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High-frequency trading in the U.S. treasury market around macroeconomic news announcements
Jiang, George J.; Lo, Ingrid; Valente, Giorgio - 2018
Persistent link: https://www.econbiz.de/10012202019
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Liquidity Suppliers and High Frequency Trading
Jarrow, Robert A. - 2013
execute market orders at limit order prices and without incurring any liquidity costs themselves. The second is by "front …
Persistent link: https://www.econbiz.de/10013071783
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Trading Costs and Priced Illiquidity in High Frequency Trading Markets
Barardehi, Yashar H.; Bernhardt, Dan; Davies, Ryan J. - 2021
, due to endogenous variation in liquidity provision and consumption. After controlling for this endogenity, price impacts …
Persistent link: https://www.econbiz.de/10013241217
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High frequency trading : strategic competition between slow and fast traders
Boco, Herve; Germain, Laurent; Rousseau, Fabrice - 2020
Persistent link: https://www.econbiz.de/10013168176
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Volatility, dark trading and market quality: evidence from the 2020 COVID-19 pandemic-driven market volatility
Ibikunle, Gbenga; Rzayev, Khaladdin - 2020
Persistent link: https://www.econbiz.de/10012487282
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Judgement day : algorithmic trading around the Swiss franc cap removal
Breedon, Francis J.; Chen, Louisa; Ranaldo, Angelo; … - 2018
that algorithmic traders withdrew liquidity and generated uninformative volatility in Swiss franc currency pairs, while …
Persistent link: https://www.econbiz.de/10011906367
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Volatility, dark trading and market quality: evidence from the 2020 COVID-19 pandemic-driven market volatility
Ibikunle, Gbenga; Rzayev, Khaladdin - 2020
Persistent link: https://www.econbiz.de/10012214098
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The impact of algorithmic trading in a simulated asset market
Mukerji, Purba; Chung, Christine; Walsh, Timothy; Xiong, Bo - In: Journal of risk and financial management : JRFM 12 (2019) 2/68, pp. 1-11
level of market uncertainty and the degree of algorithmic versus human trading. Our results show that liquidity increases … initially as AT rises to about 10% share of the market; beyond this point, liquidity increases only marginally. Statistical …
Persistent link: https://www.econbiz.de/10012022150
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High frequency trading and mini flash crashes
Golub, Anton; Keane, John; Poon, Ser-Huang - 2012
Top of the Book. We find strong evidence that Mini Flash Crashes have an adverse impact on market liquidity and are … associated with Fleeting Liquidity. …
Persistent link: https://www.econbiz.de/10010420137
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Deep limit order book events dynamics
Bilodeau, Yann - 2020
Persistent link: https://www.econbiz.de/10012384636