This paper examines how the implementation of a new dark order - Midpoint Extended Life Order on NASDAQ - impacts financial markets stability in terms of occurrences of mini-flash crashes in individual securities. We use high-frequency order book data and apply panel regression analysis to...

This paper examines how the implementation of a new dark order - Midpoint Extended Life Order on NASDAQ - impacts financial markets stability in terms of occurrences of mini-flash crashes in individual securities. We use high-frequency order book data and apply panel regression analysis to...

The study of critical phenomena that originated in the natural sciences has been extended to the financial economics' field, giving researchers new approaches to risk management, forecasting, the study of bubbles and crashes, and many kinds of problems involving complex systems with...

We develop an epidemionomic model that jointly analyzes the health and economic responses to the COVID-19 crisis and to the related containment and public health policy measures implemented in Luxembourg and in the Greater Region. The model has a weekly structure and covers the whole year 2020....

Is it true that speed bumps level the playing field, make financial markets more stable and reduce negative externalities of high-frequency trading (HFT) firms? We examine how the implementation of a particular speed bump - Midpoint Extended Life order (M-ELO) on Nasdaq impacted financial...

Is it true that speed bumps level the playing field, make financial markets more stable and reduce negative externalities of high-frequency trading (HFT) firms? We examine how the implementation of a particular speed bump - Midpoint Extended Life order (M-ELO) on Nasdaq impacted financial...

We examine how the implementation of a new dark order type - Midpoint Extended Life Order (M-ELO) on NASDAQ - impacts financial markets stability in terms of occurrences of mini-flash crashes in individual securities. We use high-frequency order book data around the implementation date and apply...

In this brief article, we prove a result on identifiability of a discrete-time linear system from measurements of the mean and the covariance of the state distribution, obtained from population snapshot observations over time. We show that three time points of such measurements are sufficient...