Concepedia

Intraday volatility smile: Effects of fragmentation and high frequency trading on price efficiency

Stéphanie Ligot, Roland Gillet, Iryna Veryzhenko

Journal of International Financial Markets Institutions and Money · 2021 · 10 citations · 33 references

DOIFull text

Open access

Concepts

References

33

Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

Andrew W. Lo, A. Craig MacKinlay · Review of Financial Studies · 1988 · 3.8K citations

, , +11

One Security, Many Markets: Determining the Contributions to Price Discovery

Joel Hasbrouck · The Journal of Finance · 1995 · 1.6K citations

, , +17

High-Frequency Trading and Price Discovery

Jonathan Brogaard, Terrence Hendershott, Ryan Riordan · Review of Financial Studies · 2014 · 1.2K citations · Full text

, , +14

Low-latency trading

Joel Hasbrouck, Gideon Saar · Journal of Financial Markets · 2013 · 837 citations

, , +17

Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market

Alain Chaboud, Benjamin Chiquoine, Erik Hjalmarsson et al. · The Journal of Finance · 2014 · 632 citations · Full text

, , +17