Hui Zheng

Discipline of Finance, The University of Sydney

Dr.

P.O. Box H58

Sydney, NSW 2006

Australia

Capital Markets CRC Limited

Research Manager

GPO Box 970

55 Harrington Street

Sydney, NSW 2001

Australia

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 25,638

SSRN RANKINGS

Top 25,638

in Total Papers Downloads

2,519

SSRN CITATIONS
Rank 23,374

SSRN RANKINGS

Top 23,374

in Total Papers Citations

18

CROSSREF CITATIONS

24

Scholarly Papers (10)

1.

Limit Order Placement by High-Frequency Traders

Borsa Istanbul Review, Forthcoming
Number of pages: 67 Posted: 10 Nov 2015 Last Revised: 22 Dec 2016
Avanidhar Subrahmanyam and Hui Zheng
University of California, Los Angeles (UCLA) - Finance Area and Discipline of Finance, The University of Sydney
Downloads 780 (40,904)
Citation 3

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High Frequency Trading; Limit Order Book; Market Quality

2.

An Empirical Analysis of Market Segmentation on U.S. Equities Markets

Number of pages: 82 Posted: 07 Jun 2013 Last Revised: 16 Nov 2014
Frank Hatheway, Amy Kwan and Hui Zheng
Nasdaq, Inc., The University of New South Wales and Discipline of Finance, The University of Sydney
Downloads 583 (59,884)
Citation 17

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Market Segmentation, Security Market Regulation, Market Efficiency

3.

Are Algorithmic Trades Informed? - An Empirical Analysis of Algorithmic Trading Around Earnings Announcements

27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 46 Posted: 22 Aug 2012 Last Revised: 15 Sep 2015
The University of Sydney - Discipline of Finance, The University of Wollongong, George Mason University - Department of Finance, University of Sydney Business School and Discipline of Finance, The University of Sydney
Downloads 427 (87,696)
Citation 2

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algorithmic trades [AT], execution algorithms, earnings announcements

4.

Liquidity and Price Discovery of Algorithmic Trading: An Intraday Analysis of the SPI 200 Futures

24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 40 Posted: 22 Aug 2011 Last Revised: 16 Nov 2014
The University of Wollongong, Discipline of Finance, The University of Sydney and University of Sydney Business School
Downloads 409 (92,192)

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Algorithmic Trading, Futures Markets, Market Liquidity, Price Discovery

5.

VPIN, Jump Dynamics and Inventory Announcements in Energy Futures Markets

Journal of Futures Markets, Forthcoming
Number of pages: 49 Posted: 21 Mar 2017
Credit Suisse AG, George Mason University - Department of Finance and Discipline of Finance, The University of Sydney
Downloads 108 (317,112)
Citation 1

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VPIN, Order floow toxicity, Price jumps, Inventory announcements, Crude oil futures, Natural gas futures

6.
Downloads 105 (323,233)
Citation 4

How Much Does an Illegal Insider Trade?

Number of pages: 41 Posted: 16 Mar 2010
The University of Sydney - Discipline of Finance, University of Cambridge - Faculty of Economics and Politics, The University of Sydney and Discipline of Finance, The University of Sydney
Downloads 103 (329,615)
Citation 4

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How Much Does an Illegal Insider Trade?

International Review of Finance, Vol. 13, Issue 2, pp. 241-263, 2013
Number of pages: 23 Posted: 08 May 2013
The University of Sydney - Discipline of Finance, University of Cambridge - Faculty of Economics and Politics, The University of Sydney and Discipline of Finance, The University of Sydney
Downloads 2 (825,076)
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The Geographic Origin of Order Flow and Price Discovery

Number of pages: 37 Posted: 02 Jan 2012
Alex Frino, Robert I. Webb and Hui Zheng
The University of Sydney - Discipline of Finance, University of Virginia - McIntire School of Commerce and Discipline of Finance, The University of Sydney
Downloads 59 (457,219)

Abstract:

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home bias, international order flow, price discovery

The Geographic Origin of Order Flow and Price Discovery

Number of pages: 37 Posted: 09 Mar 2011 Last Revised: 03 Jan 2012
Alex Frino, Robert I. Webb and Hui Zheng
The University of Sydney - Discipline of Finance, University of Virginia - McIntire School of Commerce and Discipline of Finance, The University of Sydney
Downloads 43 (526,447)

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Home bias, International order flow, Price discovery

8.

Anonymity, Stealth Trading, and the Information Content of Broker Identity

Financial Review, Vol. 45, Issue 3, pp. 501-522, August 2010
Number of pages: 22 Posted: 13 Jul 2010
Alex Frino, David Johnstone and Hui Zheng
The University of Sydney - Discipline of Finance, University of Sydney Business School and Discipline of Finance, The University of Sydney
Downloads 4 (772,688)
Citation 3
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9.

Algorithmic Trading, Liquidity, and Price Discovery: An Intraday Analysis of the SPI 200 Futures

Financial Review, Vol. 49, Issue 2, pp. 245-270, 2014
Number of pages: 26 Posted: 08 Apr 2014
The University of Wollongong, University of Sydney Business School and Discipline of Finance, The University of Sydney
Downloads 1 (801,650)
Citation 1
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algorithmic trading, futures markets, market liquidity, price discovery

10.

The impact of trade characteristics on stock return volatility: Evidence from the Australian Stock Exchange

Asia-Pacific Journal of Financial Studies, Vol 38(2): 163-186, 2008
Posted: 01 Jun 2020
Alex Frino, Reuben Segara and Hui Zheng
University of Wollongong, University of Sydney Business School and Discipline of Finance, The University of Sydney

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Trade Characteristics, Stock Return Volatility, Information Asymmetry, Stealth Trading, Market Microstructure