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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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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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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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Central clearing and asset prices
Menkveld, Albert J.; Pagnotta, Emiliano; Zoican, Marius A. - 2013
We investigate the effects of introducing a central clearing counterparty (CCP) on securities prices by adopting as an experimental construct the 2009 CCP reform in three Nordic markets. We find that, relative to other European economies, these countries experience market-adjusted equity returns...
Persistent link: https://www.econbiz.de/10010224773
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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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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 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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The formation of a core periphery structure in heterogeneous financial networks
Veld, Daan in 't; Leij, Marco van der; Hommes, Cars H. - 2014
at giving an economic explanation for the emergence of such a structure using network formation theory. Focusing on …
Persistent link: https://www.econbiz.de/10010384387
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SETS, arbitrage activity, and stock price dynamics
Taylor, Nicholas; Dijk, Dick van; Franses, Philip Hans; … - 1999
This paper provides an empirical description of the relationshipbetween the trading system operated by a stockexchange and the transaction costs faced by heterogeneous investors who use the exchange. Therecent introduction ofSETS in the London Stock Exchange provides an excellent opportunity...
Persistent link: https://www.econbiz.de/10011300557
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One-way arbitrage-based interest parity
Chang, Rosita P.; Lee, Sang-hyop; Reid, Sean F.; Rhee, … - 2002
forwardforeign exchange prices from interest parity forward prices. Second, the role oftransaction costs in one-way arbitrage …-based interest parity has not been examined.Applying the Fletcher and Taylor approach to one-way arbitrage-based interest parity … implied by one-way arbitrage, does not diminish therole of transaction costs; (ii) the varjances of the estimated deviations …
Persistent link: https://www.econbiz.de/10011327832