High Frequency Traders and Asset Prices

Order flow composition and trading costs in a dynamic limit order market

Thierry Foucault · Journal of Financial Markets · 1999 · 714 citations

Business, Finance, Dynamical Systems +13

Price Dynamics in Limit Order Markets

Christine A. Parlour · Review of Financial Studies · 1998 · 630 citations

Social Sciences, Business Economics, Economics +13

High-frequency trading in a limit order book

Marco Avellaneda, Sasha Stoikov · Quantitative Finance · 2008 · 498 citations

Business, Finance, Financial Economics +12

Competing Mechanisms in a Common Value Environment

Bruno Biais, David Martimort, Jean‐Charles Rochet · Econometrica · 2000 · 371 citations

Social Sciences, Business Economics, Economics +15

Liquidity-Based Competition for Order Flow

Christine A. Parlour, Duane J. Seppi · Review of Financial Studies · 2003 · 234 citations

Social Sciences, Economics, Finance +16