High-Frequency Trading, Stock Volatility, and Price Discovery
作者： Frank Zhang
DOI: 10.2139/SSRN.1691679
关键词:
摘要: … Finally, the HFT measure in this study is estimated quarterly, which restricts my analyses to … But it is unclear how the inventory risk story applies to HFT, which typically does not carry any …
sci-hub.se 参考文章(33)
Xavier Vives, Short-Term Investment and The Informational Eficiency on the Market Social Science Research Network. ,(2000)
Brian J. Bushee, Christopher F. Noe, Corporate Disclosure Practices, Institutional Investors, and Stock Return Volatility Social Science Research Network. ,(2000)
David S. Scharfstein, David S. Scharfstein, Jeremy C. Stein, Jeremy C. Stein, Kenneth Froot, Kenneth Froot, Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation Social Science Research Network. ,(1990)
Charles M. C. Lee, Volume, volatility and NYSE trading halts ,(1993)
Brian J. Bushee, The Influence of Institutional Investors on Myopic R&D Investment Behavior Social Science Research Network. ,(1999)
Ryan Riordan, Terrence Hendershott, Algorithmic Trading and Information Research Papers in Economics. ,(2009)
A Christie, The stochastic behavior of common stock variances : value, leverage and interest rate effects Journal of Financial Economics. ,vol. 10, pp. 407- 432 ,(1982) , 10.1016/0304-405X(82)90018-6
Steven X. Wei, Chu Zhang, Why did individual stocks become more volatile The Journal of Business. ,vol. 79, pp. 259- 292 ,(2006) , 10.1086/497411
Stanley Baiman, Robert E. Verrecchia, Earnings and price-based compensation contracts in the presence of discretionary trading and incomplete contracting Journal of Accounting and Economics. ,vol. 20, pp. 93- 121 ,(1995) , 10.1016/0165-4101(94)00377-H
YIN-WONG CHEUNG, LILIAN K. NG, Stock Price Dynamics and Firm Size: An Empirical investigation Journal of Finance. ,vol. 47, pp. 1985- 1997 ,(1992) , 10.1111/J.1540-6261.1992.TB04693.X