Michael J. Aitken

Macquarie Graduate School of Management

Professor of ICT Strategy

North Ryde

Sydney, New South Wales 2109

Australia

SCHOLARLY PAPERS

22

DOWNLOADS
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in Total Papers Downloads

5,331

CITATIONS
Rank 16,850

SSRN RANKINGS

Top 16,850

in Total Papers Citations

20

Scholarly Papers (22)

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
York University - Schulich School of Business, John Carroll University - Boler School of Business and Macquarie Graduate School of Management
Downloads 1,198 (12,452)

Abstract:

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, York University - Schulich School of Business and John Carroll University - Boler School of Business
Downloads 167 (146,085)

Abstract:

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 1,098 (12,275)
Citation 9

Abstract:

Market Efficiency, Market Integrity, Manipulation

3.
Downloads 441 ( 51,715)
Citation 8

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 409 (56,148)
Citation 8

Abstract:

Closing call auctions, liquidity

Closing Call Auctions and Liquidity

Accounting and Finance, Vol. 45, No. 4, pp. 501-518, December 2005
Number of pages: 18 Posted: 03 Jan 2006
Alex Frino, Michael J. Aitken and Carole Comerton-Forde
The University of Sydney - Discipline of Finance, Macquarie Graduate School of Management and University of Melbourne - Department of Finance
Downloads 32 (391,163)
Citation 8

Abstract:

Call auctions, Liquidity, Market microstructure

4.

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 316 (60,576)

Abstract:

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

5.

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, York University - Schulich School of Business and John Carroll University - Boler School of Business
Downloads 305 (71,997)

Abstract:

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

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
York University - Schulich School of Business, John Carroll University - Boler School of Business and Macquarie Graduate School of Management
Downloads 293 (82,954)
Citation 1

Abstract:

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
York University - Schulich School of Business, John Carroll University - Boler School of Business and Macquarie Graduate School of Management
Downloads 7 (526,370)
Citation 1

Abstract:

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

7.

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, York University - Schulich School of Business and John Carroll University - Boler School of Business
Downloads 210 (85,750)

Abstract:

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

8.

Price Discovery Efficiency and Permanent Information Impounding on Nyse Euronext Paris

Number of pages: 49 Posted: 30 Mar 2012
Wake Forest University, Macquarie Graduate School of Management and affiliation not provided to SSRN
Downloads 148 (144,522)

Abstract:

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

9.

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 140 (150,775)

Abstract:

10.

Market Fairness: The Poor Country Cousin of Market Efficiency

Number of pages: 61 Posted: 23 May 2014 Last Revised: 02 Apr 2015
Macquarie Graduate School of Management, University of Sydney - Discipline of Finance, University of Sydney and Wake Forest University
Downloads 115 (142,274)

Abstract:

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

11.

Fragmentation and Algorithmic Trading: Joint Impact on Market Quality

Number of pages: 45 Posted: 01 Apr 2015 Last Revised: 02 Apr 2015
Michael J. Aitken, Drew Harris and Frederick H. deB. Harris
Macquarie Graduate School of Management, University of New South Wales (UNSW) and Wake Forest University
Downloads 112 (135,249)

Abstract:

Algorithmic trading, dark trading, market manipulation, fragmentation

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, York University - Schulich School of Business and John Carroll University - Boler School of Business
Downloads 64 (201,564)

Abstract:

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

13.

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 University of Sydney
Downloads 57 (215,508)

Abstract:

Competition, Fragmentation, Alternative Trading System, Trading Fees

14.

Do Reductions in Tick Sizes Influence Liquidity?

Accounting and Finance, Vol. 45, No. 2, pp. 171-184, July 2005
Number of pages: 14 Posted: 08 Jun 2005
Michael J. Aitken and Carole Comerton-Forde
Macquarie Graduate School of Management and University of Melbourne - Department of Finance
Downloads 26 (408,009)

Abstract:

15.

Impact of Warrant Introductions on the Behaviour of Underlying Stocks: Australian Evidence

Accounting and Finance, Vol. 45, No. 1, pp. 127-144, March 2005
Number of pages: 18 Posted: 02 Feb 2005
Michael J. Aitken and Reuben Segara
Macquarie Graduate School of Management and University of Sydney Business School
Downloads 25 (412,704)

Abstract:

16.

Financial Analysts and Price Discovery

Accounting & Finance, Vol. 48, Issue 1, pp. 1-24, March 2008
Number of pages: 24 Posted: 29 Feb 2008
Macquarie Graduate School of Management, affiliation not provided to SSRN, affiliation not provided to SSRN and University of Memphis - Fogelman College of Business and Economics
Downloads 14 (469,023)
Citation 2

Abstract:

17.

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
York University - Schulich School of Business, John Carroll University - Boler School of Business and Macquarie Graduate School of Management
Downloads 11 (484,324)

Abstract:

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

18.

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 0 (484,324)

Abstract:

Liquidity, Cross-listed securities, Bilateral investment

19.

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, Darmstadt University of Technology - Chair for Corporte Finance, Darmstadt University of Technology and Darmstadt University of Technology
Downloads 0 (503,549)

Abstract:

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

20.

Price Discovery in Liquid UK Shares Pre and Post MiFID

Posted: 14 Apr 2013
Macquarie Graduate School of Management, Wake Forest University and Johns Hopkins University - Paul H. Nitze School of Advanced International Studies (SAIS)

Abstract:

MiFId, High Frequency Trading

21.

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 Australia) and Blackrock

Abstract:

22.

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

Abstract:

Other Papers (3)

Total Downloads: 127    Citations: 2
1.

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 0

Abstract:

Anonymity, Informed Trading, PIN

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 0

Abstract:

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

3.

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
Macquarie Graduate School of Management, Wake Forest University, University of Memphis - Fogelman College of Business and Economics and affiliation not provided to SSRN
Downloads 0 (100,983)
Citation 2

Abstract:

Initial public offering, IPO, underwriter, venture capitalist