Michael J. Aitken

Macquarie Graduate School of Management

Professor of ICT Strategy

North Ryde

Sydney, New South Wales 2109

Australia

  • Macquarie Graduate School of Management

SCHOLARLY PAPERS

19

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TOTAL CITATIONS
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Top 11,316

in Total Papers Citations

87

Scholarly Papers (19)

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1.

High Frequency Trading and End-of-Day Price Dislocation

Downloads 1,705 (22,452)
Citation 23

High Frequency Trading and End-of-Day Price Dislocation

Number of pages: 52 Posted: 12 Sep 2012 Last Revised: 22 Nov 2013
Douglas J. Cumming, Feng Zhan and Michael J. Aitken
Florida Atlantic University, Western University and Macquarie Graduate School of Management
Downloads 1,403 (29,629)
Citation 15

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High frequency trading, End-of-day price dislocation, Manipulation, Trading rules, Surveillance, Law and finance

High Frequency Trading and End-of-Day Price Dislocation

Journal of Banking and Finance, Forthcoming
Number of pages: 52 Posted: 12 Jun 2015
Michael J. Aitken, Douglas J. Cumming and Feng Zhan
Macquarie Graduate School of Management, Florida Atlantic University and Western University
Downloads 302 (213,223)
Citation 8

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High frequency trading, Price dislocation, Manipulation

2.

Ranking World Equity Markets on the Basis of Market Efficiency and Integrity

THE HP HANDBOOK OF WORLD STOCK, DERIVATIVE & COMMODITY EXCHANGES 2003, Herbie Skeete, ed., pp. xlix-lv, Mondo Visione Ltd., 2003
Number of pages: 25 Posted: 01 Feb 2004
Audris S. Siow and Michael J. Aitken
The University of Sydney - Discipline of Finance and Macquarie Graduate School of Management
Downloads 1,529 (26,504)
Citation 3

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Market Efficiency, Market Integrity, Manipulation

3.

A Worldwide Examination of Exchange Market Quality: Greater Integrity Increases Market Efficiency

Number of pages: 44 Posted: 22 Jul 2011 Last Revised: 22 Apr 2014
Frederick H. deB. Harris, Michael J. Aitken and Shan Ji
Wake Forest University, Macquarie Graduate School of Management and Capital Markets CRC
Downloads 539 (110,914)
Citation 4

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Market integrity, business ethics, security market quality, market manipulation

4.

Trade Size, High Frequency Trading, and Co-Location Around the World

European Journal of Finance, Forthcoming
Number of pages: 37 Posted: 31 Mar 2014
Michael J. Aitken, Douglas J. Cumming and Feng Zhan
Macquarie Graduate School of Management, Florida Atlantic University and Western University
Downloads 516 (117,021)
Citation 2

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Trade size, High frequency trading, Colocation, International market microstructure

5.

Closing Call Auctions and Liquidity

Number of pages: 25 Posted: 09 Apr 2003
Michael J. Aitken, Alex Frino and Carole Comerton-Forde
Macquarie Graduate School of Management, The University of Sydney - Discipline of Finance and University of Melbourne - Department of Finance
Downloads 516 (117,021)
Citation 3

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Closing call auctions, liquidity

6.

Algorithmic Trading and Market Quality: International Evidence of the Impact of Errors in Colocation Dates

Downloads 493 (123,606)

Algorithmic Trading and Market Quality: International Evidence of the Impact of Errors in Colocation Dates

Journal of Banking and Finance, Forthcoming
Number of pages: 41 Posted: 19 Apr 2023
Michael J. Aitken, Douglas J. Cumming and Feng Zhan
Macquarie Graduate School of Management, Florida Atlantic University and Western University
Downloads 264 (245,405)

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High frequency trading, Algorithmic trading, Colocation

Algorithmic Trading and Market Quality: International Evidence of the Impact of Errors in Colocation Dates

Number of pages: 41 Posted: 29 Jun 2021 Last Revised: 26 Apr 2023
Michael J. Aitken, Douglas J. Cumming and Feng Zhan
Macquarie Graduate School of Management, Florida Atlantic University and Western University
Downloads 229 (282,986)

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High frequency trading, Algorithmic trading, Colocation

7.

Exchange Trading Rules, Surveillance, and Insider Trading

Downloads 466 (132,286)
Citation 4

Exchange Trading Rules, Surveillance, and Insider Trading

Number of pages: 52 Posted: 07 Jul 2012 Last Revised: 29 Oct 2013
Douglas J. Cumming, Feng Zhan and Michael J. Aitken
Florida Atlantic University, Western University and Macquarie Graduate School of Management
Downloads 430 (143,921)
Citation 4

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Insider trading, Surveillance, Exchange Trading Rules, Law and Finance

Exchange Trading Rules, Surveillance and Insider Trading

Number of pages: 36 Posted: 11 Jun 2012
Douglas J. Cumming, Feng Zhan and Michael J. Aitken
Florida Atlantic University, Western University and Macquarie Graduate School of Management
Downloads 36 (983,415)

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Insider trading, Surveillance, Exchange Trading Rules, Law and Finance

8.

Trade Size, High Frequency Trading, and Co-Location Around the World

European Journal of Finance, Forthcoming
Number of pages: 37 Posted: 07 Nov 2012 Last Revised: 20 Nov 2014
Michael J. Aitken, Douglas J. Cumming and Feng Zhan
Macquarie Graduate School of Management, Florida Atlantic University and Western University
Downloads 426 (147,089)

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Trade size, High frequency trading, Co-location, International market microstructure

9.

Market Fairness: The Poor Country Cousin of Market Efficiency

Number of pages: 61 Posted: 23 May 2014 Last Revised: 02 Apr 2015
Michael J. Aitken, Angelo Aspris, Sean Foley and Frederick H. deB. Harris
Macquarie Graduate School of Management, University of Sydney - Discipline of Finance, Macquarie University and Wake Forest University
Downloads 319 (202,630)
Citation 4

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Market integrity, market fairness, manipulation, information leakage, algorithmic trading

10.

The Impact of the Shanghai–Hong Kong Connect on Market Liquidity and Price Divergence

8th Conference on Financial Markets and Corporate Governance (FMCG) 2017
Number of pages: 37 Posted: 24 Jan 2017
Michael J. Aitken, Shan Ji, Vito Mollica and Xiatong Wang
Macquarie Graduate School of Management, Capital Markets CRC, Macquarie Graduate School of Management and Macquarie University
Downloads 278 (234,393)
Citation 1

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Liquidity, Cross-listed securities, Bilateral investment

11.

The Impact of Closing Call Auction on Liquidity and Price Discovery Process: An Analysis on the Stock Exchange of Hong Kong

Number of pages: 31 Posted: 12 Aug 2011
Ka Nok Chan, Michael J. Aitken and Andrew Lepone
University of New South Wales (UNSW), Macquarie Graduate School of Management and University of Sydney
Downloads 278 (234,393)
Citation 3

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12.

Exchange Trading Rules, Surveillance, and Suspected Insider Trading

Journal of Corporate Finance, Forthcoming
Number of pages: 53 Posted: 12 Jun 2015
Michael J. Aitken, Douglas J. Cumming and Feng Zhan
Macquarie Graduate School of Management, Florida Atlantic University and Western University
Downloads 240 (271,708)
Citation 12

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Insider trading, Surveillance, Exchange Trading Rules, Law and Finance

13.

Price Discovery Efficiency and Permanent Information Impounding on Nyse Euronext Paris

Number of pages: 49 Posted: 30 Mar 2012
Frederick H. deB. Harris, Michael J. Aitken and Elisa-Maree Di Marco
Wake Forest University, Macquarie Graduate School of Management and affiliation not provided to SSRN
Downloads 228 (285,716)
Citation 1

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price discovery, Euronext, Chi-X, MTF, MiFID, fragmentation, permanent information impounding, price discovery efficiency

14.

The Impact of Fragmentation, Exchange Fees and Liquidity Provision on Market Quality

Number of pages: 36 Posted: 25 Jun 2013 Last Revised: 02 Feb 2016
Michael J. Aitken, Haoming Chen and Sean Foley
Macquarie Graduate School of Management, University of New South Wales (UNSW) and Macquarie University
Downloads 225 (289,368)
Citation 17

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Competition, Fragmentation, Alternative Trading System, Trading Fees

15.

High Frequency Trading and End-of-Day Manipulation

Number of pages: 34 Posted: 16 Jul 2012
Douglas J. Cumming, Feng Zhan and Michael J. Aitken
Florida Atlantic University, Western University and Macquarie Graduate School of Management
Downloads 143 (433,208)
Citation 10

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High frequency trading, End-of-day Manipulation, Trading Rules, Surveillance, Law and Finance

16.

A PIN Per Day Shows What News Convey – The Intraday Probability of Informed Trading

Number of pages: 75 Posted: 26 Aug 2013
Michael J. Aitken, Thomas Pöppe, Dirk Schiereck and Ingo Wiegand
Macquarie Graduate School of Management, Technical University of Darmstadt - Chair for Corporte Finance, Technical University of Darmstadt and Technical University of Darmstadt
Downloads 101 (565,955)

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Capital Markets, Probability of Informed Trading, High-Frequency Trading, Insider Trading Regulation, Event Study

17.

Price Discovery in Liquid UK Shares Pre and Post MiFID

Posted: 14 Apr 2013
Michael J. Aitken, Frederick H. deB. Harris and Frank Sensenbrenner
Macquarie Graduate School of Management, Wake Forest University and Securities and Exchange Commission (SEC)

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MiFId, High Frequency Trading

18.

How Brokers Facilitate Trade for Long-Term Clients in Competitive Securities Markets

JOURNAL OF BUSINESS, January 1995
Posted: 20 Dec 1998
Michael J. Aitken, Peter L. Swan and Gerald T. Garvey
Macquarie Graduate School of Management, University of New South Wales (UNSW Sydney and Blackrock

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19.

The Effect of Information Motivated Trading Halts on Price Discovery: Evidence from the Australian Stock Exchange

Posted: 26 Mar 1997
Michael J. Aitken, Alex Frino and Roland Winn
Macquarie Graduate School of Management, The University of Sydney - Discipline of Finance and Capital Partners

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Other Papers (3)

Total Downloads: 271
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1.

What IPO Order Flow Reveals about the Role of the Underwriter

International Journal of Managerial Finance, Vol. 5, No. 1, pp. 16-49, 2009
Number of pages: 51 Posted: 03 Apr 2009
Michael J. Aitken, Frederick H. deB. Harris, Thomas H. McInish and Kathryn Wong
Macquarie Graduate School of Management, Wake Forest University, University of Memphis - Fogelman College of Business and Economics and affiliation not provided to SSRN
Downloads 138 (100,983)

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Initial public offering, IPO, underwriter, venture capitalist

2.

Trading Prior to Price Sensitive Announcements

22nd Australasian Finance and Banking Conference 2009
Number of pages: 27 Posted: 27 Aug 2009 Last Revised: 24 Nov 2009
Michael J. Aitken, Amy Kwan and Thomas H. McInish
Macquarie Graduate School of Management, The University of New South Wales and University of Memphis - Fogelman College of Business and Economics
Downloads 70

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Market Quality, Market Integrity, Informed Trading, ASX, Chinese Exchanges, Regulation

3.

Anonymity and Informed Trading

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 37 Posted: 22 Aug 2010 Last Revised: 23 Nov 2010
Michael J. Aitken, Amy Kwan and Thomas H. McInish
Macquarie Graduate School of Management, The University of New South Wales and University of Memphis - Fogelman College of Business and Economics
Downloads 63

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Anonymity, Informed Trading, PIN