SSRN Electronic Journal · 2012 · 14 citations · 13 references
BusinessEconomicsFinanceBankingFinancial EconomicsFinancial MarketsAlgorithmic TradingCapital MarketsForeign Exchange MarketsLiquidity MeasurementMarket LiquidityAverage OrderBid-ask DynamicsBid-ask Spread AnalysisBid-ask Spread ReactionFinancial Market VolatilityMarket Volatility EffectsTwo-sided Market DefinitionTwo-sided Market Models
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Joel Hasbrouck, Gideon Saar · Journal of Financial Markets · 2013 · 837 citations
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
Does Algorithmic Trading Improve Liquidity?
Terrence Hendershott, Charles M. Jones, Albert J. Menkveld · The Journal of Finance · 2011 · 486 citations · Full text
Peter Gomber, Björn Arndt, Marco Lutat et al. · SSRN Electronic Journal · 2011 · 259 citations · Full text
High-Frequency Trading, Stock Volatility, and Price Discovery
Frank Zhang · SSRN Electronic Journal · 2010 · 225 citations · Full text