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Centralised order books versus hybrid order books: a paired comparison of trading costs on NSC (Euronext Paris) and SETS (London Stock Exchange)
Gresse, Carole; Gajewski, Jean-François - Université Paris-Dauphine (Paris IX) - 2007
This article compares the cost of trading large capitalisation equities on the hybrid order-driven segment of the London Stock Exchange and the centralised electronic order book of Euronext. Using samples of stocks matched according to economic sector, free float capitalisation, and trading...
Persistent link: https://www.econbiz.de/10010905293
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The Effect of Crossing-Network Trading on Dealer Market's Bid-Ask Spreads
Gresse, Carole - Université Paris-Dauphine (Paris IX) - 2006
This article provides new insights into market competition between traditional exchanges and alternative trading systems in Europe. It investigates the relationship between the trading activity of a crossing network (CN) and the liquidity of a traditional dealer market (DM) by comparing data...
Persistent link: https://www.econbiz.de/10011093892
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Inside the Black Box: Why are Order Flows Models of Exchange Rate more competitive than Traditional Models of Exchange Rate?
Di Filippo, Gabriele - Université Paris-Dauphine (Paris IX) - 2011
and a microstructure model. The model puts forward three results. First, simulations replicate stylised facts observed in …. Incoming information is distorted by behavioural noise and microstructure noise. Thirdly, order flows models of exchange rate … varying weight of fundamental information, behavioural information and microstructure information while traditional models …
Persistent link: https://www.econbiz.de/10010707134
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A Comparison of Trading Costs on NSC (Euronext) and SETS (London Stock Exchange)
Gajewski, Jean-François; Gresse, Carole - Université Paris-Dauphine (Paris IX) - 2004
In a context of competition between exchanges, most European stock exchanges have now chosen order-driven systems for the trading of large capitalisations, yet some organisation specificities have remained, and the comparison of trading costs between order books with different trading rules has...
Persistent link: https://www.econbiz.de/10010905436
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Cross-Market Spillovers with 'Volatility Surprise'
Aboura, Sofiane; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2014
This article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by updating the concept of ‘volatility surprise’ to capture cross-market relationships. Current methods for measuring spillovers do not focus on volatility interactions, and neglect...
Persistent link: https://www.econbiz.de/10011205314
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Liquidity and the cost of Funds and Integration of the Eurozone Treasury Bills Market
Biais, Bruno; Renucci, Antoine; Saint-Paul, Gilles - Université Paris-Dauphine (Paris IX) - 2007
We analyze empirically the determinants of Eurozone Treasury bills yields. Market microstructure as well as …
Persistent link: https://www.econbiz.de/10010708481
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Incomplete markets, transaction costs and liquidity effects
Jouini, Elyès; Touzi, Nizar; Koehl, Pierre-François - Université Paris-Dauphine (Paris IX) - 1997
An agent's optimization problem of the expected terminal wealth utility in a trinomial tree economy is solved. At each transaction date, the agent can trade in a riskless asset, a primitive asset subject to constant proportional transaction costs, and a contingent claim characterized by some...
Persistent link: https://www.econbiz.de/10011166517
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Actual share repurchases, timing and liquidity
Hamon, Jacques; Ginglinger, Edith - Université Paris-Dauphine (Paris IX) - 2007
Research on the impact of open market share repurchases has been hindered by the lack of data available on actual share repurchases in many countries, including the US. Using a previously unused database containing detailed information on 36,848 repurchases made by 352 French firms, we show that...
Persistent link: https://www.econbiz.de/10010744750
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La volatilité des prix des matières premières
Lautier, Delphine; Simon, Yves - Université Paris-Dauphine (Paris IX) - 2004
This article is centred on the volatility of commodity prices. It presents the instruments offering a protection against volatility and shows how they can be employed. The first section exposes these derivative instruments. It distinguishes them in step with the need they respond and the way...
Persistent link: https://www.econbiz.de/10010905033
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Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity : Evidence from the CAC 40 Index
Gresse, Carole; Deville, Laurent; De Séverac, Béatrice - Université Paris-Dauphine (Paris IX) - 2014
This paper investigates how the introduction of an index security directly or indirectly impacts the underlying-index spot-futures pricing. Using intraday data for financial instruments related to the CAC 40 index, we do not find that the spot-futures price efficiency improvement observed after...
Persistent link: https://www.econbiz.de/10010799319