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Impact assessment of clearing and settlement regulations: Final report
Köhler, Matthias; Westerheide, Peter - 2006
Persistent link: https://www.econbiz.de/10011288120
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Algorithmic trading engines versus human traders: Do they behave different in securities markets?
Gomber, Peter; Gsell, Markus - 2009
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...
Persistent link: https://www.econbiz.de/10010303683
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Modelling trades-through in a limited order book using Hawkes processes
Toke, Ioane Muni; Pomponio, Fabrizio - 2011
We model trades-through, i.e. transactions that reach at least the second level of limit orders in an order book. Using tick-by-tick data on Euronext-traded stocks, we show that a simple bivariate Hawkes process fits nicely our empirical observations of trades-through. We show that the...
Persistent link: https://www.econbiz.de/10010305977
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Analysis of binary trading patterns in Xetra
Maurer, Kai-Oliver; Schäfer, Carsten - 2010
This paper proposes the Shannon entropy as an appropriate one-dimensional measure of behavioural trading patterns in financial markets. The concept is applied to the illustrative example of algorithmic vs. non-algorithmic trading and empirical data from Deutsche Börse's electronic cash equity...
Persistent link: https://www.econbiz.de/10010303726
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Assessing the impact of algorithmic trading on markets: A simulation approach
Gsell, Markus - 2008
Innovative automated execution strategies like Algorithmic Trading gain significant market share on electronic market venues worldwide, although their impact on market outcome has not been investigated in depth yet. In order to assess the impact of such concepts, e.g. effects on the price...
Persistent link: https://www.econbiz.de/10010303731
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Does algorithmic trading improve liquidity?
Hendershott, Terrence; Jones, Charles M.; Menkveld, … - 2008
Algorithmic trading has sharply increased over the past decade. Equity market liquidity has improved as well. Are the two trends related? For a recent five-year panel of New York Stock Exchange (NYSE) stocks, we use a normalized measure of electronic message traffic (order submissions,...
Persistent link: https://www.econbiz.de/10010303736
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Settling for Efficiency: A Framework for the European Securities Transactions Industry
Serifsoy, Baris; Weiss, Marco - 2005
Despite a lot of re-structuring and many innovations in recent years, the securities transaction industry in the European Union is still a highly inefficient and inconsistently configured system for cross-border transactions. This paper analyzes the functions performed, the institutions involved...
Persistent link: https://www.econbiz.de/10010316089
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Insiderhandel und die Regulierung der Kapitalmärkte: Ein Beitrag zur MiFID-Debatte
Will, Matthias Georg; Pies, Ingo - 2014
This paper develops three arguments for the current academic and political debate on an appropriate regulation of … to different approaches of capital market regulation. As we will show, a preventive, effective and proportional … regulation consists of information and transparency rules in combination with a ban of socially undesirable trading, complemented …
Persistent link: https://www.econbiz.de/10011733877
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Regulating the working conditions of platform work: What can we learn from EU member states?
Guinea, Oscar; Sisto, Elena; du Roy, Oscar - 2024
Forum (WEF) on the principles of good regulation. Adapting this research to the context of digital platforms, three key … principles for assessing the regulation of working conditions on these platforms were identified: (i) the consistency with the …
Persistent link: https://www.econbiz.de/10014560206
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Towards an EU Framework for Safeguarding Financial Stability
Nieto, Maria J.; Schinasi, Garry J. - In: CESifo DICE Report 06 (2008) 3, pp. 27-36
Persistent link: https://www.econbiz.de/10011696648