High frequency trading and extreme price movements / by Jonathan Brogaard, Allen Carrion, Thibaut Moyaert, Ryan Riordan, ... Konstantin Sokolov (Record no. 361352)
[ view plain ]
| 000 -LEADER | |
|---|---|
| fixed length control field | 01252nam a22001697a 4500 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 190322b xxu||||| |||| 00| 0 eng d |
| 022 ## - INTERNATIONAL STANDARD SERIAL NUMBER | |
| International Standard Serial Number | 0304-405X |
| 245 ## - TITLE STATEMENT | |
| Title | High frequency trading and extreme price movements / by Jonathan Brogaard, Allen Carrion, Thibaut Moyaert, Ryan Riordan, ... Konstantin Sokolov |
| Statement of responsibility, etc | Jonathan Brogaard, Allen Carrion, Thibaut Moyaert, Ryan Riordan, ... Konstantin Sokolov |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Place of publication, distribution, etc | Amsterdam |
| Name of publisher, distributor, etc | Elsevier |
| Date of publication, distribution, etc | May 2018 |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | Pages 253-265 |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE | |
| Title | Journal of Financial Economics |
| Volume number/sequential designation | 128 (2) |
| International Standard Serial Number | 0304-405X |
| 500 ## - GENERAL NOTE | |
| General note | Abstract<br/>Are endogenous liquidity providers (ELPs) reliable in times of market stress? We examine the activity of a common ELP type—high frequency traders (HFTs)—around extreme price movements (EPMs). We find that on average HFTs provide liquidity during EPMs by absorbing imbalances created by non-high frequency traders (nHFTs). Yet HFT liquidity provision is limited to EPMs in single stocks. When several stocks experience simultaneous EPMs, HFT liquidity demand dominates their supply. There is little evidence of HFTs causing EPMs. |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | High frequency trading |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Endogenous liquidity providers (ELPs) |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Extreme price movements (EPMs) |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Library of Congress Classification |
| Item type | Periodicals |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Home library | Current library | Shelving location | Date acquired | Total Checkouts | Date last seen | Price effective from | Koha item type |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Library of Congress Classification | College Library | College Library | Periodical Section | 03/22/2019 | 03/22/2019 | 03/22/2019 | Periodicals |