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Capital Markets: Market Microstructure eJournal

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Viewing: 1 - 50 of 6,159 papers

1.

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: 22 Oct 2010 Last Revised: 31 Jan 2011
Accepted Paper Series
Cornell University - Department of Economics, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 17,625
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
Imperial College London - Centre for Global Finance and Technology, University of Maryland, Southern Methodist University (SMU) - Finance Department and Federal Reserve Board
Downloads 16,552
3.

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, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 15,780
4.

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
VU Amsterdam
Downloads 10,820
5.

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 10,474
6.

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
USC Gould School of Law

Multiple version iconThere are 2 versions of this paper

Downloads 9,921
7.

The Volume Clock: Insights into the High Frequency Paradigm

The Journal of Portfolio Management, (Fall, 2012) Forthcoming , Johnson School Research Paper Series No. 9-2012
Number of pages: 23 Posted: 05 Apr 2012 Last Revised: 20 Aug 2012
Accepted Paper Series
Cornell University - Department of Economics, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 9,579
8.

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
University of Navarra - IESE Business School, IESE Business School and IESE

Multiple version iconThere are 2 versions of this paper

Downloads 9,314
9.

Manipulation in the VIX?

Number of pages: 58 Posted: 24 May 2017
Working Paper Series
University of Texas at Austin - Department of Finance and University of Texas at Austin - Department of Finance
Downloads 8,889
10.

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 University of California, Irvine - Paul Merage School of Business
Downloads 8,618
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 7,962
12.

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 7,773
13.

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
University of Navarra - IESE Business School and affiliation not provided to SSRN
Downloads 7,505
14.

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 7,275
15.

Corporate Governance and the Returns on Investment

EFA 2002 Berlin Meetings Presented Paper; and ECGI - Finance Working Paper No. 06/2003
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 7,086
16.

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
University of Navarra - IESE Business School, IESE Business School and IESE
Downloads 6,623
17.

The Exchange of Flow Toxicity

The Journal of Trading, Vol. 6, No. 2, pp. 8-13, Spring 2011, Johnson School Research Paper Series No. 10-2011
Number of pages: 12 Posted: 27 Jan 2011 Last Revised: 27 Feb 2012
Accepted Paper Series
Cornell University - Department of Economics, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 6,517
18.

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 6,242
19.

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: 08 Jan 2017
Working Paper Series
Stanford Graduate School of Business, Duke University - Fuqua School of Business and University of California, Irvine - Paul Merage School of Business
Downloads 5,413
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, AQR Capital Management, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 5,240
21.

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
University of Navarra - IESE Business School, IESE Business School and IESE
Downloads 5,210
22.

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 VU Amsterdam
Downloads 5,150
23.

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 5,106
24.

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 5,057
25.

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 4,963
26.

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 4,959
27.

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 4,856
28.

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 4,754
29.

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 4,687
30.

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, AQR Capital Management, LLC and Cornell Financial Engineering Manhattan
Downloads 4,630
31.

Stock Price Clustering on Option Expiration Dates

AFA 2005 Philadelphia Meetings
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 4,601
32.

Implementing Momentum: What Have We Learned?

Number of pages: 24 Posted: 11 Dec 2017
Working Paper Series
AQR Capital Management, LLC, Yale University, Yale SOM, AQR Capital Management, LLC and AQR Capital Management
Downloads 4,596
33.

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 4,532
34.

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 4,456
35.

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 4,440
36.

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
University of Navarra - IESE Business School and affiliation not provided to SSRN
Downloads 4,360
37.

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 4,345
38.

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 4,253
39.

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 4,178
40.

Racing Towards the Top?: The Impact of Cross-Listings and Stock Market Competition on International Corporate Governance

Columbia Law and Economics Working Paper No. 205
Number of pages: 90 Posted: 15 Jun 2002
Working Paper Series
Columbia Law School
Downloads 4,137
41.

A Review of Research Related to Financial Analysts' Forecasts and Stock Recommendations

Number of pages: 117 Posted: 16 Nov 2005 Last Revised: 27 Apr 2010
Working Paper Series
University of Miami - Department of Accounting, University of Colorado at Boulder - Department of Accounting and College of William & Mary
Downloads 4,014
42.

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 Imperial College London - Centre for Global Finance and Technology
Downloads 4,011
43.

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

Number of pages: 16 Posted: 23 Sep 2014 Last Revised: 24 Jan 2018
Working Paper Series
University of Navarra - IESE Business School
Downloads 4,004
44.

Dash for Cash: Monthly Market Impact of Institutional Liquidity Needs

AFA 2016 San Francisco, Finance Down Under 2016 Building on the Best from the Cellars of Finance
Number of pages: 75 Posted: 22 Nov 2014 Last Revised: 12 Oct 2017
Working Paper Series
Independent, Luxembourg School of Finance, Aalto University School of Business and Independent
Downloads 4,003
45.

An Improved Moving Average Technical Trading Rule

Quantf Research Working Paper Series No. WP01/2014
Number of pages: 32 Posted: 13 Sep 2011 Last Revised: 02 Jun 2014
Working Paper Series
Quantf Research and University of Peloponnese - School of Management, Economics and Informatics
Downloads 3,979
46.

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 VU Amsterdam
Downloads 3,906
47.

The Occurrence and Timing of Events: The Application of Event History Models in Accounting and Finance Research

Number of pages: 79 Posted: 01 Nov 1999
Working Paper Series
Valparaiso University
Downloads 3,891
48.

A Century of Stock Market Liquidity and Trading Costs

Number of pages: 48 Posted: 13 Sep 2002
Working Paper Series
Columbia Business School
Downloads 3,884
49.

Algorithmic Trading and Market Quality: International Evidence

AFA 2013 San Diego Meetings Paper
Number of pages: 45 Posted: 15 Mar 2012 Last Revised: 08 Aug 2018
Working 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 3,803
50.

The New Stock Market: Sense and Nonsense

Duke Law Journal, Forthcoming, Columbia Law and Economics Working Paper No. 513, Columbia Business School Research Paper No. 15-32
Number of pages: 62 Posted: 19 Mar 2015
Accepted Paper Series
Columbia University - Law School, Columbia Business School - Finance and Economics and University of Michigan Law School
Downloads 3,778