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High frequency trading and fragility
Cespa, Giovanni; Vives, Xavier - 2016
We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity consumption decisions: traders demand more liquidity...
Persistent link: https://www.econbiz.de/10011587522
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Automating exchange rate target zones : intervention via an electronic limit order book
Melvin, Michael (contributor); Menkhoff, Lukas (contributor) - 2008
Persistent link: https://www.econbiz.de/10003641673
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Exchange rate management in emerging markets : intervention via an electronic limit order book
Melvin, Michael; Menkhoff, Lukas; Schmeling, Maik - 2009
This paper describes and analyzes the implementation of a crawling exchange rate band on an electronic trading platform. The placement of limit orders at the central bank's target rate serves as a credible policy statement that may coordinate beliefs of market participants. We find for our...
Persistent link: https://www.econbiz.de/10003850509
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Bubbles in hybrid markets : how expectations about algorithmic trading affect human trading
Farjam, Mike; Kirchkamp, Oliver - 2015
Bubbles are omnipresent in lab experiments with asset markets. Most of these experiments were conducted in environments with only human traders. Today markets are substantially determined by algorithmic traders. Here we use a laboratory experiment to measure changes of human trading behavior if...
Persistent link: https://www.econbiz.de/10011392621
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Arbitrage and beliefs
Khorrami, Paymon; Zentefis, Alexander K. - 2020
exists, arbitrage opportunities must also exist. Conversely, at times when arbitrage profits exist, asset markets are … susceptible to self-fulfilling fluctuations. The tight theoretical connection between price volatility and arbitrage is detectable …
Persistent link: https://www.econbiz.de/10012260973
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The law of one price : a case study
Haskel, Jonathan; Wolf, Holger C. - 2001
We use retail transaction prices for a multinational retailer to examine the extent and permanence of violations of the law of one price (LOOP). For identical products, we find typical deviations of twenty to fifty percent, though there is muted evidence for convergence over time. Such...
Persistent link: https://www.econbiz.de/10011398034
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Market integration as a mechanism of growth
Keller, Wolfgang; Shiue, Carol H. - 2016
In what sense are institutions a deep determinant of growth? In this paper, we address this question by examining the relationship between city growth and institutional reform in 19th century Germany, when some cities experienced deep institutional reform as a result of French rule. Employing an...
Persistent link: https://www.econbiz.de/10011536166
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Is medicines parallel trade "regulatory arbitrage"?
Costa-Font, Joan - 2015
medicines conflicts with traditional sources of arbitrage (e.g., price and income differences) and instead is a form of … ‘regulatory arbitrage’ that does not produce equivalent welfare effects. We draw upon a unique dataset that contains records of … regulation, and not by price differences in line with the hypothesis of "regulatory arbitrage". …
Persistent link: https://www.econbiz.de/10010477153
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Does marketing widen borders? : cross-country price dispersion in the European car market
Dvir, Eyal; Strasser, Georg - 2017 - This version: May 2017
convergence before the actual reduction of barriers to arbitrage and the systematic international price differentiation by product …
Persistent link: https://www.econbiz.de/10011721533
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Using chebyshev polynomials to approximate partial differential equations
Caporale, Guglielmo Maria (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003712503