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Applied Economics Letters Volume 23, 2016 - Issue 3
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Original Articles

Stock price leads and lags before the golden age of high-frequency trading

Bing AndersonFinance Area, Orfalea College of Business, California Polytechnic State University, San Luis Obispo, CA, USACorrespondence[email protected]
Pages 212-216 | Published online: 03 Aug 2015

References

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  • Carrion, A. 2013. “Very Fast Money: High-Frequency Trading on the NASDAQ.” Journal of Financial Markets 16: 680–711. doi:10.1016/j.finmar.2013.06.005.
  • Chaboud, A. P., B. Chiquoine, E. Hjalmarsson, and C. Vega. 2014. “Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market.” Journal of Finance 69: 2045–2084.
  • Easley, D., M. M. L. de Prado, and M. O’Hara. 2012. “Flow Toxicity and Liquidity in a High-frequency World.” Review of Financial Studies 25: 1457–1493. doi:10.1093/rfs/hhs053.
  • Finucane, T. J. 1999. “A New Measure of the Direction and Timing of Information Flow between Markets.” Journal of Financial Markets 2: 135–151. doi:10.1016/S1386-4181(98)00010-X.
  • Granger, C. W. J. 1969. “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods.” Econometrica 37: 424–438.
  • Hagstromer, B., and L. Norden. 2013. “The Diversity of High-Frequency Traders.” Journal of Financial Markets 16: 741–770. doi:10.1016/j.finmar.2013.05.009.
  • Hasbrouck, J., and G. Saar. 2013. “Low-Latency Trading.” Journal of Financial Markets 16: 646–679. doi:10.1016/j.finmar.2013.05.003.
  • Manahov, V., and R. Hudson. 2014. “The Implications of High-Frequency Trading on Market Efficiency and Price Discovery.” Applied Economics Letters 21: 1148–1151. doi:10.1080/13504851.2014.914135.
  • Menkveld, A. J. 2013. “High Frequency Trading and the New Market Makers.” Journal of Financial Markets 16: 712–740. doi:10.1016/j.finmar.2013.06.006.
  • Zhang, X. F. 2010. “High-Frequency Trading, Stock Volatility, and Price Discovery.” Yale University Working Paper. New Haven, CT: Yale University.

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