Throttling hyperactive robots - Order to trade ratios at the Oslo Stock Exchange

2018, Journal of Financial Markets

Keywords: High Frequency Trading; Regulation; Order to Trade Ratio

• Paper (pdf)

Lectures (Teaching)

• Lecture notes
• Lecture slides

Doing analysis

• liquidity_and_other_variables.csv Data input to analysis
• example_diff_in_diff_effective_spread.R R example of one of the diff in diff analyses