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of the FBA design removes the inefficiency by allowing traders to submit orders conditional on auction excess demand. …
Persistent link: https://www.econbiz.de/10013165302
data. We use machine learning to identify five types of algorithmic imprints that hinder the processing of auction …
Persistent link: https://www.econbiz.de/10012920417
Faster trading improves liquidity in periodic call auction markets, in contrast to continuous-timemarkets. We build a … the likelihood that a single HFT arrives inany given auction and subsequently acts as a monopolist on information. Higher … improving liquidity. We find that faster trading and longer auction intervalsare substitute instruments to reduce bid …
Persistent link: https://www.econbiz.de/10012855696
-frequency trading. We explain how IEX differs from traditional continuous double auction markets and present summary data on IEX … of the continuous double auction. The model predicts that IEX will generally improve price efficiency and lower …
Persistent link: https://www.econbiz.de/10011684993
equilibrium model of this exchange design as a modification of the standard continuous double auction market format. The model …
Persistent link: https://www.econbiz.de/10011778190
Garbade and Silber (1979) demonstrate that an asset will be liquid if it has (1) low price volatility and (2) a large number of public investors who trade it. Although these results match nicely with common notions of liquidity, one key element is missing: liquidity also depends on (3) an asset...
Persistent link: https://www.econbiz.de/10010484462
Persistent link: https://www.econbiz.de/10003863919
implementation of the 3 pm local auction for quarters in Germany at the European Power Exchange (EPEX SPOT) in December 2014 to … challenges that are linked with a potential implementation of an intraday auction. …
Persistent link: https://www.econbiz.de/10011421880
In recent years, there have been many discussions and analyses of how high-frequency trading may affect the financial market – but still without any clear conclusions. Leaving these opinions behind, many adjustments have already been made in the US and Europe - both to regulations and market...
Persistent link: https://www.econbiz.de/10011967205
Many bidders enter the Government of Canada securities auctions with short or long pre-auction inventory. We find that … bidding strategies and auction performance vary with pre-auction ownership structure. Short and long bidders bid higher … average prices and demand larger quantities than do bidders with neutral pre-auction inventory. The effects of pre-auction …
Persistent link: https://www.econbiz.de/10013049321