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Frequent batch auctions and informed trading
Eibelshäuser, Steffen; Smetak, Fabian - 2022
other HFTs that engage in latency arbitrage upon public information. The impact of the two different sources of risk depends …
Persistent link: https://www.econbiz.de/10013171334
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Optimal liquidation in dark pools
Kratz, Peter; Schöneborn, Torsten - 2011
We consider a large trader seeking to liquidate a portfolio using both a transparent trading venue and a dark pool. Our model captures the price impact of trading in transparent traditional venues as well as the execution uncertainty of trading in a dark pool. The unique optimal execution...
Persistent link: https://www.econbiz.de/10010281565
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High-Frequency Technical Trading: The Importance of Speed
Scholtus, Martin; van Dijk, Dick - 2012
This paper investigates the importance of speed for technical trading rule performance for three highly liquid ETFs listed on NASDAQ over the period January 6, 2009 up to September 30, 2009. In addition we examine the characteristics of market activity over the day and within subperiods...
Persistent link: https://www.econbiz.de/10010326515
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A tale of two cities: Inter-market latency and fast-trader competition
Sagade, Satchit; Scharnowski, Stefan; Theissen, Erik; … - 2024
We examine the impact of increasing competition among the fastest traders by analyzing a new low-latency microwave network connecting exchanges trading the same stocks. Using a difference-in-differences approach comparing German stocks with similar French stocks, we find improved market...
Persistent link: https://www.econbiz.de/10015066223
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Arbitrage in foreign exchange markets within the context of a transactional algebra
Apreda, Rodolfo - 2005
This paper sets forth the foundations for a transactional approach for the performance of arbitrage in foreign exchange … markets. Firstly, we review both the standard model of financial arbitrage and the so-called covered-interest arbitrage … expand on its main tools of analysis, namely differential rates, residual information sets, arbitrage gaps and transaction …
Persistent link: https://www.econbiz.de/10010323288
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Covered bonds, core markets, and financial stability
Anand, Kartik; Chapman, James; Gai, Prasanna - 2012
We examine the financial stability implications of covered bonds. Banks issue covered bonds by encumbering assets on their balance sheet and placing them within a dynamic ring fence. As more assets are encumbered, jittery unsecured creditors may run, leading to a banking crisis. We provide...
Persistent link: https://www.econbiz.de/10010318759
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The emergence and future of central counterparties
Koeppl, Thorsten V.; Monnet, Cyril - 2010
We explain why central counterparties (CCPs) emerged historically. With standardized contracts, it is optimal to insure counterparty risk by clearing those contracts through a CCP that uses novation and mutualization. As netting is not essential for these services, it does not explain why CCPs...
Persistent link: https://www.econbiz.de/10010290393
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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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Is BEST really better? Internalization of orders in an open limit order book
Grammig, Joachim G.; Theissen, Erik - 2011
This paper studies the market quality of an internalization system which is designed as part of an open limit order book (the Xetra system operated by Deutsche Börse AG). The internalization sys-tem (Xetra BEST) guarantees a price improvement over the inside spread in the Xetra order book. We...
Persistent link: https://www.econbiz.de/10010308563
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Competition for Order Flow as a Coordination Game
Dönges, Jutta; Heinemann, Frank - 2001
Competition for order flow can be characterized as a coordination game with multiple equilibria. Analyzing competition between dealer markets and a crossing network, we show that the crossing network is more stable for lower traders’ disutilities from unexecuted orders. By introducing private...
Persistent link: https://www.econbiz.de/10010316313