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COVID-19 intensity across U.S. states and the liquidity of U.S. equity markets
Baig, Ahmed; Berkowitz, Jason; DeLisle, Ronald Jared; … - In: The financial review : the official publication of the … 58 (2023) 2, pp. 235-259
Persistent link: https://www.econbiz.de/10014305792
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Price discovery of a speculative asset : evidence from a Bitcoin exchange
Ghysels, Eric; Nguyen, Giang H. - In: Journal of risk and financial management : JRFM 12 (2019) 4/164, pp. 1-26
We examine price discovery and liquidity provision in the secondary market for bitcoin-an asset with a high level of … volatility environment, aggressive orders seem to be more attractive to informed agents, but market liquidity migrates outward in …
Persistent link: https://www.econbiz.de/10012171450
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Adverse selection and liquidity: from theory to practice
Kyle, Albert S.; Obižaeva, Anna - 2020
Persistent link: https://www.econbiz.de/10012494209
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Who supplies liquidity, how and when?
Biais, Bruno; Declerck, Fany; Moinas, Sophie - 2016
Persistent link: https://www.econbiz.de/10011533627
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Price impact of aggressive liquidity provision
Gençay, Ramazan; Mahmoodzadeh, Soheil; Rojček, Jakub; … - 2016
This paper analyzes brief episodes of high-intensity quotes turnover and revision-"bursts" in quotes-in the U.S. equity market. Such events occur very frequently, several hundred times a day for actively traded stocks. We find significant price impact associated with these market makers...
Persistent link: https://www.econbiz.de/10011516027
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Trading volume and liquidity provision in cryptocurrency markets
Bianchi, Daniele; Babiak, Mykola; Dickerson, Alexander - 2022
We provide empirical evidence within the context of cryptocurrency markets that the returns from liquidity provision … liquidity provision are amplified in smaller, more volatile, and less liquid cryptocurrency pairs where fear of adverse … highlight the role of inventory risk and adverse selection for liquidity provision. …
Persistent link: https://www.econbiz.de/10013256971
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Who supplies liquidity, how and when?
Biais, Bruno; Declerck, Fany; Moinas, Sophie - 2017
Persistent link: https://www.econbiz.de/10012266229
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Paying for market liquidity : competition and incentives
Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2019
Do competition and incentives offered to designated market makers (DMMs) improve market liquidity? Using data from NYSE … changes in rebates and requirements for DMMs, do not have any tangible effect on market liquidity. Our results are of …
Persistent link: https://www.econbiz.de/10011987269
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Optimal liquidation and adverse selection in dark pools
Kratz, Peter; Schöneborn, Torsten - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 177-210
Persistent link: https://www.econbiz.de/10011969158
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Optimal execution horizon
Easley, David; López de Prado, Marcos M.; O'Hara, Maureen - In: Mathematical finance : an international journal of … 25 (2015) 3, pp. 640-672
Persistent link: https://www.econbiz.de/10011350553