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The impact of liquidity shocks through the limit order book

Wuyts, Gunther - Center for Financial Studies - 2008

best prices, as well as resiliency, i.e. how fast the different liquidity measures recover after a liquidity shock. Our … results show a somewhat less favorable image of liquidity than often found in the literature. After a liquidity shock (in the …This paper analyzes liquidity in an order driven market. We only investigate the best limits in the limit order book …

Persistent link: https://www.econbiz.de/10010958667

Pro-rata matching and one-tick futures markets

Field, Jonathan; Large, Jeremy - Center for Financial Studies - 2008

We find and describe four futures markets where the bid-ask spread is bid down to the fixed price tick size practically all the time, and which match counterparties using a pro-rata rule. These four markets' offered depths at the quotes on average exceed mean market order size by two orders of...

Persistent link: https://www.econbiz.de/10010958589

Do firms buy their stock at bargain prices? Evidence from actual stock repurchase disclosure

Ben-Rephael, Azi; Oded, Jacob; Wohl, Avi - Center for Financial Studies - 2011

We use new data from SEC filings to investigate how S&P 500 firms execute their open market repurchase programs. We find that smaller S&P 500 firms repurchase less frequently than larger firms, and at a price which is significantly lower than the average market price. Their repurchase activity...

Persistent link: https://www.econbiz.de/10010958675

Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency?

Cebiroglu, Gökhan; Hautsch, Nikolaus; Horst, Ulrich - Center for Financial Studies - 2014

We develop a model of an order-driven exchange competing for order flow with off-exchange trading mechanisms. Liquidity … additional trade demand. We show, in equilibrium, hiding trade intentions can induce mis-coordination between liquidity supply … in prices and order flow after periods of high excess-supply of hidden liquidity. …

Persistent link: https://www.econbiz.de/10010986363

Modelling and forecasting liquidity supply using semiparametric factor dynamics

Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - Center for Financial Studies - 2009

current state of the market, we show that the recent liquidity demand has the strongest impact. In an extensive forecasting … analysis we show that the model is successful in forecasting the liquidity supply over various time horizons during a trading …

Persistent link: https://www.econbiz.de/10010986387

Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics

Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - Center for Financial Studies - 2009

Persistent link: https://www.econbiz.de/10004987254

Algorithmic trading engines versus human traders: Do they behave different in securities markets?

Gomber, Peter; Gsell, Markus - Center for Financial Studies - 2009

After exchanges and alternative trading venues have introduced electronic execution mechanisms worldwide, the focus of the securities trading industry shifted to the use of fully electronic trading engines by banks, brokers and their institutional customers. These Algorithmic Trading engines...

Persistent link: https://www.econbiz.de/10010958624

Die Betreuer am Neuen Markt: eine empirische Analyse

Gerke, Wolfgang; Bosch, Robert - Center for Financial Studies - 1999

Die Betreuer am neuen Markt sollen die Effizienz des Handels durch Bereitstellung zusätzlicher Liquidität erhöhen. Die vorliegende Studie untersucht den Liquiditätsbeitrag der Betreuer in zwei aufeinanderfolgenden Jahren. Die Beteiligung der Betreuer am Umsatz des Marktes hat im beobachteten...

Persistent link: https://www.econbiz.de/10010986407

Quantifying high-frequency market reactions to real-time news sentiment announcements

Groß-Klußmann, Axel; Hautsch, Nikolaus - Center for Financial Studies - 2009

direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply …, this is only true if news items are classified as highly relevant. Liquidity supply reacts less distinctly due to a …

Persistent link: https://www.econbiz.de/10010986436

Credit risk transfers and the macroeconomy

Faia, Ester - Center for Financial Studies - 2010

credit risk transfer. The possibility of transferring credit reduces the impact of liquidity shocks on bank balance sheets …

Persistent link: https://www.econbiz.de/10010986438