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High frequency trading and the new-market makers
Menkveld, Albert J. - 2011 - This version: August 15, 2011
This paper links the recent fragmentation in equity trading to high frequency traders (HFTs). It shows how the success of a new market, Chi-X, critically depended on the participation of a large HFT who acts as a modern market-maker. The HFT, in turn, benefits from low fees in the entrant...
Persistent link: https://www.econbiz.de/10011386460
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High-frequency trading around large institutional orders
Kervel, Vincent van; Menkveld, Albert J. - 2017
Liquidity suppliers lean against the wind. We analyze whether high-frequency traders (HFTs) lean against large institutional orders that execute through a series of child orders. The alternative is HFTs trading "with the wind," that is, in the same direction. We find that HFTs initially lean...
Persistent link: https://www.econbiz.de/10011725287
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Need for speed? : exchange latency and liquidity
Menkveld, Albert J.; Zoican, Marius A. - 2014
Speeding up the exchange does not necessarily improve liquidity. The price quotes of high-frequency market makers are more likely to meet speculative high-frequency "bandits", thus less likely to meet liquidity traders. The bid-ask spread is raised in response. The recursive dynamic model...
Persistent link: https://www.econbiz.de/10010384388
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Competing for dark trades
Irvine, Paul J.; Karmaziene, Egle - 2023
how the pecking order theory of trading actually functions. …
Persistent link: https://www.econbiz.de/10014249847
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Speed, algorithmic trading, and market quality around macroeconomic news announcements
Scholtus, Martin L.; Dijk, Dick van; Frijns, Bart - 2012
Persistent link: https://www.econbiz.de/10009724343
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High-frequency technical trading : the importance of speed
Scholtus, Martin L.; Dijk, Dick van - 2012
Persistent link: https://www.econbiz.de/10009722698
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Spot variance path estimation and its application to high frequency jump testing
Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009
This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...
Persistent link: https://www.econbiz.de/10011379469
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Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 1999
methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …
Persistent link: https://www.econbiz.de/10011302131
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Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements
Koopman, Siem Jan; Jungbacker, Borus; Hol Uspensky, Eugenie - 2004
improved volatility measurements but has also inspired research into their potential value as an information source for … volatility forecasting. In this paper we explore the forecasting value of historical volatility (extracted from daily return … series), of implied volatility (extracted from option pricing data) and of realised volatility (computed as the sum of …
Persistent link: https://www.econbiz.de/10011334848
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Modeling and forecasting S&P 500 volatility : long memory, structural breaks and nonlinearity
Martens, Martin; Dijk, Dick van; Pooter, Michiel de - 2004
The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …
Persistent link: https://www.econbiz.de/10011335205