Albert J. Lee

SUNY at Buffalo - School of Management

Jacobs Management Center

Buffalo, NY 14222

United States

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 44,330

SSRN RANKINGS

Top 44,330

in Total Papers Downloads

1,095

SSRN CITATIONS

2

CROSSREF CITATIONS

7

Scholarly Papers (4)

1.

High-Frequency Trading: Review of the Literature and Regulatory Initiatives Around the World

Asia-Pacific Journal of Financial Studies, Forthcoming
Number of pages: 40 Posted: 02 Dec 2015
Kee H. Chung and Albert J. Lee
State University of New York at Buffalo - School of Management and SUNY at Buffalo - School of Management
Downloads 518 (60,004)
Citation 1

Abstract:

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High-frequency traders, Market quality, Market volatility, Market regulation, Algorithmic trading

2.

Tick Size, Liquidity for Small and Large Orders, and Price Informativeness: Evidence from the Tick Size Pilot Program

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 85 Posted: 04 Aug 2018 Last Revised: 08 Aug 2019
Kee H. Chung, Albert J. Lee and Dominik Rösch
State University of New York at Buffalo - School of Management, SUNY at Buffalo - School of Management and State University of New York at Buffalo - School of Management
Downloads 397 (82,725)
Citation 6

Abstract:

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Tick size; Pilot program; Pricing efficiency; Liquidity spillover

3.

Buy-Sell Imbalances Around Round Numbers and High-Frequency Trading

Number of pages: 61 Posted: 25 Feb 2019 Last Revised: 29 Sep 2019
Albert J. Lee
SUNY at Buffalo - School of Management
Downloads 132 (241,692)

Abstract:

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high-frequency traders; algorithmic trading; behavioral finance; order imbalance; financial anomaly

4.

Hidden Liquidity, Market Quality, and Order Submission Strategies

Number of pages: 76 Posted: 30 Jun 2020 Last Revised: 07 Oct 2020
Albert J. Lee and Kee H. Chung
SUNY at Buffalo - School of Management and State University of New York at Buffalo - School of Management
Downloads 48 (438,369)

Abstract:

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Hidden liquidity, Undisclosed orders, Order aggressiveness, Algorithmic trading, Pricing efficiency