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Essays on Empirical Market Microstructure
Tuzun, Tugkan - 2011
market volatility. The second essay examines the relationship between mutual fund trading and liquidity consumption in … trading to liquidity consumption. Mutual fund trading is positively correlated with liquidity consumption. Mutual fund … sensitivity to liquidity consumption differs based on mutual fund investment style. Large trades reveal the trading activity of …
Persistent link: https://www.econbiz.de/10009450674
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The CAPM and the High Frequency Trading: Will the CAPM hold good under the impact of high-frequency trading?
Ki, YoungHa - 2011
The main purpose of this paper is to investigate the possible relationship between the Capital Asset Pricing Model - CAPM and the prevailing High Frequency Trading (HFT) method of stocks trading and to explain the relationship between them, if exist, with the references from research papers and...
Persistent link: https://www.econbiz.de/10009430943
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NEW TECHNOLOGIES AND INFRASTRUCTURES OF FINANCIAL SERVICES
BORES, Radu; HLACIUC, Ana-Maria - 2016
and degrades liquidity and overall quality of execution of regular trades. …
Persistent link: https://www.econbiz.de/10011534784
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Transition to electronic trading of Kansas City Board of Trade wheat futures
Shah, Samarth; Brorsen, B. Wade - 2010
This study compares liquidity costs and other characteristics of electronic and open outcry hard red winter wheat … futures contracts traded on the Kansas City Board of Trade. Liquidity costs are considerably lower in the electronic market … than in the open outcry market. A new approach is used to estimate liquidity costs which eliminates bias resulting from …
Persistent link: https://www.econbiz.de/10009446522
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Electronic vs. Open Outcry: Side-by-Side Trading of KCBT Wheat Futures
Shah, Samarth; Brorsen, B. Wade - 2011
This study compares liquidity costs of electronic and open-outcry wheat futures contractstraded side-by-side on the … Kansas City Board of Trade. Liquidity costs are considerablylower in the electronic market. Liquidity costs in the electronic ….Price volatility and transaction size are positively related to liquidity costs, while a negativerelation is found between daily volume …
Persistent link: https://www.econbiz.de/10009444296
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The efficiency of early warning indicators for financial crises
Rabe, Jens Michael - 2000
The banking and currency crises of the last two decades inflictedsubstantial financial, economic, and social damage on thecountries in which they originated. In this work, the efficiencyof early warning indicators for these disastrous economic eventsis evaluated. An analysis of the traditional...
Persistent link: https://www.econbiz.de/10009471830
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Demand and supply determinants of loan contract terms in small business lending
Kirschenmann, Karolin - 2010
verbessern.Kapitel 5 beschäftigt sich schließlich mit dem Einfluss der jüngsten Finanzkrise auf die Kreditverfügbarkeit für KKMU …
Persistent link: https://www.econbiz.de/10009476202
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Deutsche Kapitalbeteiligungsgesellschaften im Umfeld der globalen Finanzkrise 2008/2009
Hummel, Detlev - 2011
Situation auf dem formellen Beteiligungsmarkt in Deutschland nach dem Ausbruch der Finanzkrise. Neben den allgemeinen …
Persistent link: https://www.econbiz.de/10009449026
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Where is the value in high frequency trading?
Cartea, Álvaro; Penalva Zuasti, José S. - 2011
Analizamos el impacto de las operaciones que se realizan en mercados financieros a gran velocidad utilizando un modelo con tres tipos de operadores: consumidores de liquidez, creadores de mercado y operadores de alta frecuencia. Nuestros cuatro resultados principales son: i) el impacto de las...
Persistent link: https://www.econbiz.de/10012530335
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Exchange Market for Complex Goods: Theory and Experiments
Fink, Eugene; Johnson, Josh; Hu, Jenny - 2003
The modern economy includes a variety of markets, and the Internet has opened opportunities for efficient on-line trading. Researchers have developed algorithms for various auctions, which have become a popular means of on-line sales. They have also designed algorithms for exchange markets,...
Persistent link: https://www.econbiz.de/10009440957