The relatively recent phenomenon of high-frequency trading has had a profound impact on
the micro-structure of financial markets. Several authors hailed it as a provider of liquidity …

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 …

Since the mid-1980s, the growth of computerization in financial markets has been
significant. Technological advances have changed the economics of finance and banking …

Computerization has transformed financial markets with high frequency trading displacing
human activity with proprietary algorithms to lower latency, reduce intermediary costs …

The last few decades has seen an ever-increasing growth in the way activities are
productized and associated with a financial cost. This phenomenon, termed financialization …

Financial markets are now ecologies of trading algorithms. In this chapter, we propose
market effectiveness as the ethical goal of automated markets and review the professional …

The purpose of this chapter is to review research on big data in finance and to identify gaps
in the current body of knowledge to deliberate upon the areas of future research. The study …

We measure the extent to which consolidated liquidity in modern fragmented equity markets
overstates true liquidity due to a phenomenon that we call Ghost Liquidity (GL). GL exists …

This paper uses NASDAQ order book data for the S&P 500 exchange traded fund (SPY) to
examine the relationship between one-minute, informational market efficiency and high …

During the last 20 years, the financial sector has undergone an unprecedented
transformation due to new regulations and the implementation of several technological …