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The Impact of HFT on the Speed of Adjustment to New Information : Evidence from Interest Rate Derivatives
Frino, Alex - 2020
This study investigates the impact of HFT on the intraday speed of adjustment and price discovery following scheduled macroeconomic announcements for interest rate derivatives. Our results demonstrate that the speed of adjustment to new information has been improved for both interest rate...
Persistent link: https://www.econbiz.de/10012850281
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Commonality in liquidity across international borders : evidence from futures markets
Frino, Alex; Mollica, Vito; Zhou, Zeyang - In: The journal of futures markets 34 (2014) 8, pp. 807-818
Persistent link: https://www.econbiz.de/10010507935
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Asymmetry in the permanent price impact of block purchases and sales : theory and empirical evidence
Frino, Alex; Mollica, Vito; Romano, Maria Grazia; Zhou, … - In: The journal of futures markets 37 (2017) 4, pp. 359-373
Persistent link: https://www.econbiz.de/10011950679
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How do we boost savings and investment?
Frino, Alex - In: Economics '94 : conference proceedings ; creating jobs …, (pp. 63-71). 1994
Persistent link: https://www.econbiz.de/10001291764
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Il futuro dell'Italia : un punto di vista esterno sull'economia
Frino, Alex - 2020
Persistent link: https://www.econbiz.de/10012250804
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The impact of block trades on stock market behaviour : further transaction time analysis
Aitken, Michael J.; Frino, Alex; Sayers, Stuart - 1993
Persistent link: https://www.econbiz.de/10000882341
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Opening prices on the ASX and the SES
McInish, Thomas H.; Frino, Alex; Lau Sie Ting - 1995
Persistent link: https://www.econbiz.de/10000602533
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Large trades and intraday futures price behavior
Frino, Alex; Bjursell, Johan; Wang, George H. K.; … - In: The journal of futures markets 28 (2008) 12, pp. 1147-1181
Persistent link: https://www.econbiz.de/10003773147
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The impact of electronic trading on bid-ask spreads : evidence from futures markets in Hong Kong, London, and Sydney
Aitken, Michael J.; Frino, Alex; Hill, Amelia M.; … - In: The journal of futures markets 24 (2004) 7, pp. 675-696
Persistent link: https://www.econbiz.de/10002108815
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Differences in the cost of trade execution services on floor-based and electronic futures markets
Bortoli, Luke Gareth; Frino, Alex; Jarnecic, Elvis - In: Journal of financial services research : JFSR 26 (2004) 1, pp. 73-87
Persistent link: https://www.econbiz.de/10002120370