Narrow search
Showing 1 - 10 of 93
Cover Image
Price discovery in spot and futures markets : a reconsideration
Theissen, Erik - 2009
allow for arbitrage operations to have an impact on the return dynamics. We estimate the model using quote midpoints, and we … discovery. The lead of the futures market is more pronounced in the presence of arbitrage signals. Thus, when the deviation …
Persistent link: https://www.econbiz.de/10003919404
Cover Image
Does anonymity matter in electronic limit order markets?
Foucault, Thierry; Moinas, Sophie; Theissen, Erik - 2005 - This Draft: May, 2005
As of April 23, 2001, the limit order book for stocks listed on Euronext Paris became anonymous. We study the effect of this switch to anonymity on market liquidity and the informational content of the limit order book. Our empirical analysis is based on a model of limit order trading in which...
Persistent link: https://www.econbiz.de/10009524806
Cover Image
Fundamental information in technical trading strategies
Boonenkamp, Ute; Kempf, Alexander; Homburg, Carsten - 2008
Technical trading strategies assume that past changes in prices help predict future changes. This makes sense if the past price trend reflects fundamental information that has not yet been fully incorporated in the current price. However, if the past price trend only reflects temporary pricing...
Persistent link: https://www.econbiz.de/10003801618
Cover Image
Commonalities in the order book
Beltran Lopez, Helena; Giot, Pierre; Grammig, Joachim - 2009
This paper uses data from one of the most important European stock markets and shows that, in line with predictions from theoretical market microstructure, a small number of latent factors captures most of the variation in stock specific order books. We show that these order book commonalities...
Persistent link: https://www.econbiz.de/10003857810
Cover Image
Liquidity dynamics in an electronic open limit order book : an event study approach
Gomber, Peter; Schweickert, Uwe; Theissen, Erik - 2011
We analyze the dynamics of liquidity in Xetra, an electronic open limit order book. We use the Exchange Liquidity Measure (XLM), a measure of the cost of a roundtrip trade of given size V. This measure captures the price and the quantity dimension of liquidity. We present descriptive statistics,...
Persistent link: https://www.econbiz.de/10009309591
Cover Image
Risk and return in convertible arbitrage : evidence from the convertible bond market
Agarwal, Vikas; Fung, William H.; Loon, Yee Cheng; … - 2004
In this paper, we identify and document the empirical characteristics of the key drivers of convertible arbitrage as a … strategy and how they impact the performance of convertible arbitrage hedge funds. We show that the returns of a buy … CBs to the equity market. -- Hedge funds ; Convertible Bonds ; Convertible arbitrage ; Supply ; Risk Factors …
Persistent link: https://www.econbiz.de/10009524821
Cover Image
Risk and return in convertible arbitrage : evidence from the convertible bond market
Agarwal, Vikas; Fung, William H.; Loon, Yee Cheng; … - 2010
In this paper, we identify and document the empirical characteristics of the key drivers of convertible arbitrage as a … strategy and how they impact the performance of convertible arbitrage hedge funds. We show that the returns of a buy … CBs to the equity market. -- Hedge funds ; Convertible Bonds ; Convertible arbitrage ; Supply ; Risk Factors …
Persistent link: https://www.econbiz.de/10008758073
Cover Image
A partially linear approach to modelling the dynamics of spot and futures prices
Gaul, Jürgen; Theissen, Erik - 2012 - This version: August 2012
This paper considers the dynamics of spot and futures prices in the presence of arbitrage. A partially linear error …
Persistent link: https://www.econbiz.de/10009750074
Cover Image
Do ETFs increase the commonality in liquidity of underlying stocks?
Agarwal, Vikas; Hanouna, Paul; Moussawi, Rabih; Stahel, … - 2021
-pair level indicate that ETF ownership significantly increases commonality. We show that greater arbitrage activities are … of Russell indexes, and ETF trading halts, to establish the causal effect of ETF ownership and the arbitrage mechanism …
Persistent link: https://www.econbiz.de/10012490478
Cover Image
Dissecting short-sale performance : evidence from large position disclosures
Jank, Stephan; Smajlbegovic, Esad - 2015
Short sellers are perceived as informed, sophisticated investors. Yet little is known about their actual performance and trading strategies. Using a novel, hand-collected data set of daily position disclosures in Europe, we identify the entry, change, and exit dates of large short-sale positions...
Persistent link: https://www.econbiz.de/10011392610