Albert J. Lee

Hanyang University

Seoul

Korea, Republic of (South Korea)

SCHOLARLY PAPERS

4

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Rank 47,350

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Top 47,350

in Total Papers Downloads

1,917

SSRN CITATIONS
Rank 22,139

SSRN RANKINGS

Top 22,139

in Total Papers Citations

50

CROSSREF CITATIONS

6

Ideas:
“  Web: www.albertjlee.com  ”

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 Hanyang University
Downloads 670 (72,804)
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, Hanyang University and State University of New York at Buffalo - School of Management
Downloads 600 (83,583)
Citation 49

Abstract:

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Tick size; Pilot program; Pricing efficiency; Liquidity spillover

3.

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

Number of pages: 55 Posted: 25 Feb 2019 Last Revised: 10 Nov 2023
Albert J. Lee
Hanyang University
Downloads 338 (164,459)

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: 118 Posted: 30 Jun 2020 Last Revised: 25 Apr 2022
Albert J. Lee and Kee H. Chung
Hanyang University and State University of New York at Buffalo - School of Management
Downloads 309 (180,870)

Abstract:

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Hidden liquidity, Tick Size Pilot Program, Undisclosed orders, Dark pools, Order aggressiveness, Algorithmic trading, Pricing efficiency