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1

High frequency trading and extreme price movements

Brogaard, Jonathan, Carrion, Allen, Moyaert, Thibaut, Riordan, Ryan, Shkilko, Andriy, Sokolov, Konstantin

Journal:

Journal of Financial Economics

Year:

2018

Language:

english

File:

PDF, 993 KB

english, 2018

2

To Pay or Be Paid? The Impact of Taker Fees and Order Flow Inducements on Trading Costs in U.S. Options Markets

Battalio, Robert, Shkilko, Andriy, Van Ness, Robert

Journal:

Journal of Financial and Quantitative Analysis

Year:

2016

Language:

english

File:

PDF, 340 KB

english, 2016

3

Locked and crossed markets on NASDAQ and the NYSE

Andriy V. Shkilko, Bonnie F. Van Ness, Robert A. Van Ness

Journal:

Journal of Financial Markets

Year:

2008

Language:

english

File:

PDF, 269 KB

english, 2008

4

Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm

Chakrabarty, Bidisha, Pascual, Roberto, Shkilko, Andriy

Journal:

Journal of Financial Markets

Year:

2015

Language:

english

File:

PDF, 785 KB

english, 2015

5

Trade Classification Algorithms: A Horse Race between the Bulk-Based and the Tick-Based Rules

Chakrabarty, Bidisha, Pascual, Roberto, Shkilko, Andriy

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 373 KB

english, 2012

6

Information transfers and learning in financial markets: Evidence from short selling around insider sales

Chakrabarty, Bidisha, Shkilko, Andriy

Journal:

Journal of Banking & Finance

Year:

2013

Language:

english

File:

PDF, 384 KB

english, 2013

7

Factor models for binary financial data

Perez, M. Fabricio, Shkilko, Andriy, Sokolov, Konstantin

Journal:

Journal of Banking & Finance

Year:

2015

Language:

english

File:

PDF, 417 KB

english, 2015

8

Concentrated short‐selling activity: bear raids or contrarian trading?

Shkilko, Andriy, Blau, Benjamin, Brough, Tyler J.

Journal:

International Journal of Managerial Finance

Year:

2012

Language:

english

File:

PDF, 187 KB

english, 2012

9

Do Brokers of Insiders Tip Other Clients?

McNally, William J., Shkilko, Andriy, Smith, Brian F.

Journal:

Management Science

Year:

2015

Language:

english

File:

PDF, 295 KB

english, 2015

10

High-Frequency Trading and Extreme Price Movements

Brogaard, Jonathan, Riordan, Ryan, Shkilko, Andriy, Sokolov, Konstantin

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 254 KB

english, 2014

11

Every Cloud Has A Silver Lining: Fast Trading, Microwave Connectivity, and Trading Costs

SHKILKO, ANDRIY, SOKOLOV, KONSTANTIN

Journal:

The Journal of Finance

Year:

2020

File:

PDF, 1.17 MB

2020

12

Short Selling and Intraday Price Pressures

Andriy Shkilko, Bonnie Van Ness, Robert Van Ness

Journal:

Financial Management

Year:

2012

Language:

english

File:

PDF, 637 KB

english, 2012

13

Competition in the market for NASDAQ securities

Michael A. Goldstein, Andriy V. Shkilko, Bonnie F. Van Ness, Robert A. Van Ness

Journal:

Journal of Financial Markets

Year:

2008

Language:

english

File:

PDF, 238 KB

english, 2008

14

Short sales, long sales, and the Lee–Ready trade classification algorithm revisited

Bidisha Chakrabarty, Pamela C. Moulton, Andriy Shkilko

Journal:

Journal of Financial Markets

Year:

2012

Language:

english

File:

PDF, 409 KB

english, 2012

15

A cloudy day in the market: short selling behavioural bias or trading strategy

Shkilko, Andriy, Watson, Ethan, Funck, Mary C.

Journal:

International Journal of Managerial Finance

Year:

2012

Language:

english

File:

PDF, 206 KB

english, 2012

16

Short sales in the NYSE batch open and NASDAQ opening cross

Shkilko, Andriy, Paul Spurlin, W., Van Ness, Bonnie F., Van Ness, Robert

Journal:

International Journal of Managerial Finance

Year:

2012

Language:

english

File:

PDF, 198 KB

english, 2012

17

Short Selling and Intraday Price Pressures

Andriy Shkilko, Bonnie Van Ness and Robert Van Ness

Journal:

Financial Management

Year:

2012

Language:

english

File:

PDF, 2.30 MB

english, 2012

18

Unfiltered Market Access and Liquidity: Evidence from the SEC Rule 15c3-5

Chakrabarty, Bidisha, Jain, Pankaj K., Shkilko, Andriy, Sokolov, Konstantin

Journal:

Management Science

Year:

2020

File:

PDF, 951 KB

2020

19

Inter-market competition for NYSE-listed securities under decimals

Michael A. Goldstein, Andriy V. Shkilko, Bonnie F. Van Ness, Robert A. Van Ness

Journal:

Review of Quantitative Finance and Accounting

Year:

2010

Language:

english

File:

PDF, 208 KB

english, 2010

20

Quote Competitiveness, 100-share Quotes, and Decimalization

Ning Tang, Andriy Shkilko, Gregory Stone

Journal:

Financial Review

Year:

2011

Language:

english

File:

PDF, 144 KB

english, 2011

21

The anatomy of short sales and price adjustment: evidence from the Hong Kong stock market

Shkilko, Andriy, Xiaobei Chen, Crystal

Journal:

International Journal of Managerial Finance

Year:

2012

Language:

english

File:

PDF, 180 KB

english, 2012

22

Dynamic short‐sale constraints, price limits, and price dynamics

Shkilko, Andriy, Lin, Tse‐Chun

Journal:

International Journal of Managerial Finance

Year:

2012

Language:

english

File:

PDF, 253 KB

english, 2012

23

Factor Models for Binary Financial Data

Perez, Marcos Fabricio, Shkilko, Andriy, Sokolov, Konstantin

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 199 KB

english, 2015

24

To Pay or Be Paid? The Impact of Taker Fees and Order Flow Inducements on Trading Costs in U.S. Options Markets

Battalio, Robert H., Shkilko, Andriy, Van Ness, Robert A.

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 202 KB

english, 2011

25

Competition in the Market for Nasdaq Securities

Goldstein, Michael A., Shkilko, Andriy, Van Ness, Robert A., Van Ness, Bonnie F.

Journal:

SSRN Electronic Journal

Year:

2007

Language:

english

File:

PDF, 216 KB

english, 2007

26

Quote Intensity and Market Quality: Effects of the SEC Naked Access Ban

Chakrabarty, Bidisha, Jain, Pankaj K., Shkilko, Andriy, Sokolov, Konstantin

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 332 KB

english, 2013

27

Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity and Trading Costs

Shkilko, Andriy, Sokolov, Konstantin

Journal:

SSRN Electronic Journal

Year:

2016

File:

PDF, 623 KB

2016

28

Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity and Trading Costs

Shkilko, Andriy, Sokolov, Konstantin

Journal:

SSRN Electronic Journal

Year:

2016

Language:

english

File:

PDF, 623 KB

english, 2016

29

Catering Through Nominal Share Prices Revisited

Perez, M. Fabricio, Shkilko, Andriy

Journal:

Critical Finance Review

Year:

2017

File:

PDF, 531 KB

2017