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Does screen trading weather the weather? : a note on cloudy skies, liquidity, and computerized stock markets

Goodfellow, Christiane; Schiereck, Dirk; Verrier, Tatjana - In: International review of financial analysis 19 (2010) 2, pp. 77-80

Persistent link: https://www.econbiz.de/10008669507

How do trading costs vary across the day? : a note on the innovative XLM measure for small caps at the Frankfurt Stock Exchange

Goodfellow, Christiane; Schiereck, Dirk; Verrier, Tatjana - In: The journal of trading 5 (2010) 4, pp. 78-87

Persistent link: https://www.econbiz.de/10008689008

Does screen trading weather the weather? A note on cloudy skies, liquidity, and computerized stock markets

Goodfellow, Christiane; Schiereck, Dirk; Verrier, Tatjana - In: International Review of Financial Analysis 19 (2010) 2, pp. 77-80

This paper tests for the presence of a weather effect on liquidity in a screen-based electronic stock market. The Exchange Liquidity Measure XLM enables us to separate the effect of cloudy skies on liquidity provided by market makers from this effect on liquidity naturally in the market. The...

Persistent link: https://www.econbiz.de/10008522858

How do trading costs vary across the day? : a note on the innovative XLM measure for small caps at the Frankfurt Stock Exchange

Goodfellow, Christiane; Schiereck, Dirk; Verrier, Tatjana - In: The journal of trading 5 (2010) 4, pp. 78-87

Persistent link: https://www.econbiz.de/10009881831