Academic Studies

The resources on this page are all peer-reviewed academic studies, which look at various aspects of high frequency trading, algorithmic trading or other related topics.

If you know of a relevant academic study that is not listed here, but that you would like to see included, please Contact Us Here

Please note however that the purpose of this section is to provide links to academic resources, not commercial white papers. They can be found here.

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Academic Studies

Academic Studies

Information Transmission between Financial Markets in Chicago and New York [Laughlin, Aguirre, Grundfest] (Visit resource)

Paradigm Shifts & Unintended Consequences: The Death of the Specialist, the Rise of High Frequency Trading, & the Problem of Duty-Free Liquidity in Equity Markets [Dean] (Visit resource)

Do High-Frequency Traders Anticipate Buying and Selling Pressure? [Hirschey] (Visit resource)

High Frequency Quoting: Short-Term Volatility in Bids and Offers [Hasbrouck] (Visit resource)

Moore’s Law vs. Murphy’s Law: Algorithmic Trading and Its Discontents [Kirilenko, Lo] (Visit resource)

What Do We Know About High-Frequency Trading? [Jones] (Visit resource)

High-Frequency Trading and Broader Implications for Strategic Asset Allocation [Cersosimo] (Visit resource)

Sand in the Chips: Evidence on Taxing Transactions in an Electronic Market [Colliard, Hoffmann] (Visit resource)

Cancellation Latency: The Good, the Bad, and the Ugly [Jain, Jordan] (Visit resource)

How Fast Can You Trade? High Frequency Trading in Dynamic Limit Order Markets [Bernales] (Visit resource)

News Trading and Speed [Foucalt, Hombert, Rosu] (Visit resource)

Do Retail Traders Suffer from High Frequency Traders? [Malinova, Park, Riordan] (Visit resource)

Optimal Limit Order Execution in a Simple Model for Market Microstructure Dynamics [Burlakov, Kamal, Salvadore] (Visit resource)

High Frequency Trading and Listed Companies – The Shrinking Role of Disclosure [Ciallella] (Visit resource)

Should Exchanges Impose Market Maker Obligations? [Arnand, Venkataraman] (Visit resource)

Speed, Algorithmic Trading, and Market Quality Around Macroeconomic News Announcements [Scholtus, Van Dijk, Frijns] (Visit resource)

High-Frequency Trading Synchronizes Prices in Financial Markets [Gerig] (Visit resource)

Identifying International Start Dates for Algorithmic Trading and High Frequency Trading [Aitken, Cumming, Zhan] (Visit resource)

Low-Frequency Traders in a High-Frequency World: A Survival Guide [Marcos Lopez de Prado] (Visit resource)

Statistical Arbitrage Trading Strategies and High Frequency Trading [Hanson, Hall] (Visit resource)

High Frequency Trading and End-of-Day Manipulation [Cumming, Zhan, Aitken] (Visit resource)

Very Fast Money: High-Frequency Trading on the NASDAQ [Carrion] (Visit resource)

High-frequency trading behaviour and its impact on market quality: evidence from the UK equity market [Benos, Sagade] (Visit resource)

High Frequency Trading and Mini Flash Crashes [Golub, Keane, Poon] (Visit resource)

Financial Markets and High Frequency Trading: An Information Management Perspective [Theodoulidis, Diaz] (Visit resource)

Perspectives on High-Frequency Trading [Zervoudakis, Lawrence, Nava, Gontikas , Al Merey] (Visit resource)

Where is the Value in High Frequency Trading? [Cartea, Penalva] (Visit resource)

Independent Financial Traders: Trends in eBusiness and Social Business Networking (Visit resource)

The Diversity of High Frequency Traders [Hagströmer, Norden] (Visit resource)

Exchange-Traded Funds, Market Structure and the Flash Crash [Madhavan] (Visit resource)

Differential Access to Price Information in Financial Markets [Easley, O’Hara, Yang] (Visit resource)

Order Dynamics in a High-Frequency Trading Environment [Breuer, Burghof, Stitz] (Visit resource)

Effective Trade Execution [Cesari, Marzo, Zagaglia] (Visit resource)

Online Learning of Informed Market Making [Zahavi, Gil] (Visit resource)

The Good, the Bad, and the Ugly of Automated High-Frequency Trading [Vuorenmaa] (Visit resource)

Is High-Frequency Trading Inducing Changes in Market Microstructure and Dynamics? [Smith] (Visit resource)

Liquidity: What you see is what you get? [van Kervel] (Visit resource)

High Frequency Trading Acceleration Using FPGAs [Leber, Geib, Litz] (Visit resource)

High Frequency Trading: Price Dynamics Models and Market Making Strategies [Lu] (Visit resource)

The Externality of High Frequency Trading [Ye, Yao, Gai] (Visit resource)

High Frequency Trading and Long-Term Investors: A View from the Buy-Side [Bershova, Rakhlin] (Visit resource)

Relativistic statistical arbitrage [Wissner-Gross, Freer] (Visit resource)

Need for Speed: An Empirical Analysis of Hard and Soft Information in a High Frequency World [Zhang] (Visit resource)

Algorithmic Trading and Changes in Firms’ Equity Capital [Boehmer, Fong, Wu] (Visit resource)

Dynamical Models of Market Impact and Algorithms for Order Execution [Gatheral, Schied] (Visit resource)

Public News Arrival and Cross-Asset Correlation Breakdown: Implications for Algorithmic Trading [Ho, Liu, Yu] (Visit resource)

Competing on Speed [Pagnotta, Philippon] (Visit resource)

An Optimal Control Approach to Information-Driven High Frequency Trading in a Pro-Rata Microstructure [Guilbaud, Pham] (Visit resource)

A Multiscale Model of High-Frequency Trading [Sowers, Kirilenko, Meng] (Visit resource)

Order Book Dynamics in Liquid Markets: Limit Theorems and Diffusion Approximations [Cont, De Larrard] (Visit resource)

The synchronized and long-lasting structural change on commodity markets: evidence from high frequency data [Bicchetti, Maystre] (Visit resource)

The Volume Clock: Insights into the High Frequency Paradigm [Easley, Lopez de Prado, O’Hara] (Visit resource)

On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements [Hautsch, Huang] (Visit resource)

The Impact of High-Frequency Trading on Stock Market Liquidity Measures [Kim, Murphy] (Visit resource)

Dynamic Co-movement Detection of High Frequency Financial Data [Guo, Liu, Huang] (Visit resource)

Conflicting Codes and Codings – How Algorithmic Trading Is Reshaping Financial Regulation [Lenglet] (Visit resource)

Trading Rules Over Fundamentals: A Stock Price Formula for High Frequency Trading, Bubbles and Crashes [Cadogan] (Visit resource)

Investigating Financial Fraud in High Frequency Trading [Katika, Theodoulidis, Diaz] (Visit resource)

Buy Low Sell High: A High Frequency Trading Perspective [Cartea, Jaimungal, Ricci] (Visit resource)

Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data [Ait-Sahalia, Jacod] (Visit resource)

High Frequency Market Microstructure Noise Estimates and Liquidity Measures [Ait-Sahalia, Yu] (Visit resource)

The Estimation of Leverage Effect with High Frequency Data [Wang, Mykland] (Visit resource)

High Frequency Trading and Price Discovery [Hendershott, Riordan] (Visit resource)

Financial Crises in Efficient Markets: How Fundamentalists Fuel Volatility (Szafarz) (Visit resource)

Alpha Representation for Active Portfolio Management and High Frequency Trading in Seemingly Efficient Markets (Cadogan) (Visit resource)

What’s Not There: The Odd-Lot Bias in TAQ Data (O’Hara, Yao, Ye) (Visit resource)

Time Horizon Trading and the Idiosyncratic Risk Puzzle (Malagon, Moreno, Rodriguez) (Visit resource)

Optimal High Frequency Trading with Limit and Market Orders (Guilbaud, Pham) (Visit resource)

The Flash Crash: The Impact of High Frequency Trading on an Electronic Market (Kirilenko, Kyle, Samadi, Tuzun) (Visit resource)

A Dysfunctional Role of High Frequency Trading in Electronic Markets (Jarrow, Protter) (Visit resource)

Fairness in Financial Markets: The Case of High Frequency Trading (Angel, McCabe) (Visit resource)

High Frequency Trading and The New-Market Makers (Menkveld) (Visit resource)