Albert J. Lee

SUNY at Buffalo - School of Management

Jacobs Management Center

Buffalo, NY 14222

United States

SCHOLARLY PAPERS

3

DOWNLOADS
Rank 48,614

SSRN RANKINGS

Top 48,614

in Total Papers Downloads

810

CITATIONS

1

Scholarly Papers (3)

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 480 (57,507)
Citation 4

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: 84 Posted: 04 Aug 2018 Last Revised: 28 May 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 238 (126,744)

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: 59 Posted: 25 Feb 2019
Albert J. Lee
SUNY at Buffalo - School of Management
Downloads 92 (276,190)

Abstract:

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