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Volatility Control Mechanisms : The International Experience and the Evidence from Hong Kong
Chan, Kalok; Lam, F. Y. Eric; Valente, Giorgio; Wu, Siyuan - 2022
University of Hong Kong Business School).Trading venues have adopted volatility interruption measures to protect investors from … extreme price gyrations and disorderly markets. Among such measures, Volatility Control Mechanisms (VCMs) are implemented …
Persistent link: https://www.econbiz.de/10013492074
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The behavior of high-frequency traders under different market stress scenarios
Megarbane, Nicolas; Saliba, Pamela; Lehalle, Charles-Albert - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-54
Persistent link: https://www.econbiz.de/10011988891
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Estimating probability of informed trading on the Bucharest stock exchange
Cepoi, Cosmin Octavian; Toma, Filip Mihai - In: Finance a úvěr 66 (2016) 2, pp. 140-160
Persistent link: https://www.econbiz.de/10011618713
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Liquidity in the German stock market
Johann, Thomas; Scharnowski, Stefan; Theissen, Erik; … - 2019
has generally increased over time, and that in times of crisis liquidity is lower and the volatility of liquidity is …
Persistent link: https://www.econbiz.de/10012020325
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Liquidity in the German stock market
Johann, Thomas; Scharnowski, Stefan; Theissen, Erik; … - In: Schmalenbach business review : sbr 71 (2019) 4, pp. 443-473
Persistent link: https://www.econbiz.de/10012108571
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The economics of flash orders and trading
Harris, Lawrence E.; Namvar, Ethan - In: Journal of investment management : JOIM 14 (2016) 4, pp. 74-86
Persistent link: https://www.econbiz.de/10011691378
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The market impact puzzle
Kyle, Albert S.; Obižaeva, Anna - 2020
Persistent link: https://www.econbiz.de/10012494214
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Microstructure invariance in U.S. stock market trades
Kyle, Albert S.; Obižaeva, Anna; Tuzun, Tugkan - 2016 - This draft: April 19, 2016
include the invariance-implied measure of effective price volatility …
Persistent link: https://www.econbiz.de/10011500337
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Trading and ordering patterns of market participants in high frequency trading environment : empirical study in the Japanese stock market
Saito, Taiga; Adachi, Takanori; Nakatsuma, Teruo; … - In: Asia-Pacific financial markets 25 (2018) 3, pp. 179-220
Persistent link: https://www.econbiz.de/10012033008
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Technology upgrades in emerging equity markets : effects on liquidity and trading activity
Yılmaz, Mustafa Kemal; Erdem, Orhan; Eraslan, Veysel; … - In: Finance research letters 14 (2015), pp. 87-92
Persistent link: https://www.econbiz.de/10011552642