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Dark Trading at the Midpoint : Pricing Rules, Order Flow, and High Frequency Liquidity Provision
Bartlett, Robert P. - 2015
, especially those using high frequency trading (HFT). Trading in dark venues due to a wider MPV reduces volatility and increases …
Persistent link: https://www.econbiz.de/10013020713
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High Frequency Traders : Taking Advantage of Speed
Ait-Sahalia, Yacine - 2013
volatility. The model predicts that volatility leads high frequency traders to reduce their provision of liquidity. Finally, we …
Persistent link: https://www.econbiz.de/10013074299
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Institutional Investors and Information Acquisition : Implications for Asset Prices and Informational Efficiency
Breugem, Matthijs - 2017
We jointly model the information choice and portfolio allocation problem of institutional investors who are concerned about their performance relative to a benchmark. Benchmarking increases an investor's effective risk-aversion, which reduces his willingness to speculate and, consequently, his...
Persistent link: https://www.econbiz.de/10012952505
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How Rigged are Stock Markets? : Evidence from Microsecond Timestamps
Bartlett, Robert P. - 2016
We use new timestamp data from the two Securities Information Processors (SIPs) to examine SIP reporting latencies for quote and trade reports. Reporting latencies average 1.13 milliseconds for quotes and 22.84 milliseconds for trades. Despite these latencies, liquidity-taking orders gain on...
Persistent link: https://www.econbiz.de/10012984742
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High-Frequency, Algorithmic Spillovers between NASDAQ and Forex
Ito, Takatoshi - 2015
We empirically examine the order flows spillovers between Nasdaq and the Forex markets in 2008 and 2009. With emphasis on a role of high-frequency traders (HFTs) who aggregate information between the two markets as well as within each market, our results show that HFTs in Nasdaq trade...
Persistent link: https://www.econbiz.de/10013023679
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The Twilight Zone : OTC Regulatory Regimes and Market Quality
Brüggemann, Ulf - 2013
We analyze a comprehensive sample of more than 10,000 U.S. OTC stocks. We provide much needed descriptive evidence on this market and show that the OTC market is a large, diverse, and dynamic trading environment with a rich set of regulatory and disclosure regimes, comprising venue rules and...
Persistent link: https://www.econbiz.de/10013077219
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High Frequency Market Microstructure Noise Estimates and Liquidity Measures
Ait-Sahalia, Yacine - 2010
Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a microstructure noise component. We then relate these statistical measurements of market microstructure...
Persistent link: https://www.econbiz.de/10012759514
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A Tale of Two Time Scales : Determining Integrated Volatility with Noisy High Frequency Data
Zhang, Lan - 2010
It is a common practice in finance to estimate volatility from the sum of frequently-sampled squared returns. However …-time assumption on the underlying returns. Under our framework, it becomes clear why and where the usual' volatility estimator fails …
Persistent link: https://www.econbiz.de/10012762713
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Testing for Market Microstructure Effects in Intraday Volatility : a Reassessment of the Tokyo FX Experiment
Andersen, Torben G. - 2010
This paper develops mew robust inference procedures for analyzing the intraday return volatility patterns that …, Lyons, and Melvin (1998) (ILM) argue that this deregulation resulted in a highly significant shift in the volatility pattern …
Persistent link: https://www.econbiz.de/10012763589
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Foreign Speculators and Emerging Equity Markets
Bekaert, Geert - 2008
reservations about the impact of foreign speculators on both expectedquot; returns and market volatility. We propose a cross … depositary receipts country funds and other financial instruments, in an extranational market and market volatility in emerging … statistically weak. The effects on volatility and correlation are less robust.quot …
Persistent link: https://www.econbiz.de/10012774923