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Limit Order Placement by High-Frequency Traders

Subrahmanyam, Avanidhar - 2016

The effectiveness of liquidity provision by HFT firms via the limit order book is an unexplored but central policy issue. Using a unique dataset consisting of limit order placement, execution, and cancellations on Nasdaq, we find that HFT firms do not cancel orders more frequently than non-HFT...

Persistent link: https://www.econbiz.de/10013003034

High-frequency measures of informed trading and corporate announcements

Brennan, Michael J.; Huh, Sahn-Wook; Subrahmanyam, Avanidhar - In: The review of financial studies 31 (2018) 6, pp. 2326-2376

Persistent link: https://www.econbiz.de/10011926626

The Dynamics of Market Efficiency

Rösch, Dominik - 2016

This paper studies the dynamics of high-frequency market efficiency measures. We provide evidence that these measures co-move across stocks and with each other, suggesting the existence of a systematic market efficiency component. In vector autoregressions, we show that shocks to funding...

Persistent link: https://www.econbiz.de/10013008112

Global Commonality in Liquidity

Moshirian, Fariborz - 2015

Following previous research which established that liquidity commonality exists within one stock market over a short period of time, this paper finds that liquidity commonality also exists globally. Utilising a large number of stock exchanges and a twelve year research time frame, this paper...

Persistent link: https://www.econbiz.de/10013031977

Equity Trading Activity and Treasury Bond Risk Premia

Schraeder, Stefanie; Sojli, Elvira; Subrahmanyam, Avanidhar - 2021

We link equity and treasury bond markets via an informational channel. When macroeconomic state shifts are more probable, informed traders are more likely to have valid signals about fundamentals, so that uninformed traders are less willing to trade against informed ones. This implies low volume...

Persistent link: https://www.econbiz.de/10013216339

Capital Market Effi ciency and Arbitrage E fficacy

Akbas, Ferhat - 2015

Efficiency in the capital markets requires that capital flows are sufficient to arbitrage anomalies away. We examine … performance of this strategy. When these flows are high, quant funds are able to implement arbitrage strategies more effectively …-sectional equity market efficiency varies across time with the availability of arbitrage capital …

Persistent link: https://www.econbiz.de/10013037087