The Breakdown of Standard Microstructure Techniques: And What to Do About it

Keywords

Microstructure, Materials science, Metallurgy

References

• High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading SystemsIrene Aldridge — 2009
• Equity Trading in the 21st CenturyJames J. Angel, Lawrence Harris, Chester S. Spatt — 2011
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• Trade Classification Algorithms for Electronic Communications Network TradesBidisha Chakrabarty, Bingguang Li, Vanthuan Nguyen — 2007
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• Inferring Trade Direction from Intraday DataCharles M.C. Lee, Mark J. Ready — 1991
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• Does Algorithmic Trading Improve LiquidityTerrence Hendershott, Charles M. Jones, Albert J. Menkveld — 2011
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• Order Imbalance, Liquidity, and Market ReturnsTarun Chordia, Richard Roll, Avanidhar Subrahmanyam — 2002
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Cited by

• Information Quality Requirements Engineering: a Goal-based Modeling and Reasoning ApproachMohamad Gharib — 2015
• A goal-based approach for automated specification of Information Quality policiesMohamad Gharib, Paolo Giorgini — 2015
• Short sales, long sales, and the Lee–Ready trade classification algorithm revisited ☆Bidisha Chakrabarty, Pamela C. Moulton, Andriy Shkilko — 2012
• Do Prices Reveal the Presence of Informed TradingPierre Collin‐Dufresne, Vyacheslav Fos — 2015
• Tick test accuracy in foreign exchange ECN marketsWalid Ben Omrane, Robert Welch — 2016
• Analysis of information quality requirements in business processes, revisitedMohamad Gharib, Paolo Giorgini, John Mylopoulos — 2016
• Dark Trading at the Midpoint: Pricing Rules, Order Flow and High Frequency Liquidity ProvisionRobert P. Bartlett, Justin McCrary — 2015
• An empirical analysis of funding liquidity and market liquidity dynamicsBill X. Hu — 2025
• Dark Trading at the Midpoint: Pricing Rules, Order Flow, and High Frequency Liquidity ProvisionRobert P. Bartlett, Justin McCrary — 2015
• Do Prices Reveal the Presence of Informed Trading?Pierre Collin‐Dufresne, Vyacheslav Fos — 2012
• Dark Trading at the Midpoint : Does SEC Enforcement Policy Encourage Stale Quote Arbitrage ?Robert P. Bartlett, Justin McCrary — 2016
• Do prices reveal the presence of informed trading?Pierre Collin‐Dufresne, Vyacheslav Fos — 2012
• Dark Trading at the Midpoint: Pricing Rules, Order Flow and Price DiscoveryRobert P. Bartlett — 2015

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