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Rise of the machines: algorithmic trading in the foreign exchange market. (2009). Hjalmarsson, Erik ; Chaboud, Alain ; Vega, Clara ; Chiquoine, Benjamin .
In: International Finance Discussion Papers.
RePEc:fip:fedgif:980.

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Cited: 25

Citations received by this document

Cites: 33

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  1. The Dynamic Skellam Model with Applications. (2015). Lucas, Andre ; Koopman, Siem Jan ; André Lucas, ; Lit, Rutger.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20140032.

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  2. High frequency trading and end-of-day price dislocation. (2015). Cumming, Douglas ; Aitken, Michael ; Zhan, Feng .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:59:y:2015:i:c:p:330-349.

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  3. Equilibrium Fast Traders. (2014). Moinas, Sophie ; Foucault, Thierry ; Biais, Bruno.
    In: 2014 Meeting Papers.
    RePEc:red:sed014:1207.

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  4. The influence of information and communication technology (ICT) on future foresight processes — Results from a Delphi survey. (2014). Keller, Jonas ; von der Gracht, Heiko A.
    In: Technological Forecasting and Social Change.
    RePEc:eee:tefoso:v:85:y:2014:i:c:p:81-92.

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  5. Speed, algorithmic trading, and market quality around macroeconomic news announcements. (2014). van Dijk, Dick ; Frijns, Bart ; Scholtus, Martin .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:38:y:2014:i:c:p:89-105.

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  6. A dynamic limit order market with fast and slow traders. (2013). .
    In: MPRA Paper.
    RePEc:pra:mprapa:44621.

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  7. Is speed good?. (2013). Czarniawska, Barbara.
    In: Scandinavian Journal of Management.
    RePEc:eee:scaman:v:29:y:2013:i:1:p:7-12.

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  8. The market microstructure approach to foreign exchange: Looking back and looking forward. (2013). Rime, Dagfinn ; King, Michael ; Osler, Carol L..
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:38:y:2013:i:c:p:95-119.

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  9. Public information arrival: Price discovery and liquidity in electronic limit order markets. (2013). Zhang, S. Sarah ; Storkenmaier, Andreas ; Riordan, Ryan ; Wagener, Martin .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:4:p:1148-1159.

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  10. High frequency trading and the new market makers. (2013). Menkveld, Albert.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:16:y:2013:i:4:p:712-740.

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  11. The market microstructure approach to foreign exchange - Looking back and looking forward. (2013). Rime, Dagfinn ; King, Michael ; Osler, Carol .
    In: Working Paper.
    RePEc:bno:worpap:2013_12.

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  12. Where is the Value in High Frequency Trading?. (2012). Cartea, Álvaro ; Penalva, Jose.
    In: Quarterly Journal of Finance (QJF).
    RePEc:wsi:qjfxxx:v:02:y:2012:i:03:n:s2010139212500140.

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  13. Fact and Fiction in FX Arbitrage Processes. (2012). Cross, Rod ; Kozyakin, Victor .
    In: Working Papers.
    RePEc:str:wpaper:1211.

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  14. A dynamic limit order market with fast and slow traders. (2012). Hoffmann, Peter.
    In: MPRA Paper.
    RePEc:pra:mprapa:39855.

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  15. Arbitrage and the Law of One Price in the market for American depository receipts. (2012). McGroarty, Frank ; Alsayed, Hamad .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:22:y:2012:i:5:p:1258-1276.

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  16. The information content of a limit order book: The case of an FX market. (2012). Kozhan, Roman ; Salmon, Mark .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:15:y:2012:i:1:p:1-28.

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  17. The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward. (2012). Rime, Dagfinn ; Osler, Carol ; King, Michael.
    In: Working Papers.
    RePEc:brd:wpaper:54.

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  18. High-frequency trading behaviour and its impact on market quality: evidence from the UK equity market. (2012). Benos, Evangelos.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0469.

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  19. Taxing Financial Transactions; Issues and Evidence. (2011). Matheson, Thornton.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2011/054.

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  20. Technical analysis in the foreign exchange market. (2011). Neely, Christopher ; Weller, Paul A..
    In: Working Papers.
    RePEc:fip:fedlwp:2011-001.

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  21. Extreme returns: The case of currencies. (2011). Savaser, Tanseli ; Osler, Carol .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:11:p:2868-2880.

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  22. The impact of dark trading and visible fragmentation on market quality. (2011). van Kervel, Vincent ; de Jong, Frank ; Degryse, Hans.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8630.

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  23. The use of foreign exchange markets by non-banks. (2011). O'Connor, James ; Zammit, Robert ; Wackett, James .
    In: Bank of England Quarterly Bulletin.
    RePEc:boe:qbullt:0050.

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  24. Foreign exchange market structure, players and evolution. (2011). Rime, Dagfinn ; King, Michael ; Osler, Carol .
    In: Working Paper.
    RePEc:bno:worpap:2011_10.

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  25. The $4 trillion question: what explains FX growth since the 2007 survey?. (2011). Rime, Dagfinn ; King, Michael.
    In: BIS Quarterly Review.
    RePEc:bis:bisqtr:1012e.

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References

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Cocites

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    In: Journal of Empirical Finance.
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  2. Á GARCH Examination of Macroeconomic Effects on U.S. Stock Market: A Distinction Between the Total Market Index and the Sustainability Index. (2010). KONTEOS, George ; Sariannidis, Nikolaos ; LITINAS, Nicolaos ; Giannarakis, Grigoris.
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  3. The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility. (2009). Laakkonen, Helinä ; Lanne, Markku.
    In: MPRA Paper.
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  4. The Influence of Actual and Unrequited Interventions. (2007). Dominguez, Kathryn ; Panthaki, Freyan ; Kathryn M. E. Dominguez, .
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  5. The Impact of Macroeconomic News on Exchange Rate Volatility. (2007). Laakkonen, Helinä.
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  6. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models. (2007). Benzoni, Luca ; Andersen, Torben.
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  7. A systematic modelling strategy for futures markets volatility. (2006). Carvalho, Ana Filipa ; da Costa, Jose Sa ; Lopes, Jose Assis.
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  8. Price Impacts of Deals and Predictability of the Exchange Rate Movements. (2006). Ito, Takatoshi ; Hashimoto, Yuko .
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  9. Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System. (2006). Ito, Takatoshi ; Hashimoto, Yuko .
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  10. Intraday Linkages Across International Equity Markets. (2006). Harju, Kari ; Hussain, Syed Mujahid.
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  11. Intraday Seasonalities and Macroeconomic News Announcements. (2006). Harju, Kari ; Hussain, Mujahid.
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  12. Informed and strategic order flow in the bond markets. (2006). Vega, Clara ; Pasquariello, Paolo.
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  14. Which news moves the euro area bond market?. (2006). Sebestyén, Szabolcs ; Sebestyen, Szabolcs ; Hansen, Lars Jul ; Andersson, Magnus.
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  15. Asymmetric Information in the Stock Market: Economic News and Co-movement. (2006). Vega, Clara ; Albuquerque, Rui.
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  16. What Defines News in Foreign Exchange Markets?. (2005). Dominguez, Kathryn ; Panthaki, Freyan.
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  17. Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission. (2005). Rigobon, Roberto ; Fratzscher, Marcel ; Ehrmann, Michael.
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  18. Do Currency Markets Absorb News Quickly?. (2005). Lyons, Richard ; Evans, Martin.
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  21. Public information arrival and volatility persistence in financial markets. (2004). Janssen, Gust.
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  25. Microstructure of the Yen/Dollar Foreign Exchange Market: Patterns of Intra-day Activity Revealed in the Electronic Broking System. (2004). Ito, Takatoshi ; Hashi, Yuko.
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  26. Volatility Comovement: A Multifrequency Approach. (2004). Fisher, Adlai ; Calvet, Laurent ; Thompson, Samuel B..
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  44. How Do UK-Based Foreign Exchange Dealers Think Their Market Operates?. (2000). Marsh, Ian ; Cheung, Yin-Wong ; Chinn, Menzie.
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  48. Order Flow and Exchange Rate Dynamics. (1999). Lyons, Richard ; Evans, Martin.
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  49. Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market. (1999). Lopez, Jose ; Fleming, Michael.
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  50. How Do UK-Based Foreign Exchange Dealers Think Their Market Operates?. (1999). Marsh, Ian ; Cheung, Yin-Wong ; Chinn, Menzie.
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