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Fourier analysis for stock price forecasting : assumption and evidence
Stádník, Bohumil; Raudeliūnienė, Jurgita; … - In: Journal of business economics and management 17 (2016) 3, pp. 365-380
Persistent link: https://www.econbiz.de/10011517950
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A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market
Li, Zhicheng; Chen, Xinyun; Xing, Haipeng - In: Economic modelling 118 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014229238
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The behavior of high-frequency traders under different market stress scenarios
Megarbane, Nicolas; Saliba, Pamela; Lehalle, Charles-Albert - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-54
Persistent link: https://www.econbiz.de/10011988891
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High-speed technology trading innovations and capital market performance in Bulgaria
Stefanova, Julia - In: Financial studies 22 (2018) 2, pp. 6-37
, the author argues that there is a relationship between HFT, increased market volatility, fall in trading activity …
Persistent link: https://www.econbiz.de/10011964945
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A Markov-switching multifractal inter-trade duration model, with application to US equities
Chen, Fei; Diebold, Francis X.; Schorfheide, Frank - In: Journal of econometrics 177 (2013) 2, pp. 320-342
Persistent link: https://www.econbiz.de/10010255140
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Rock around the clock: an agent-based model of low- and high-frequency trading
Leal, Sandrine Jacob; Napoletano, Mauro; Roventini, Andrea - 2014
dynamics. Our main goal is to investigate whether high-frequency trading exacerbates market volatility and generates flash … that the presence of high-frequency trading increases market volatility and plays a fundamental role in the generation of …
Persistent link: https://www.econbiz.de/10010243948
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Market stability vs. market resilience : regulatory policies experiments in an agent based model with low- and high-frequency trading
Jacob Leal, Sandrine; Napoletano, Mauro - 2016
-post and ex-ante types), of cancellation fees and of transaction taxes on asset price volatility and on the occurrence and … volatility and the frequency of flash crashes. However, these policies also imply a longer duration of flash crashes. Furthermore …, the introduction of an ex-ante circuit breaker markedly reduces price volatility and removes flash crashes. In contrast …
Persistent link: https://www.econbiz.de/10011457384
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Algorithmic and High Frequency Trading in Dynamic Limit Order Markets
Bernales, Alejandro - 2019
We present a dynamic equilibrium model to understand differences and interactions between informational and trading speed advantages. The model is a stochastic asynchronous game, with endogenous trading decisions and non-cooperation among agents, in a limit order market. We show that welfare and...
Persistent link: https://www.econbiz.de/10012905144
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Market Microstructure and the Risks of High-Frequency Trading
Aldridge, Irene - 2013
market manipulation, the highest volatility and probability of market crashes, yet the highest liquidity. The so … detect spoofing market manipulation, lower volatility and probability of market crashes, but lower liquidity levels. Finally …
Persistent link: https://www.econbiz.de/10013079007
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Market stability vs. market resilience : regulatory policies experiments in an agent-based model with low- and high-frequency trading
Leal, Sandrine Jacob; Napoletano, Mauro - 2016
Persistent link: https://www.econbiz.de/10011644118