Abstract The Asia-Pacific securities markets are among the fastest growing markets in the
world and account for more than one third of the global market capitalization. Drawing from …

We examine the soundness of high-frequency trading (HFT) proxies that are widely defined
on the limit order book (LOB) information. We use a unique TRTH (Thomson Reuters Tick …

This study investigates the role of algorithmic trading in the price discovery process. We
estimate a state space framework which decomposes stock prices into permanent price …

This study examines the interaction between dynamic limit order placement activities and
market quality around the two system upgrades by the Australian Securities Exchange (ASX) …

ABSTRACT This paper classifies Algorithmic Traders (ATs) as Proprietary Algorithmic
Traders (PATs) and Buy-side Algorithmic Traders (BATs) and examines their dynamic …

This study examines dynamic order placement strategies in a low-latency environment
together with limit orders' aggressiveness by a new approach which utilises survival analysis …

In this article, the author discusses the phenomenon of stock exchange interconnection and
the synergies that it can bring. He investigates the methods and rationales behind various …

Since the 1990s exchanges around the world have been improving their platforms, with the
advent of high-performance computer systems forming the core mechanism facilitating trade …

Abstract Does Algorithmic Trading (AT) exacerbate price swings in turbulent markets? We
find that stocks with high AT experience less price drops (surges) on days when the market …

We address two important recent trends in global equity markets---high-frequency trading
(HFT) and trade fragmentation, in this paper and join the debate regarding their social …