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The impact of algorithmic trading in a simulated asset market
Mukerji, Purba; Chung, Christine; Walsh, Timothy; Xiong, Bo - In: Journal of risk and financial management : JRFM 12 (2019) 2/68, pp. 1-11
level of market uncertainty and the degree of algorithmic versus human trading. Our results show that liquidity increases … initially as AT rises to about 10% share of the market; beyond this point, liquidity increases only marginally. Statistical …
Persistent link: https://www.econbiz.de/10012022150
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Central counterparties and liquidity provision in cash markets
Richter, Thomas - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-26
This paper investigates increased liquidity provision by market makers resulting from their ability to reduce balance …-by-trade data from sovereign bond markets, we show that liquidity provision by CCP members decreased to a lesser extent following …
Persistent link: https://www.econbiz.de/10012798918
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On the market efficiency and liquidity of high-frequency cryptocurrencies in a bull and bear market
Zhang, Yuanyuan; Chan, Stephen; Chu, Jeffrey; Sulieman, Hana - In: Journal of risk and financial management : JRFM 13 (2020) 1/8, pp. 1-14
, Ethereum, and Litecoin. We also examine the market efficiency and liquidity of the selected cryptocurrencies during these … market. Furthermore, our results indicated differences between the cryptocurrencies in terms of their liquidity during the …
Persistent link: https://www.econbiz.de/10012173261
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High-Frequency Trading (HFT) and market quality research : an evaluation of the alternative HFT proxies
Hossain, Shahadat - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-31
explore a sharp uptrend in HFT activities and accompanying improvement in market liquidity in the European market. We show …
Persistent link: https://www.econbiz.de/10012818174
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Market quality and short-selling ban during the COVID-19 pandemic : a high-frequency data approach
Ferreruela, Sandra; Martín, Daniel - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-29
volatility, but liquidity was reduced; (2) liquidity deterioration affected more the sell than the buy side of the LOB; (3) high …-frequency activity (HFT) diminished during SSR, reinforcing volatility; (4) negative effects on liquidity and HFT diminished and …
Persistent link: https://www.econbiz.de/10013370457
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Bitcoin at high frequency
Catania, Leopoldo; Sandholdt, Mads - In: Journal of risk and financial management : JRFM 12 (2019) 1/36, pp. 1-20
This paper studies the behaviour of Bitcoin returns at different sample frequencies. We consider high frequency returns starting from tick-by-tick price changes traded at the Bitstamp and Coinbase exchanges. We find evidence of a smooth intra-daily seasonality pattern, and an abnormal trade- and...
Persistent link: https://www.econbiz.de/10012022322
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Testing stylized facts of Bitcoin limit order books
Schnaubelt, Matthias; Rende, Jonas; Krauss, Christopher - In: Journal of risk and financial management : JRFM 12 (2019) 1/25, pp. 1-30
observed patterns. Also, we find limit order books to be relatively shallow and liquidity costs to be relatively high when …
Persistent link: https://www.econbiz.de/10012022344
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The nexus between financial performance and equilibrium : empirical evidence on publicly traded companies from the global financial crisis up to the COVID-19 pandemic
Batrancea, Larissa - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-12
Financial performance and financial equilibrium are two key aspects that should be monitored by any business manager interested in passing the test of time and overcoming unpredictable events such as economic crises. The organic link between financial performance and financial equilibrium has...
Persistent link: https://www.econbiz.de/10012534668
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Market liquidity and its dimensions : linking the liquidity dimensions to sentiment analysis through microblogging data
Guijarro Martinez, Francisco; Moya, Ismael; Saleemi, Jawad - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-12
Market liquidity has an immediate impact on the execution of transactions in financial markets. Informed counterparty … risk is often priced into market liquidity. This study investigates whether microblogging data, as a non …-financial information tool, is priced along with market liquidity dimensions. The analysis is based on the Australian Securities Exchange …
Persistent link: https://www.econbiz.de/10012627652
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A pseudo-Bayesian model for stock returns in financial crises
Fung, Eric S.; Lam, Kin; Siu, Tak Kuen; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 4 (2012) 1, pp. 43-73
Recently, there has been a considerable interest in the Bayesian approach for explaining investors' behaviorial biases by incorporating conservative and representative heuristics when making financial decisions, (see, for example, Barberis, Shleifer and Vishny (1998)). To establish a...
Persistent link: https://www.econbiz.de/10011555931