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Volatility Control Mechanisms : The International Experience and the Evidence from Hong Kong
Chan, Kalok; Lam, F. Y. Eric; Valente, Giorgio; Wu, Siyuan - 2022
University of Hong Kong Business School).Trading venues have adopted volatility interruption measures to protect investors from … extreme price gyrations and disorderly markets. Among such measures, Volatility Control Mechanisms (VCMs) are implemented …
Persistent link: https://www.econbiz.de/10013492074
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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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Estimating probability of informed trading on the Bucharest stock exchange
Cepoi, Cosmin Octavian; Toma, Filip Mihai - In: Finance a úvěr 66 (2016) 2, pp. 140-160
Persistent link: https://www.econbiz.de/10011618713
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Liquidity in the German stock market
Johann, Thomas; Scharnowski, Stefan; Theissen, Erik; … - 2019
has generally increased over time, and that in times of crisis liquidity is lower and the volatility of liquidity is …
Persistent link: https://www.econbiz.de/10012020325
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Liquidity in the German stock market
Johann, Thomas; Scharnowski, Stefan; Theissen, Erik; … - In: Schmalenbach business review : sbr 71 (2019) 4, pp. 443-473
Persistent link: https://www.econbiz.de/10012108571
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The market impact puzzle
Kyle, Albert S.; Obižaeva, Anna - 2020
Persistent link: https://www.econbiz.de/10012494214
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The economics of flash orders and trading
Harris, Lawrence E.; Namvar, Ethan - In: Journal of investment management : JOIM 14 (2016) 4, pp. 74-86
Persistent link: https://www.econbiz.de/10011691378
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Informed trading and liquidity in the Shanghai Stock Exchange
Wong, Woon K.; Tan, Dijun; Tian, Yixiang - In: International review of financial analysis 18 (2009) 1/2, pp. 66-73
Persistent link: https://www.econbiz.de/10003850315
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Stock market interactions and the impact of macroeconomic news : evidence from high frequency data of European futures markets
Cantó, Beatriu (contributor); Kräussl, Roman (contributor) - 2006
Persistent link: https://www.econbiz.de/10003446407
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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