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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

Behavioral heterogeneity in stock prices

Boswijk, Herman Peter; Hommes, Cars H.; Manzan, Sebastiano - 2005

We estimate a dynamic asset pricing model characterized by heterogeneous boundedly rational agents. The fundamental value of the risky asset is publicly available to all agents, but they have different beliefs about the persistence of deviations of stock prices from the fundamental benchmark. An...

Persistent link: https://www.econbiz.de/10011343265

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

High-frequency technical trading : the importance of speed

Scholtus, Martin L.; Dijk, Dick van - 2012

Persistent link: https://www.econbiz.de/10009722698

Experience does not eliminate bubbles : experimental evidence

Kopányi-Peuker, Anita; Weber, Matthias - 2018

We study the role of experience in the formation of asset price bubbles. Therefore, we conduct two related experiments … participants receive. Each market is repeated three times. In both experiments and in all treatments, we observe sizable bubbles …. These bubbles do not disappear with experience. Our findings in the call market experiment stand in contrast to the …

Persistent link: https://www.econbiz.de/10011932581

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

Booms, busts and behavioural heterogeneity in stock prices

Hommes, Cars H.; Veld, Daan in't - 2015 - This draft: July 2015

We empirically evaluate a behavioural model with boundedly rational traders who disagree about the persistence of deviations from the fundamental stock price. Fundamentalist traders believe in mean-reversion, while chartists extrapolate trends. Agents gradually switch between the two rules,...

Persistent link: https://www.econbiz.de/10011301214

Striking out : biases and losses of retail option traders

Pitkäjärvi, Aleksi; Vacca, Matteo - 2024

Analyzing over 15 years of account-level trading records from Finland, we show that option features-expiration, moneyness, and the strike price-influence the behavior of retail investors and exacerbate their behavioral biases. Retail investors selectively exploit the expiration feature of...

Persistent link: https://www.econbiz.de/10014541850

Competing for dark trades

Irvine, Paul J.; Karmaziene, Egle - 2023

We use recent European restrictions to evaluate how traders substitute across available dark pools. Our findings suggest that restricting dark trading at the most prominent platform has a detrimental effect on dark trading activity. Annual dark trading in a restricted stock decreases by more...

Persistent link: https://www.econbiz.de/10014249847

Splitting orders in fragmented markets

Menkveld, Albert J. - 2001

A number of recent theoretical studies have explored trading in fragmented markets, e.g. Biais etal. (2000), a phenomenon increasingly witnessed in modern markets. The key assumptiongenerating the results is that there is at least one liquidity demander exploiting access to allmarkets by...

Persistent link: https://www.econbiz.de/10011317469

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