Allen Carrion

University of Memphis - Fogelman College of Business and Economics

Memphis, TN 38152

United States

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 10,416

SSRN RANKINGS

Top 10,416

in Total Papers Downloads

4,655

SSRN CITATIONS
Rank 13,489

SSRN RANKINGS

Top 13,489

in Total Papers Citations

40

CROSSREF CITATIONS

29

Scholarly Papers (4)

1.

High-Frequency Trading and Extreme Price Movements

Number of pages: 46 Posted: 28 Nov 2014 Last Revised: 10 Feb 2017
University of Utah - David Eccles School of Business, University of Memphis - Fogelman College of Business and Economics, Louvain School of Management (UCL), Queen's University - Smith School of Business, Wilfrid Laurier University - Lazaridis School of Business and Economics and University of Memphis - Fogelman College of Business and Economics
Downloads 2,714 (4,560)
Citation 16

Abstract:

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Extreme price movements, jumps, high-frequency trading

2.

Very Fast Money: High-Frequency Trading on the NASDAQ

Forthcoming, Journal of Financial Markets
Number of pages: 86 Posted: 02 Aug 2012 Last Revised: 31 May 2017
Allen Carrion
University of Memphis - Fogelman College of Business and Economics
Downloads 1,253 (16,112)
Citation 30

Abstract:

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high-frequency trading, trading performance, intraday return predictability, VWAP, trading costs, adverse selection, market efficiency

3.

Liquidity, Resiliency and Market Quality Around Predictable Trades: Theory and Evidence

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 67 Posted: 23 Mar 2012 Last Revised: 21 Oct 2015
Arizona State University, University of Memphis - Fogelman College of Business and Economics, U.S. Securities and Exchange Commission - Division of Economic and Risk Analysis and Southern Methodist University (SMU) - Finance Department
Downloads 554 (50,639)
Citation 28

Abstract:

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predatory trading, sunshine trading, trading costs, resiliency, ETFs, crude oil, energy, commodities, futures

4.

Trade Signing in Fast Markets

Forthcoming, The Financial Review
Number of pages: 48 Posted: 02 Sep 2014 Last Revised: 21 Oct 2019
Allen Carrion and Madhuparna Kolay
University of Memphis - Fogelman College of Business and Economics and University of Portland - Dr. Robert B. Pamplin, Jr. School of Business Administration
Downloads 134 (222,292)
Citation 1

Abstract:

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trade classification, high-frequency trading, Lee and Ready algorithm, tick rule, market microstructure