Nawn, S., and A. Banerjee. 2019. “Do Proprietary Algorithmic Traders Withdraw Liquidity during Market Stress?” Financial Management 48 (2): 641–76. doi:10.1111/fima.12238.
  • Odean, T. 1998. “Are Investors Reluctant to Realize Their Losses?” The Journal of Finance 53 (5): 1775–98. doi:10.1111/0022-1082.00072.
  • Odean, T. 1999. “Do Investors Trade Too Much?” American Economic Review 89 (5): 1279–98. doi:10.1257/aer.89.5.1279.
  • O’Hara, M. 1995. Market Microstructure Theory. New York: Wiley.
  • O’Hara, M. 2015. “High Frequency Market Microstructure.” Journal of Financial Economics 116 (2): 257–70. doi:10.1016/j.jfineco.2015.01.003.
  • Roll, R. 1984. “A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market.” The Journal of Finance 39 (4): 1127–39. doi:10.1111/j.1540-6261.1984.tb03897.x.
  • Seasholes, M. S., and N. Zhu. 2010. “Individual Investors and Local Bias.” The Journal of Finance 65 (5): 1987–2010. doi:10.1111/j.1540-6261.2010.01600.x.
  • Securities and Exchange Commission. 2010. “Concept Release on Market Structure.”
  • Sias, R. W., and L. T. Starks. 1997. “Return Autocorrelation and Institutional Investors.” Journal of Financial Economics 46 (1): 103–31. doi:10.1016/S0304-405X(97)00026-3.
  • Stoffman, N. 2014. “Who Trades with Whom? Individuals, Institutions, and Returns.” Journal of Financial Markets 21:50–75. doi:10.1016/j.finmar.2014.08.002.
  • Tian, X., B. Do, H. N. Duong, and P. S. Kalev. 2015. “Liquidity Provision and Informed Trading by Individual Investors.” Pacific-Basin Finance Journal 35:143–62. doi:10.1016/j.pacfin.2014.11.005.
  • van der Beck, P., and C. Jaunin. 2021. “The Equity Market Implications of The Retail Investment Boom.” Available at SSRN 3776421.
  • Van Kervel, V., and A. J. Menkveld. 2019. “High‐Frequency Trading around Large Institutional Orders.” The Journal of Finance 74 (3): 1091–137. doi:10.1111/jofi.12759.
  • Welch, I. 2022. “The Wisdom of the Robinhood Crowd.” Journal of Finance 77 (3): 1489–1527. doi:10.1111/jofi.13128.
  • Wyart, M., J. P. Bouchaud, J. Kockelkoren, M. Potters, and M. Vettorazzo. 2008. “Relation between Bid–Ask Spread, Impact and Volatility in Order-Driven Markets.” Quantitative Finance 8 (1): 41–57. doi:10.1080/14697680701344515.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.