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Electronic Communication Networks and Liquidity on the Nasdaq
Weston, James - In: Journal of Financial Services Research 22 (2002) 1, pp. 125-139
Persistent link: https://www.econbiz.de/10005680154
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The quality of price formation at market openings and closings: Evidence from the Nasdaq stock market
Pagano, Michael S.; Peng, Lin; Schwartz, Robert A. - Center for Financial Studies - 2008
We assess the quality of opening and closing prices for Nasdaq stocks by examining the effect that opening and closing … Nasdaq's calls have reduced this volatility, reorganized order flow, and lowered volatility persistence. Opening and closing … prices had previously contained appreciable transitory components which have been dampened by Nasdaq's market structure …
Persistent link: https://www.econbiz.de/10010958797
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Theoretical analysis of the bid-ask bounce and Related Phenomena
Lerner, Peter - Volkswirtschaftliche Fakultät, … - 2010
I provide a theoretical model for two empirical phenomena observed in the NYSE and Nasdaq markets. First is the bid …
Persistent link: https://www.econbiz.de/10009418498
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Non-Fundamental Information and Market-Makers' Behavior during the NASDAQ Preopening Session
Lescourret, Laurence - ESSEC Business School - 2012
This paper examines whether NASDAQ dealers' preopening quotes might be related to non-fundamental information, that is …
Persistent link: https://www.econbiz.de/10010604054
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Modelling Security Market Events in Continuous Time: Intensity based, Multivariate Point Process Models
Bowsher, Clive - Department of Economics, Oxford University - 2002
A continuous time econometric modelling framework for multivariate market event (or transactions) data is developed in which the model is specified via the vector stochastic intensity. This has the advantage that the conditioning sigma-field is updated continuously in time as new information...
Persistent link: https://www.econbiz.de/10010605223
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A call auction's impact on price formation and order routing: Evidence from the NASDAQ stock market
Pagano, Michael S.; Peng, Lin; Schwartz, Robert A. - In: Journal of Financial Markets 16 (2013) 2, pp. 331-361
important facility that needs to be better understood. The paper focuses on the impact NASDAQ's calls (introduced in 2004) have … precedes daily closings. NASDAQ's closing call has significantly reduced both spreads and volatility for all market … of price formation in NASDAQ's continuous market. …
Persistent link: https://www.econbiz.de/10010636204
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Modelling Security Market Events in Continuous Time: Intensity based, Multivariate Point Process Models
Bowsher, Clive - Economics Group, Nuffield College, University of Oxford - 2002
A continuous time econometric modelling framework for multivariate market event (or 'transactions') data is developed in which the model is specified via the vector stochastic intensity. This has the advantage that the conditioning sigma-field is updated continuously in time as new information...
Persistent link: https://www.econbiz.de/10005730362
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The logarithmic ACD model: an application to market microstructure and NASDAQ
BAUWENS, LUC; GIOT, Pierre - Center for Operations Research and Econometrics (CORE), … - 1997
the model. We apply the Log-ACD model to bid/ask prices relative to securities listed on the NASDAQ and investigate the …
Persistent link: https://www.econbiz.de/10005042931
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Non-fundamental Information and Market-makers' Behavior during the NASDAQ Preopening Session
Lescourret, Laurence - HAL - 2012
This paper examines whether NASDAQ dealers' preopening quotes might be related to non-fundamental information, that is …
Persistent link: https://www.econbiz.de/10010602578
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How Important Is Informed Trading for the Bid-Ask Spread? Evidence from an Emerging Market
Hanousek, Jan; Podpiera, Richard - Center for Economic Research and Graduate Education and … - 2000
The link between informed trading and the bid-ask spread has been the focus of abundant literature and some authors feared that a large amount of informed trading might lead to shutdown of markets. We explore this issue using data from the Czech Republic. Our estimates confirm that the share of...
Persistent link: https://www.econbiz.de/10005086668