Does high-frequency trading increase systemic risk?

Continuous Auctions and Insider Trading

Albert S. Kyle · Econometrica · 1985 · 10K citations

Business, Economics, Auction Theory +12

Commonality in liquidity

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Business, Economics, Finance +17

Fundamentals and Stock Returns in Japan

Louis K.C. Chan, Yasushi Hamao, Josef Lakonishok · The Journal of Finance · 1991 · 1.4K citations · Full text

Business, Economics, Finance +17

An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse

Bruno Biais, Pierre Hillion, Chester S. Spatt · The Journal of Finance · 1995 · 1.1K citations

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Common factors in prices, order flows, and liquidity

Joel Hasbrouck · Journal of Financial Economics · 2001 · 1.1K citations

Business, Business Economics, Economics +14