Allen Carrion

University of Utah - Department of Finance

David Eccles School of Business

Salt Lake City, UT 84112

United States

SCHOLARLY PAPERS

4

DOWNLOADS
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SSRN RANKINGS

Top 10,829

in Total Papers Downloads

3,894

CITATIONS
Rank 12,277

SSRN RANKINGS

Top 12,277

in Total Papers Citations

32

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 Washington - Department of Finance and Business Economics, University of Utah - Department of Finance, Louvain School of Management (UCL), Smith School of Business, Wilfrid Laurier University - Lazaridis School of Business and Economics and Rochester Institute of Technology (RIT) - Saunders College of Business
Downloads 962 (5,467)
Citation 27

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 Utah - Department of Finance
Downloads 846 (15,754)
Citation 5

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 Utah - Department of Finance, U.S. Securities and Exchange Commission - Division of Economic and Risk Analysis and Southern Methodist University (SMU) - Finance Department
Downloads 309 (50,625)

Abstract:

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

4.

Trade Signing in Fast Markets

Number of pages: 48 Posted: 02 Sep 2014 Last Revised: 31 May 2017
Allen Carrion and Madhuparna Kolay
University of Utah - Department of Finance and University of Portland - Dr. Robert B. Pamplin, Jr. School of Business Administration
Downloads 49 (235,372)

Abstract:

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