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

8

DOWNLOADS
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SSRN RANKINGS

Top 31,910

in Total Papers Downloads

3,021

SSRN CITATIONS
Rank 29,814

SSRN RANKINGS

Top 29,814

in Total Papers Citations

24

CROSSREF CITATIONS

14

Scholarly Papers (8)

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 922 (48,757)
Citation 7

Abstract:

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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 688 (72,140)
Citation 22

Abstract:

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Market Segmentation, Security Market Regulation, Market Efficiency

3.

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 478 (113,435)

Abstract:

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Algorithmic Trading, Futures Markets, Market Liquidity, Price Discovery

4.

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 469 (116,021)
Citation 2

Abstract:

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algorithmic trades [AT], execution algorithms, earnings announcements

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 162 (341,186)
Citation 1

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

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 90 (533,166)

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 71 (615,930)

Abstract:

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Home bias, International order flow, Price discovery

7.

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 141 (382,077)
Citation 4

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8.

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

Abstract:

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