In this work, I study the impact of high-frequency trading (HFT) on price discovery and volatility in the Bund futures … price discovery compared to Non-HFTs, but also add a higher share to noise than to permanent volatility. Moreover, I find … macroeconomic news events. These findings suggest that in times of high market stress, HFT behavior may exacerbate intraday price …

In this paper we empirically analyze the permanent price impact of trades by investigating the relation between … unexpected net order flow and price changes. We use intraday data on German index futures. Our analysis based on a neural network … price impact function instead of a simple ratio. To allow the market depth to depend on trade volume could open promising …

According to the prospect theory financial investors tend to sell winners too early and ride losers too long. Therefore …

bond market shows asymmetrical findings for bonds depending on their price level. Our study explains these results with …