Trading and Financial Markets

Handbook, Elsevier, 469-504

M. Fleming (1997), The round-the-clock market for U.S. treasury securities, Federal Reserve Bank of New York Economic Policy Review, 9-32

M. Brunnermeier and S. Nagel (2004), Hedge funds and the technology bubble, Journal of Finance 59, 2013-2040

N. Barberis and R. Thaler (2003), A survey of behavioral finance, in Handbook of the Economics of

Finance, Eds. G. Constantinides, M. Harris and R. Stulz, Elsevier

C. Neely (1997), Technical analysis in the foreign exchange market: A layman’s guide, Federal Reserve Bank of St. Louis Review

I. Aldridge (2013), High-frequency trading: A practical guide to algorithmic strategies and trading systems, Wiley

Y. Amihud and H. Mendelson (1986), Asset pricing and the bid-ask spread, Journal of Financial Economics 17, 223-249

Y. Amihud and H. Mendelson (1987), Trading mechanisms and stock returns: An empirical investigation, Journal of Finance 62, 533-553

Y. Amihud, H. Mendelson and M. Murgia (1990), Stock market microstructure and return volatility: Evidence from Italy, Journal of Banking and Finance 14, 423-440

A. Ang and J. Chen (2002), Asymmetric correlations of equity portfolios, Journal of Financial Economics 63, 443-494

J. Bacidore, Algorithmic trading: A practitioner's guide, TBG press

S. Badrinath, J. Kale and T. Noe (1995), Of shepherds, sheep, and the cross- autocorrelations in equity returns, Review of Financial Studies 8, 401-430

W. Bagehot (1971), The only game in town, Financial Analysts Journal 27, 12-14, 22

G. Benston and R. Hagerman (1974), Determinants of bid-asked spreads in the over-the- counter market, Journal of Financial Economics 1, 353-364

M. Brennan and A. Subrahmanyam (1996), Market microstructure and asset pricing: On the compensation for illiquidity in stock returns, Journal of Financial Economics 41, 441-464

M. Brennan, N Jegadeesh and B Swaminathan (1993), Investment analysis and the adjustment of stock prices to common information, Review of Financial Studies 6, 799-824

K. Chan, K. C. Chan and A. Karolyi (1991), Intraday volatility in the stock index and stock index futures markets, Review of Financial Studies 4, 657-684

T. Chordia, R. Roll and A. Subrahmanyam (2002), Order imbalance, liquidity, and market returns, Journal of Financial Economics 65, 111-130

T. Chordia and B. Swaminathan (2000), Trading volume and cross-autocorrelations in stock returns, Journal of Finance 55, 913-935

M. Cooper, O. Dimitrov and R. Rau (2001), A rose.com by any other name, Journal of Finance 56, 2371-2388

D. Cutler, J. Poterba and L. Summers (1989), What moves stock prices?, Journal of Portfolio Management, 15, 4-12

M. Fan and R. Lyons (2003), Customer trades and extreme events in foreign exchange, in Monetary History, Exchange Rates and Financial Markets: Essays in Honor of Charles

Goodhart, Paul Mizen (ed.), Edward Elgar, 160-179

K. French and R. Roll (1986), Stock return variances: The arrival of information and the reaction of traders, Journal of Financial Economics 17, 5-26

L. Frieder and J. Zittrain (2007), Spam works: Evidence from stock touts and corresponding market activity, Working paper, Purdue and Oxford

L. Glosten and L. Harris (1988), Estimating the components of the bid-ask spread, Journal of Financial Economics 21, 123-142

A. Hameed, W. Kang and S. Vishwanathan (2006), Stock market declines and liquidity, Working paper, Duke University

J. Harford and A. Kaul (2005), Correlated order flow: Pervasiveness, sources, and pricing effects, Journal of Financial and Quantitative Analysis 40, 29-55

L. Harris (2003) Trading and exchanges: Market microstructure for practitioners, OUP

J. Hasbrouck (2005), Trading costs and returns for U.S. equities: The evidence from daily data, WP 2005

J. Hasbrouck (2007), Empirical market microstructure: The institutions, economics, and econometrics of securities trading, OUP

T. Hendershott, C. Jones and A. Menkveld (2011), Does algorithmic trading improve liquidity?, Journal of Finance 66, 1-33

S. Kandel, A. Ofer and O. Sarig (1993), Learning from trading, Review of Financial Studies 6, 507-526

D. Keim and A. Madhavan (1995), Anatomy of the trading process: Empirical evidence on the behavior of institutional traders, Journal of Financial Economics 37, 371-398

C. Lee and M. Ready (1991), Inferring trade direction from intraday data, Journal of Finance 46, 733-746

C. Lee, M. Ready and P. Seguin (1994), Volume, volatility, and NYSE trading halts, Journal of Finance 49, 183-214

M. Lewis (2014), Flash boys, Norton

A. Lo and C. MacKinlay (1990), When are contrarian profits due to stock market overreaction?, Review of Financial Studies 3, 175-208

R. Lyons (1995), Tests of microstructural hypotheses in the foreign exchange market, Journal of Financial Economics 39, 321-351

S. Nagel (2012), Evaporating liquidity, Review of Financial Studies 25, 2005-2039

M. O’Hara (1995), Market microstructure theory, Blackwell

P. Pasquariello and C. Vega (2007), Informed and strategic order flow in the bond markets, Review of Financial Studies 20, 1975-2019

L. Pástor and R. Stambaugh (2003), Liquidity risk and expected stock returns; Journal of Political Economy 111, 642-85

D. Rime (2003), New electronic trading systems in foreign exchange markets in the New Economy Handbook, 469-504

R. Roll (1988), R2, The Journal of Finance 43, 541-566

P. Schultz (2001), Corporate bond trading costs: A peek behind the curtain, Journal of Finance 56, 677-698

H. Stoll and R. Whaley (1990), Stock market structure and volatility, Review of Financial Studies 3, 37-71

R. Wermers (1999), Mutual fund herding and the impact on stock prices, Journal of Finance 54, 581-622

Handbook, Elsevier, 469-504

M. Fleming (1997), The round-the-clock market for U.S. treasury securities, Federal Reserve Bank of New York Economic Policy Review, 9-32

M. Brunnermeier and S. Nagel (2004), Hedge funds and the technology bubble, Journal of Finance 59, 2013-2040

N. Barberis and R. Thaler (2003), A survey of behavioral finance, in Handbook of the Economics of

Finance, Eds. G. Constantinides, M. Harris and R. Stulz, Elsevier

C. Neely (1997), Technical analysis in the foreign exchange market: A layman’s guide, Federal Reserve Bank of St. Louis Review

I. Aldridge (2013), High-frequency trading: A practical guide to algorithmic strategies and trading systems, Wiley

Y. Amihud and H. Mendelson (1986), Asset pricing and the bid-ask spread, Journal of Financial Economics 17, 223-249

Y. Amihud and H. Mendelson (1987), Trading mechanisms and stock returns: An empirical investigation, Journal of Finance 62, 533-553

Y. Amihud, H. Mendelson and M. Murgia (1990), Stock market microstructure and return volatility: Evidence from Italy, Journal of Banking and Finance 14, 423-440

A. Ang and J. Chen (2002), Asymmetric correlations of equity portfolios, Journal of Financial Economics 63, 443-494

J. Bacidore, Algorithmic trading: A practitioner's guide, TBG press

S. Badrinath, J. Kale and T. Noe (1995), Of shepherds, sheep, and the cross- autocorrelations in equity returns, Review of Financial Studies 8, 401-430

W. Bagehot (1971), The only game in town, Financial Analysts Journal 27, 12-14, 22

G. Benston and R. Hagerman (1974), Determinants of bid-asked spreads in the over-the- counter market, Journal of Financial Economics 1, 353-364

M. Brennan and A. Subrahmanyam (1996), Market microstructure and asset pricing: On the compensation for illiquidity in stock returns, Journal of Financial Economics 41, 441-464

M. Brennan, N Jegadeesh and B Swaminathan (1993), Investment analysis and the adjustment of stock prices to common information, Review of Financial Studies 6, 799-824

K. Chan, K. C. Chan and A. Karolyi (1991), Intraday volatility in the stock index and stock index futures markets, Review of Financial Studies 4, 657-684

T. Chordia, R. Roll and A. Subrahmanyam (2002), Order imbalance, liquidity, and market returns, Journal of Financial Economics 65, 111-130

T. Chordia and B. Swaminathan (2000), Trading volume and cross-autocorrelations in stock returns, Journal of Finance 55, 913-935

M. Cooper, O. Dimitrov and R. Rau (2001), A rose.com by any other name, Journal of Finance 56, 2371-2388

D. Cutler, J. Poterba and L. Summers (1989), What moves stock prices?, Journal of Portfolio Management, 15, 4-12

M. Fan and R. Lyons (2003), Customer trades and extreme events in foreign exchange, in Monetary History, Exchange Rates and Financial Markets: Essays in Honor of Charles

Goodhart, Paul Mizen (ed.), Edward Elgar, 160-179

K. French and R. Roll (1986), Stock return variances: The arrival of information and the reaction of traders, Journal of Financial Economics 17, 5-26

L. Frieder and J. Zittrain (2007), Spam works: Evidence from stock touts and corresponding market activity, Working paper, Purdue and Oxford

L. Glosten and L. Harris (1988), Estimating the components of the bid-ask spread, Journal of Financial Economics 21, 123-142

A. Hameed, W. Kang and S. Vishwanathan (2006), Stock market declines and liquidity, Working paper, Duke University

J. Harford and A. Kaul (2005), Correlated order flow: Pervasiveness, sources, and pricing effects, Journal of Financial and Quantitative Analysis 40, 29-55

L. Harris (2003) Trading and exchanges: Market microstructure for practitioners, OUP

J. Hasbrouck (2005), Trading costs and returns for U.S. equities: The evidence from daily data, WP 2005

J. Hasbrouck (2007), Empirical market microstructure: The institutions, economics, and econometrics of securities trading, OUP

T. Hendershott, C. Jones and A. Menkveld (2011), Does algorithmic trading improve liquidity?, Journal of Finance 66, 1-33

S. Kandel, A. Ofer and O. Sarig (1993), Learning from trading, Review of Financial Studies 6, 507-526

D. Keim and A. Madhavan (1995), Anatomy of the trading process: Empirical evidence on the behavior of institutional traders, Journal of Financial Economics 37, 371-398

C. Lee and M. Ready (1991), Inferring trade direction from intraday data, Journal of Finance 46, 733-746

C. Lee, M. Ready and P. Seguin (1994), Volume, volatility, and NYSE trading halts, Journal of Finance 49, 183-214

M. Lewis (2014), Flash boys, Norton

A. Lo and C. MacKinlay (1990), When are contrarian profits due to stock market overreaction?, Review of Financial Studies 3, 175-208

R. Lyons (1995), Tests of microstructural hypotheses in the foreign exchange market, Journal of Financial Economics 39, 321-351

S. Nagel (2012), Evaporating liquidity, Review of Financial Studies 25, 2005-2039

M. O’Hara (1995), Market microstructure theory, Blackwell

P. Pasquariello and C. Vega (2007), Informed and strategic order flow in the bond markets, Review of Financial Studies 20, 1975-2019

L. Pástor and R. Stambaugh (2003), Liquidity risk and expected stock returns; Journal of Political Economy 111, 642-85

D. Rime (2003), New electronic trading systems in foreign exchange markets in the New Economy Handbook, 469-504

R. Roll (1988), R2, The Journal of Finance 43, 541-566

P. Schultz (2001), Corporate bond trading costs: A peek behind the curtain, Journal of Finance 56, 677-698

H. Stoll and R. Whaley (1990), Stock market structure and volatility, Review of Financial Studies 3, 37-71

R. Wermers (1999), Mutual fund herding and the impact on stock prices, Journal of Finance 54, 581-622