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Capital Markets: Market Microstructure eJournal

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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, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 17,205
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: 18 Apr 2017
Accepted Paper Series
Imperial College London - Centre for Global Finance and Technology, University of Maryland, Southern Methodist University (SMU) - Edwin L. Cox School of Business and Federal Reserve Board
Downloads 15,354
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, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 15,300
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 University Amsterdam
Downloads 9,780
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 9,594
6.

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 9,075
7.

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 8,982
8.

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, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 8,219
9.

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 7,585
10.

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 7,276
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 7,115
12.

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 7,094
13.

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

Multiple version iconThere are 2 versions of this paper

Downloads 6,994
14.

A Stochastic Model for Order Book Dynamics

Number of pages: 23 Posted: 26 Sep 2008 Last Revised: 31 Aug 2009
Working Paper Series
Imperial College London, Cornell Financial Engineering Manhattan and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 6,872
15.

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, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 6,379
16.

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 5,962
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: 07 May 2015
Working Paper Series
University of Navarra - IESE Business School, IESE Business School and IESE
Downloads 5,740
18.

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 5,114
19.

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 5,037
20.

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 - Finance and Economics and VU University Amsterdam
Downloads 4,962
21.

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 4,718
22.

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 4,688
23.

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 4,559
24.

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 4,452
25.

Stock Price Clustering on Option Expiration Dates

AFA 2005 Philadelphia Meetings
Number of pages: 53 Posted: 22 Mar 2004
Working Paper Series
Hong Kong University of Science and Technology, University of Illinois at Urbana-Champaign - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 4,406
26.

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, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 4,374
27.

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 4,326
28.

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
University of California, Davis - Graduate School of Management, University of Virginia - Darden School of Business and Virginia Polytechnic Institute & State University - Pamplin College of Business
Downloads 4,310
29.

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 4,304
30.

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 4,274
31.

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 - Finance and Economics
Downloads 4,224
32.

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 4,184
33.

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
Imperial College London, AQR Capital Management, LLC and Cornell Financial Engineering Manhattan
Downloads 4,160
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
Imperial College London
Downloads 4,050
35.

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 3,927
36.

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 3,846
37.

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 3,824
38.

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 3,811
39.

Day Trading International Mutual Funds: Evidence And Policy Solutions

AFA 2001 New Orleans; Yale SOM Working Paper No. ICF - 00-03
Number of pages: 38 Posted: 05 Apr 2000
Working Paper Series
Yale School of Management - International Center for Finance, Michigan State University, Department of Finance and Yale School of Management - International Center for Finance

Multiple version iconThere are 2 versions of this paper

Downloads 3,738
40.

Are Momentum Profits Robust to Trading Costs?

Northwestern University Department of Finance Working Paper No. 289; AFA 2003 Washington, DC Meetings
Number of pages: 43 Posted: 28 Mar 2002
Working Paper Series
Northwestern University - Kellogg School of Management and Boston College - Carroll School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 3,709
41.

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 3,632
42.

PIPEs

Entrepreneurial Business Law Journal, Vol. 2, p. 381, 2007
Number of pages: 33 Posted: 11 Jun 2007 Last Revised: 27 Nov 2007
Accepted Paper Series
University of Arizona - James E. Rogers College of Law
Downloads 3,613
43.

A Century of Stock Market Liquidity and Trading Costs

Number of pages: 48 Posted: 13 Sep 2002
Working Paper Series
Columbia Business School - Finance and Economics
Downloads 3,533
44.

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
Interdisciplinary Center (IDC) Herzliya - Arison School of Business, Stanford University - Graduate School of Business and Emory University - Goizueta Business School
Downloads 3,514
45.

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 University Amsterdam
Downloads 3,513
46.

On Information Asymmetry Metrics

Number of pages: 60 Posted: 18 Jan 2001
Working Paper Series
Georgia Institute of Technology - Scheller College of Business and University of Pittsburgh - Finance Group
Downloads 3,472
47.

Empirical Limitations on High Frequency Trading Profitability

Number of pages: 15 Posted: 22 Sep 2010
Working Paper Series
University of Pennsylvania, University of Pennsylvania and University of Pennsylvania
Downloads 3,432
48.

IAS versus US GAAP: Information Asymmetry-Based Evidence from Germany's New Market

Number of pages: 43 Posted: 28 Jun 2001
Working Paper Series
University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 3,405
49.

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 3,398
50.

Dash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns

AFA 2016 San Francisco, Finance Down Under 2016 Building on the Best from the Cellars of Finance
Number of pages: 62 Posted: 22 Nov 2014 Last Revised: 16 Dec 2016
Working Paper Series
Independent, Luxembourg School of Finance, Aalto University School of Business and Independent
Downloads 3,358