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
Rank 19,340

SSRN RANKINGS

Top 19,340

in Total Papers Downloads

1,881

CITATIONS
Rank 36,182

SSRN RANKINGS

Top 36,182

in Total Papers Citations

5

Scholarly Papers (8)

1.

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
University of Sydney Business School, Discipline of Finance, The University of Sydney and University of Sydney Business School
Downloads 314 (66,835)

Abstract:

Algorithmic Trading, Futures Markets, Market Liquidity, Price Discovery

2.

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, University of Sydney Business School, George Mason University - Finance Area, University of Sydney Business School and Discipline of Finance, The University of Sydney
Downloads 289 (64,227)
Citation 1

Abstract:

algorithmic trades [AT], execution algorithms, earnings announcements

3.

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 274 (54,653)
Citation 1

Abstract:

Market Segmentation, Security Market Regulation, Market Efficiency

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 and Discipline of Finance, The University of Sydney
Downloads 51 (314,124)

Abstract:

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 and Discipline of Finance, The University of Sydney
Downloads 39 (352,232)

Abstract:

Home bias, International order flow, Price discovery

5.
Downloads 87 (231,830)
Citation 3

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 86 (235,434)
Citation 3

Abstract:

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 1 (549,012)
Citation 3

Abstract:

6.

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
The University of Sydney - Discipline of Finance, University of Sydney Business School and Discipline of Finance, The University of Sydney
Downloads 3 (508,133)

Abstract:

7.

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 0 (34,696)

Abstract:

High Frequency Trading; Limit Order Book; Market Quality

8.

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
University of Sydney Business School, University of Sydney Business School and Discipline of Finance, The University of Sydney
Downloads 0 (531,768)

Abstract:

algorithmic trading, futures markets, market liquidity, price discovery