Search Results
Capital Markets: Market Microstructure eJournal

2,606,343 Total downloads | Link to this page | Subscribe to this eJournal (requires login)

Viewing: 1 - 50 of 7,200 papers

1.

A Checklist for Reviewing a Paper

Duke I&E Research Paper No. 2017-03, Stanford University Graduate School of Business Research Paper No. 17-6
Number of pages: 2 Posted: 21 Dec 2016 Last Revised: 10 Sep 2020
Working Paper Series
Stanford Graduate School of Business, Duke University - Fuqua School of Business and Marshall School of Business, USCUniversity of California, Irvine - Paul Merage School of Business
Downloads 28,314
2.

The Flash Crash: High-Frequency Trading in an Electronic Market

Journal of Finance, Forthcoming
Number of pages: 42 Posted: 27 May 2011 Last Revised: 10 Mar 2018
Accepted Paper Series
University of Cambridge - Finance, University of Maryland, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 18,592
3.

The Microstructure of the ‘Flash Crash’: Flow Toxicity, Liquidity Crashes and the Probability of Informed Trading

The Journal of Portfolio Management, Vol. 37, No. 2, pp. 118-128, Winter 2011
Number of pages: 15 Posted: 21 May 2019 Last Revised: 30 May 2019
Working Paper Series
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 18,538
4.

Flow Toxicity and Liquidity in a High Frequency World

Review of Financial Studies, Vol. 25, No. 5, pp. 1457-1493, 2012.
Number of pages: 71 Posted: 23 Oct 2010 Last Revised: 15 Apr 2012
Accepted Paper Series
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 16,875
5.

The Volume Clock: Insights into the High Frequency Paradigm

The Journal of Portfolio Management, (Fall, 2012) , Johnson School Research Paper Series No. 9-2012
Number of pages: 23 Posted: 21 May 2019 Last Revised: 30 May 2019
Working Paper Series
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 13,367
6.

Preparing a Referee Report: Guidelines and Perspectives

Number of pages: 9 Posted: 11 Jan 2015 Last Revised: 21 Dec 2016
Working Paper Series
Stanford Graduate School of Business, Duke University - Fuqua School of Business and Marshall School of Business, USCUniversity of California, Irvine - Paul Merage School of Business
Downloads 12,576
7.

High Frequency Trading and the New-Market Makers

Journal of Financial Markets, Vol. 16, 2013
Number of pages: 49 Posted: 10 Dec 2010 Last Revised: 31 Dec 2013
Accepted Paper Series
Vrije Universiteit Amsterdam
Downloads 12,518
8.

High-Frequency Trading

Number of pages: 86 Posted: 06 Jun 2011
Working Paper Series
Goethe University Frankfurt Faculty of Economics and Business Administration, Independent, Goethe University Frankfurt Faculty of Economics and Business Administration and Goethe University Frankfurt Faculty of Economics and Business Administration
Downloads 11,399
9.

Competition and Crisis in Mortgage Securitization

Indiana Law Journal, Vol. 88, p.213, (2013)
Number of pages: 59 Posted: 10 Sep 2011 Last Revised: 22 Sep 2013
Accepted Paper Series
University of Southern California Gould School of Law

Multiple version iconThere are 2 versions of this paper

Downloads 10,629
10.

Manipulation in the VIX?

Number of pages: 58 Posted: 24 May 2017
Working Paper Series
University of Texas at Austin - Department of Finance and Ohio State University, Fisher College of Business
Downloads 10,105
11.

High-Frequency Trading, Stock Volatility, and Price Discovery

Number of pages: 54 Posted: 14 Oct 2010 Last Revised: 27 Dec 2010
Working Paper Series
Yale School of Management
Downloads 9,637
12.

Market Risk Premium Used in 56 Countries in 2011: A Survey with 6,014 Answers

Number of pages: 14 Posted: 26 Apr 2011
Working Paper Series
IESE Business School, IESE Business School and IESE

Multiple version iconThere are 2 versions of this paper

Downloads 9,625
13.

The Remarkable Growth in Financial Economics, 1974-2020: Online Appendix

Journal of Financial Economics (JFE), Vol. 140, No. 3, 2021
Number of pages: 281 Posted: 15 Dec 2020 Last Revised: 12 May 2021
Accepted Paper Series
University of Rochester - Simon Business School
Downloads 9,450
14.

Market Microstructure: A Survey

Number of pages: 64 Posted: 28 Mar 2000
Working Paper Series
BlackRock, Inc.

Multiple version iconThere are 2 versions of this paper

Downloads 8,366
15.

A Stochastic Model for Order Book Dynamics

Number of pages: 23 Posted: 26 Sep 2008 Last Revised: 31 Aug 2009
Working Paper Series
University of Oxford, Cornell Financial Engineering Manhattan and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 7,918
16.

Market Risk Premium Used in 2010 by Analysts and Companies: A Survey with 2,400 Answers

Number of pages: 15 Posted: 19 May 2010 Last Revised: 24 May 2010
Working Paper Series
IESE Business School and affiliation not provided to SSRN
Downloads 7,907
17.

Prima de riesgo del mercado utilizada para España: encuesta 2011 (The Equity Premium in Spain: Survey 2011)

Number of pages: 10 Posted: 26 Apr 2011 Last Revised: 16 Jan 2018
Working Paper Series
IESE Business School, IESE Business School and IESE
Downloads 7,370
18.

Corporate Governance and the Returns on Investment

Number of pages: 59 Posted: 23 Apr 2003
Working Paper Series
Vienna University of Economics and Business, University of Vienna - Center for Business Studies - Department of Economics and WHU - Otto Beisheim School of Management
Downloads 7,265
19.

The Exchange of Flow Toxicity

The Journal of Trading, Vol. 6, No. 2, pp. 8-13, Spring 2011; https://doi.org/10.3905/jot.2011.6.2.008. , Johnson School Research Paper Series No. 10-2011
Number of pages: 12 Posted: 17 Jul 2019 Last Revised: 17 Jul 2019
Working Paper Series
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 6,865
20.

Discerning Information from Trade Data

Journal of Financial Economics, 120(2), pp. 269-286. May 2016, Johnson School Research Paper Series No. 8-2012
Number of pages: 56 Posted: 23 Jan 2012 Last Revised: 16 May 2016
Accepted Paper Series
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 6,762
21.

High Frequency Pairs Trading with U.S. Treasury Securities: Risks and Rewards for Hedge Funds

Number of pages: 27 Posted: 19 Jul 2004
Working Paper Series
London Business School
Downloads 6,670
22.

Buy Low Sell High: A High Frequency Trading Perspective

Cartea, Álvaro, Sebastian Jaimungal, and Jason Ricci. "Buy low, sell high: A high frequency trading perspective." SIAM Journal on Financial Mathematics 5.1 (2014): 415-444.
Number of pages: 37 Posted: 26 Nov 2011 Last Revised: 27 Apr 2015
Accepted Paper Series
University of Oxford, University of Toronto - Department of Statistics and University of Toronto, Department of Statistics
Downloads 6,497
23.

Implementing Momentum: What Have We Learned?

Number of pages: 24 Posted: 11 Dec 2017
Working Paper Series
AQR Capital Management, LLC, Yale University, Yale SOMAQR Capital, AQR Capital Management, LLC and AQR Capital Management
Downloads 6,084
24.

What Do We Know About High-Frequency Trading?

Columbia Business School Research Paper No. 13-11
Number of pages: 56 Posted: 21 Mar 2013
Working Paper Series
Columbia Business School
Downloads 5,991
25.

Ten Financial Applications of Machine Learning (Seminar Slides)

Number of pages: 27 Posted: 18 Jun 2018 Last Revised: 27 Feb 2020
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 5,870
26.

CAPM: un modelo absurdo (CAPM: An Absurd Model)

Number of pages: 16 Posted: 23 Sep 2014 Last Revised: 13 Oct 2019
Working Paper Series
IESE Business School
Downloads 5,806
27.

The Truth About Reverse Mergers

Entrepreneurial Business Law Journal, Vol. 2, 2008
Number of pages: 17 Posted: 09 Nov 2007 Last Revised: 24 Jun 2008
Accepted Paper Series
University of Arizona - James E. Rogers College of Law
Downloads 5,640
28.

The Price Impact of Order Book Events

JOURNAL OF FINANCIAL ECONOMETRICS (Winter 2014) 12 (1): 47-88.
Number of pages: 32 Posted: 28 Nov 2010 Last Revised: 17 Sep 2015
Accepted Paper Series
University of Oxford, Tower Research Capital, LLC and Cornell Financial Engineering Manhattan
Downloads 5,616
29.

Does Algorithmic Trading Improve Liquidity?

Journal of Finance, Vol. 66, pp. 1-33, WFA 2008 Paper
Number of pages: 54 Posted: 05 Mar 2008 Last Revised: 27 Jul 2011
Accepted Paper Series
University of California, Berkeley - Haas School of Business, Columbia Business School and Vrije Universiteit Amsterdam
Downloads 5,483
30.

Modeling Asset Prices for Algorithmic and High Frequency Trading

Applied Mathematical Finance, Vol. 20, No. 6, 2013
Number of pages: 32 Posted: 09 Dec 2010 Last Revised: 28 Feb 2014
Working Paper Series
University of Oxford and University of Toronto - Department of Statistics
Downloads 5,450
31.

Low-Latency Trading

Johnson School Research Paper Series No. 35-2010, AFA 2012 Chicago Meetings Paper
Number of pages: 56 Posted: 22 Oct 2010 Last Revised: 22 May 2013
Working Paper Series
New York University (NYU) - Department of Finance and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 5,408
32.

US Market Risk Premium Used in 2011 by Professors, Analysts and Companies: A Survey with 5.731 Answers

Number of pages: 17 Posted: 11 Apr 2011
Working Paper Series
IESE Business School, IESE Business School and IESE
Downloads 5,371
33.

Trading Costs

Number of pages: 88 Posted: 22 Aug 2018
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and Yale University, Yale SOMAQR Capital
Downloads 5,320
34.

Spam Works: Evidence from Stock Touts and Corresponding Market Activity

Berkman Center Research Publication No. 2006-11, Harvard Public Law Working Paper No. 135, Oxford Legal Studies Research Paper No. 43/2006
Number of pages: 44 Posted: 27 Jul 2006
Working Paper Series
Purdue University - Krannert School of Management and Harvard Law School and Harvard Kennedy School of Government
Downloads 5,246
35.

Statistical Modeling of High Frequency Financial Data: Facts, Models and Challenges

Number of pages: 12 Posted: 26 Jan 2011 Last Revised: 15 Mar 2011
Working Paper Series
University of Oxford
Downloads 5,121
36.

Kinetic Component Analysis

Journal of Investing, Vol. 25, No. 3, 2016
Number of pages: 24 Posted: 21 May 2019 Last Revised: 30 May 2019
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and University of Oxford - Mathematical Institute
Downloads 5,114
37.

Is There a Dark Side to Exchange Traded Funds? An Information Perspective

Review of Accounting Studies, Vol. 22, Pages 1048-1083, 2017
Number of pages: 56 Posted: 03 Jul 2015 Last Revised: 09 Aug 2017
Accepted Paper Series
IDC Herzliya - Arison School of Business, Stanford University - Graduate School of Business and Emory University - Goizueta Business School
Downloads 5,016
38.

Stock Price Clustering on Option Expiration Dates

Number of pages: 53 Posted: 22 Mar 2004
Working Paper Series
Hong Kong Baptist University (HKBU), University of Illinois at Urbana-Champaign - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 5,008
39.

Scale Effects in Mutual Fund Performance: The Role of Trading Costs

Number of pages: 41 Posted: 13 Dec 2006 Last Revised: 08 Jul 2009
Working Paper Series
Virginia Tech, University of Virginia - Darden School of Business and Virginia Polytechnic Institute & State University - Pamplin College of Business
Downloads 4,932
40.

Risk and Return in High-Frequency Trading

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 82 Posted: 06 May 2014 Last Revised: 10 Jan 2018
Accepted Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Utah - David Eccles School of Business, Stockholm University - Stockholm Business School and University of Cambridge - Finance
Downloads 4,907
41.

Governance and Intermediation Problems in Capital Markets: Evidence from the Fall of Enron

Harvard NOM Working Paper No. 02-27
Number of pages: 52 Posted: 15 Oct 2002
Working Paper Series
Harvard Business School and Harvard University - Harvard Business School
Downloads 4,864
42.

Intraday Share Price Volatility and Leveraged ETF Rebalancing

Number of pages: 49 Posted: 13 Oct 2012 Last Revised: 07 Jan 2016
Working Paper Series
York University - Schulich School of Business, University of Toronto - Rotman School of Management, Independent and Independent
Downloads 4,814
43.

Dash for Cash: Monthly Market Impact of Institutional Liquidity Needs

FORTHCOMING IN THE REVIEW OF FINANCIAL STUDIES
Number of pages: 88 Posted: 22 Nov 2014 Last Revised: 22 Feb 2019
Working Paper Series
Independent, Universite du Luxembourg - Department of Finance, Aalto University School of Business and Independent
Downloads 4,793
44.

The Information Role of Conservatism

Number of pages: 59 Posted: 02 Aug 2006
Working Paper Series
Algert Global, LLC and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 4,648
45.

A Century of Stock Market Liquidity and Trading Costs

Number of pages: 48 Posted: 13 Sep 2002
Working Paper Series
Columbia Business School
Downloads 4,628
46.

Advances in High Frequency Strategies

Doctoral Dissertation, Complutense University, Madrid, 2011
Number of pages: 42 Posted: 14 Jul 2012 Last Revised: 08 Aug 2015
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 4,582
47.

Getting up to Speed on the Financial Crisis: A One-Weekend-Reader's Guide

Number of pages: 33 Posted: 19 Dec 2011 Last Revised: 11 Jan 2012
Working Paper Series
Yale School of Management and Yale School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 4,545
48.

Algorithmic Trading and Market Quality: International Evidence

Journal of Financial and Quantitative Analysis
Number of pages: 47 Posted: 15 Mar 2012 Last Revised: 15 May 2020
Accepted Paper Series
Singapore Management University - Lee Kong Chian School of Business, University of New South Wales - School of Banking and Finance and University of Nebraska - Lincoln
Downloads 4,534
49.

Market Risk Premium Used in 2010 by Professors: A Survey with 1,500 Answers

Number of pages: 15 Posted: 16 May 2010 Last Revised: 17 May 2010
Working Paper Series
IESE Business School and affiliation not provided to SSRN
Downloads 4,528
50.

Middlemen in Limit Order Markets

Number of pages: 56 Posted: 13 Jun 2010 Last Revised: 21 Jun 2016
Working Paper Series
New York University - Department of Economics and Vrije Universiteit Amsterdam
Downloads 4,471