Algorithmic Trading Publications

Publications in Algorithmic Trading

Explore the most influential research papers and scholarly works that have shaped Algorithmic Trading. Use the concept filter below to focus on a specific sub-area of research.

Algorithmic Trading

2.9K

Publications

165.5K

Citations

Showing yearly statistics from 2000-2026.

Page 1

	Year	Citations
Bid, ask and transaction prices in a specialist market with heterogeneously informed traders Lawrence R. Glosten, Paul Milgrom Journal of Financial Economics Market MicrostructureEconomicsFinancial EconomicsMarket MechanismAlgorithmic Trading	1985	6.3K
Inferring Trade Direction from Intraday Data Charles M.C. Lee, Mark J. Ready The Journal of Finance Market MicrostructureEconomicsTrade ClassificationData ScienceIntraday Trade	1991	3K
Efficient mechanisms for bilateral trading Roger B. Myerson, Mark A. Satterthwaite Journal of Economic Theory EconomicsHigh-frequency TradingTradeAlgorithmic TradingBusiness	1983	2.5K
High-Frequency Trading and Price Discovery Jonathan Brogaard, Terrence Hendershott, Ryan Riordan Review of Financial Studies Market MicrostructureEconomicsLiquidity Supplying OrdersFinancial EconomicsAsset Pricing	2014	1.2K
Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns Brad M. Barber, Reuven Lehavy, Maureen F. McNichols, The Journal of Finance Abnormal Net ReturnsMarket MicrostructureAsset PricingAlgorithmic TradingStock Returns	2001	1.1K
Defining and Estimating a Trading Area David L. Huff Journal of Marketing EconomicsHigh-frequency TradingConceptual PropertiesTestable PropositionsTrade	1964	1.1K
Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap Ryan J. Sullivan, Allan Timmermann, Halbert White The Journal of Finance TradeLawTrading RulesBusiness AnalyticsSecurities Law	1999	1K
Inferring Trade Direction from Intraday Data Charles M.C. Lee, Mark J. Ready The Journal of Finance Trade ClassificationBusiness IntelligenceTradeBusiness AnalyticsMarket Design	1991	988
An Anatomy of Trading Strategies Jennifer Conrad, Gautam Kaul Review of Financial Studies Price ReversalsTradeMarket MicrostructureAsset PricingAlgorithmic Trading	1998	881
The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response * Eric Budish, Peter Cramton, John J. Shim The Quarterly Journal of Economics Electronic AuctionTradeMarket DesignDiscrete TimeMarket Microstructure	2015	847
Filter Rules and Stock-Market Trading Eugene F. Fama, Marshall E. Blume The Journal of Business EngineeringFilter RulesFinancial MathematicsExperimental FinanceAsset Pricing	1966	842
Technical analysis of the financial markets: a comprehensive guide to trading methods and applications Choice Reviews Online Financial MarketsBusiness AnalyticsSecond EditionNew MaterialAsset Pricing	1999	782

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