Narrow search
Showing 1 - 10 of 124
Cover Image
Order exposure and liquidity coordination : does hidden liquidity harm price efficiency?
Cebirogly, Gökhan; Hautsch, Nikolaus; Horst, Ulrich - 2017
We show that the excessive use of hidden orders causes artificial price pressures and abnormal asset returns. Using a simple game-theoretical setting, we demonstrate that this effect naturally arises from mis-coordination in trading schedules between traders, when suppliers of liquidity do not...
Persistent link: https://www.econbiz.de/10011697233
Cover Image
Order exposure and liquidity coordination : does hidden liquidity harm price efficiency?
Cebiroglu, Gökhan; Hautsch, Nikolaus; Horst, Ulrich - In: Market microstructure and liquidity 5 (2019) 1/4, pp. 1-52
Persistent link: https://www.econbiz.de/10012819933
Cover Image
A descriptive study of high-frequency trade and quote option data
Andersen, Torben; Archakov, Ilya; Grund, Leon; Hautsch, … - In: Journal of financial econometrics 19 (2021) 1, pp. 128-177
Persistent link: https://www.econbiz.de/10012504324
Cover Image
A Descriptive Study of High-Frequency Trade and Quote Option Data
Andersen, Torben G. - 2020
This paper provides a guide to high frequency option trade and quote data disseminated by theOptions Price Reporting Authority (OPRA). We present a comprehensive overview of the U.S. option market, including details on market regulation and the trading processes for all 16 constituent option...
Persistent link: https://www.econbiz.de/10012847927
Cover Image
On the dark side of the market : identifying and analyzing hidden order placements
Hautsch, Nikolaus; Huang, Ruihong - 2012
Trading under limited pre-trade transparency becomes increasingly popular on financial markets. We provide first evidence on traders' use of (completely) hidden orders which might be placed even inside of the (displayed) bid-ask spread. Employing TotalView-ITCH data on order messages at NASDAQ,...
Persistent link: https://www.econbiz.de/10009504616
Cover Image
On the dark side of the market : identifying and analyzing hidden order placements
Hautsch, Nikolaus; Huang, Ruihong - 2012 - First Version: December 2010, This Version: January 2012
Trading under limited pre-trade transparency becomes increasingly popular on financial markets. We provide first evidence on traders' use of (completely) hidden orders which might be placed even inside of the (displayed) bid-ask spread. Employing TotalView-ITCH data on order messages at NASDAQ,...
Persistent link: https://www.econbiz.de/10009487319
Cover Image
Four essays on the econometric analysis of high-frequency order data
Huang, Ruihong - 2012
Persistent link: https://www.econbiz.de/10009670513
Cover Image
Order exposure and liquidity coordination : does hidden liquidity harm price efficiency?
Cebiroglu, Gökhan; Hautsch, Nikolaus; Horst, Ulrich - 2014
We develop a model of an order-driven exchange competing for order flow with off-exchange trading mechanisms. Liquidity suppliers face a trade-off between benefits and costs of order exposure. If they display trading intentions, they attract additional trade demand. We show, in equilibrium,...
Persistent link: https://www.econbiz.de/10010411280
Cover Image
The ambivalent role of high-frequency trading in turbulent market periods
Hautsch, Nikolaus; Noe, Michael; Zhang, S. Sarah - 2017
We show an ambivalent role of high-frequency traders (HFTs) in the Eurex Bund Futures market around high-impact macroeconomic announcements and extreme events. Around macroeconomic announcements, HFTs serve as market makers, post competitive spreads, and earn most of their profits through...
Persistent link: https://www.econbiz.de/10011755770
Cover Image
Quantifying high-frequency market reactions to real-time news sentiment announcements
Groß-Klußmann, Axel; Hautsch, Nikolaus - 2009
direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However … shown. -- Firm-specific News ; News Sentiment ; High-frequency Data ; Volatility ; Liquidity ; Abnormal Returns …
Persistent link: https://www.econbiz.de/10003947435