Search Results - person:"Stadler, Johannes"

The Case of Fleeting Orders and Flickering Quotes

Ulze, Markus; Stadler, Johannes; Rathgeber, Andreas - 2022

HighlightsThe Case of Fleeting Orders and Flickering Quotes⋆Rapid submission and cancellation clusters are connected to liquid marketsFleeting orders and flickering quotes dominate the order books of optionsPositive effects on market quality due to price discovery and trading at a discount

Persistent link: https://www.econbiz.de/10014238340

The impact of the leverage effect on the implied volatility smile : evidence for the German option market

Rathgeber, A. W.; Stadler, Johannes; Stöckl, S. - In: Review of derivatives research 24 (2021) 2, pp. 95-133

Persistent link: https://www.econbiz.de/10012549093

The Case of Fleeting Orders and Flickering Quotes

Ulze, Markus; Stadler, Johannes; Rathgeber, Andreas - 2021

The literature controversially discusses the ambiguous motives and driving forces behind HFT market typical very fast up and down jumps of the order book prices - so-called fleeting orders. In particular, manipulative and dysfunctional characteristics are feared. We show with an ultra-low...

Persistent link: https://www.econbiz.de/10014351768

Determinants of Implied Volatility Smiles - An Empirical Analysis Using Intraday DAX Equity Options

Rathgeber, Andreas - 2018

By extending and reviewing determinants of the implied volatility in the context of high frequency (HF) trade-by-trade DAX equity options from the EUREX a mean-reversion autocorrelation process is revealed, besides confirming low frequency results such as moneyness, time, liquidity, volume and...

Persistent link: https://www.econbiz.de/10012932062

No country for old distributions? : on the comparison of implied option parameters between the Brownian motion and variance gamma process

Ulze, Markus; Stadler, Johannes; Rathgeber, Andreas W. - In: The quarterly review of economics and finance : journal … 82 (2021), pp. 163-184

Persistent link: https://www.econbiz.de/10013258472

Jumps and uncertainties in financial markets : applications of Lévy processes and implied volatilities

Stadler, Johannes - 2017

Persistent link: https://www.econbiz.de/10011638660

Modeling share returns : an empirical study on the Variance Gamma model

Rathgeber, Andreas W.; Stadler, Johannes; Stöckl, Stefan - In: Journal of economics and finance 40 (2016) 4, pp. 653-682

Persistent link: https://www.econbiz.de/10011659065

Pricing fx forwards in OTC markets - new evidence for the pricing mechanism when faced with counterparty risk

Leonhardt, A.; Rathgeber, Andreas W.; Stadler, Johannes; … - In: Applied economics 47 (2015) 25/27, pp. 2860-2877

Persistent link: https://www.econbiz.de/10010519848

Mit der Kraft der Sonne

Zapreva, Susanne; Stadler, Johannes; Hammerling, Robert - In: HMD : Praxis der Wirtschaftsinformatik 52 (2015) 304, pp. 523-530

Mit Bürgersolarkraftwerken und Beteiligungsmodellen ermöglicht der Energiedienstleiter Wien Energie der Bevölkerung, sich aktiv in der österreichischen Hauptstadt für den Ausbau der Nutzung erneuerbarer Energien zu engagieren. Zahlreiche Projekte wurden bereits realisiert, weitere werden in...

Persistent link: https://www.econbiz.de/10011318022