We find and describe four futures markets where the bid-ask spread is bid down to the fixed price tick size practically all the time, and which match counterparties using a pro-rata rule. These four markets' offered depths at the quotes on average exceed mean market order size by two orders of...

We observe that daily highs and lows of stock prices do not diverge over time and, hence, adopt the cointegration concept and the related vector error correction model (VECM) to model the daily high, the daily low, and the associated daily range data. The in-sample results attest the importance...

The often reported empirical success of trend-following technical timing strategies remains to be puzzling. In previous academic research, many authors admit some prediction power but struggle to substantiate their findings by referring vaguely to insufficient market effciency or unknown hidden...

The contribution of financial and non-financial risks to the overall level of risk in the system depends on the current state of the EU banking system (which, in the aggregate and compared with banking sectors in other major advanced economies, cannot be characterised as strong) and how...

Customers who have financial products (e.g., bank accounts, loans, credit cards and mortgages) are unlikely to change to another provider or change the terms of the product within the same provider (i.e., to "switch"). Significant monetary gains can be made by switching, but switching rates tend...

After exchanges and alternative trading venues have introduced electronic execution mechanisms worldwide, the focus of the securities trading industry shifted to the use of fully electronic trading engines by banks, brokers and their institutional customers. These Algorithmic Trading engines...

In financial markets, professional traders leverage their trades because it allows to trade larger positions with less margin. Violating margin requirements, however, triggers a margin call and open positions are automatically covered until requirements are met again. What impact does margin...

Price manipulation in financial markets is a prohibited activity, but identifying it is a problem in thinly traded securities markets. One service that clients expect of a portfolio manager is to provide up-to-date valuations. Actions to obtain these valuations are regarded as proper by the...

In various agent-based models the stylized facts of financial markets (unit-roots, fat tails and volatility clustering) have been shown to emerge from the interactions of agents. However, the complexity of these models often limits their analytical accessibility. In this paper we show that even...