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Joakim、Zheng, Hui(2014)。Algorithmic trading, liquidity, and price discovery: An intraday analysis of the SPI 200 futures。Financial Review，49，245-270。 | | 18. | Biais, Bruno、Foucault, Thierry(2014)。HFT and market quality。Bankers, Markets, and Investors，128，5-19。 | | 19. | Baron, Matthew、Brogaard, Jonathan、Hagströmer, Björn、Kirilenko, Andrei A.(2019)。Risk and return in high frequency trading。Journal of Financial and Quantitative Analysis，54，993-1024。 | | 20. | Brogaard, Jonathan、Garriott, Corey(2019)。High-frequency trading competition。Journal of Financial and Quantitative Analysis，54，1469-1497。 | | 21. | Biais, Bruno、Foucault, Thierry、Moinas, Sophie(2015)。Equilibrium fast trading。Journal of Financial Economics，116，292-313。 | | 22. | Brogaard, Jonathan、Hendershott, Terrence、Riordan, Ryan(2019)。Price discovery without trading: Evidence from limit orders。Journal of Finance，74，1621-1658。 | | 23. | Chaboud, Alain P.、Chiquoine, Benjamin、Hjalmarsson, Erik、Vega, Clara(2014)。Rise of the machines: Algorithmic trading in the foreign exchange market。Journal of Finance，69，2045-2084。 | | 24. | Chang, Ya-Ting、Gau, Yin-Feng、Hsu, Chih-Chiang(2017)。Liquidity commonality in foreign exchange markets during the global financial crisis and the sovereign debt crisis: Effects of macroeconomic and quantitative easing announcements。North American Journal of Economics and Finance，42，172-192。 | | 25. | Gau, Yin-Feng、Wu, Zhen-Xing(2017)。Macroeconomic announcements and price discovery in the foreign exchange market。Journal of International Money Finance，79，232-254。 | | 26. | Jarrow, Robert A.、Protter, Philip(2012)。A dysfunctional role of high frequency trading in electronic markets。International Journal of Theoretical and Applied Finance，15，1-15。 | | 27. | Kyle, Albert S.(1985)。Continuous auctions and insider trading。Econometrica，53(6)，1315-1335。 | | 28. | Newey, Whitney K.、West, Kenneth D.(1987)。A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix。Econometrica，55(3)，703-708。 | 研究報告| 1. | Aït-Sahalia, Yacine、Saglam, Mehmet(2013)。High frequency traders: Taking advantage of speed。 | | 2. | Brogaard, Jonathan A.(2010)。High frequency trading and its impact on market quality。 | | 3. | Boehmer, Ekkehart、Fong, Kingsley、Wu, Juan(2015)。International evidence on algorithmic trading。 | | 4. | Moore, Michael、Schrimpf, Andreas、Sushko, Vladyslav(2016)。Downsized FX markets: Causes and implications。 | 圖書| 1. | Bank for International Settlements(2013)。Triennial Central Bank Survey: Foreign Exchange and Derivatives Market Activity in April 2013。Basel：Bank for International Settlements。 | |