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Dark Trading at the Midpoint : Pricing Rules, Order Flow, and High Frequency Liquidity Provision
Bartlett, Robert P, III. - 2015
national best bid and offer. Enhanced order flow to dark venues reduces price competition by exchange liquidity providers …
Persistent link: https://www.econbiz.de/10012457381
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High Frequency Traders : Taking Advantage of Speed
Aït-Sahalia, Yacine - 2013
order flows, and exploits his speed advantage to optimize his quoting policy. We determine the provision of liquidity, order … volatility. The model predicts that volatility leads high frequency traders to reduce their provision of liquidity. Finally, we …
Persistent link: https://www.econbiz.de/10012459130
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Is Post-Crisis Bond Liquidity Lower?
Anderson, Mike - 2017
Price-based liquidity metrics are better in 2013-2014 for small trades and large high-yield bond trades, but not for … relative to 2010-2012. This evidence contrasts with the widely-held view among practitioners that liquidity has worsened …-crisis liquidity could be low when markets are stressed. We consider three stress events: extreme VIX increases, extreme bond yield …
Persistent link: https://www.econbiz.de/10012455364
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The Real Effects of Liquidity During the Financial Crisis : Evidence from Automobiles
Benmelech, Efraim - 2016
Illiquidity in short-term credit markets during the financial crisis might have severely curtailed the supply of non-bank consumer credit. Using a new data set linking every car sold in the United States to the credit supplier involved in each transaction, we find that the collapse of the...
Persistent link: https://www.econbiz.de/10012456527
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How Rigged Are Stock Markets? : Evidence From Microsecond Timestamps
Bartlett, Robert P, III. - 2016
these latencies, liquidity-taking orders gain on average $0.0002 per share when priced at the SIP-reported national best bid … shows little evidence that fast traders initiate these liquidity-taking orders to pick-off stale quotes. These findings …
Persistent link: https://www.econbiz.de/10012456128
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Using Social Media to Identify the Effects of Congressional Partisanship on Asset Prices
Bianchi, Francesco; Kung, Howard; Cram, Roberto Gómez - National Bureau of Economic Research - 2021
We measure the individual and collective viewpoints of US Congress members on various economic policies by scraping their Twitter accounts. Tweets that criticize (support) a particular company are associated with a significant negative (positive) stock price reaction in a narrow time window...
Persistent link: https://www.econbiz.de/10012510628
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High-frequency, Algorithmic Spillovers Between NASDAQ and Forex
Ito, Takatoshi - 2015
We empirically examine the order flows spillovers between Nasdaq and the Forex markets in 2008 and 2009. With emphasis on a role of high-frequency traders (HFTs) who aggregate information between the two markets as well as within each market, our results show that HFTs in Nasdaq trade...
Persistent link: https://www.econbiz.de/10012457544
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Have Financial Markets Become More Informative?
Bai, Jennie - 2013
The finance industry has grown, financial markets have become more liquid, information technology has undergone a revolution. But have market prices become more informative? We derive a welfare-based measure of price informativeness: the predicted variation of future cash flows from current...
Persistent link: https://www.econbiz.de/10012458935
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How and When are High-Frequency Stock Returns Predictable?
Aït-Sahalia, Yacine; Fan, Jianqing; Xue, Lirong; Zhou, … - National Bureau of Economic Research - 2022
This paper studies the predictability of ultra high-frequency stock returns and durations to relevant price, volume and transactions events, using machine learning methods. We find that, contrary to low frequency and long horizon returns, where predictability is rare and inconsistent,...
Persistent link: https://www.econbiz.de/10013362020
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Leverage and Asset Bubbles : Averting Armageddon with Chapter 11?
Miller, Marcus - 2010
An iconic model with high leverage and overvalued collateral assets is used to illustrate the amplification mechanism driving asset prices to 'overshoot' equilibrium when an asset bubble bursts--threatening widespread insolvency and what Richard Koo calls a 'balance sheet recession'
Persistent link: https://www.econbiz.de/10012462797