50 citations · 119 across the 12 of their papers we have counts for
4 papers · 1 filter
Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets
Benjamin Myers, Austin Gerig
Nearly one-half of all trades in financial markets are executed by high-speed, autonomous computer programs -- a type of trading often called high-frequency trading (HFT). Although…
High-Frequency Trading Synchronizes Prices in Financial Markets
Austin Gerig
High-speed computerized trading, often called "high-frequency trading" (HFT), has increased dramatically in financial markets over the last decade. In the US and Europe, it now acc…
How efficiency shapes market impact
J. Doyne Farmer, Austin Gerig, Fabrizio Lillo +1
We develop a theory for the market impact of large trading orders, which we call metaorders because they are typically split into small pieces and executed incrementally. Market im…
Automated Liquidity Provision and the Demise of Traditional Market Making
Austin Gerig, David Michayluk
Traditional market makers are losing their importance as automated systems have largely assumed the role of liquidity provision in markets. We update the model of Glosten and Milgr…