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High-frequency trading in the Bund futures market
Schlepper, Kathi - 2016
In this work, I study the impact of high-frequency trading (HFT) on price discovery and volatility in the Bund futures … price discovery compared to Non-HFTs, but also add a higher share to noise than to permanent volatility. Moreover, I find … evidence that HFTs tend to supply less liquidity after an unexpected rise in market volatility and prior to upcoming …
Persistent link: https://www.econbiz.de/10011483067
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High-Frequency Trading in the Bund Futures Market
Schlepper, Kathi - 2016
In this work, I study the impact of high-frequency trading (HFT) on price discovery and volatility in the Bund futures … price discovery compared to Non-HFTs, but also add a higher share to noise than to permanent volatility. Moreover, I find … evidence that HFTs tend to supply less liquidity after an unexpected rise in market volatility and prior to upcoming …
Persistent link: https://www.econbiz.de/10012988629
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COVID-19 Infection Data, Policy Interventions or Sentiment; What Explains International Stock Returns and Volatility?
Virk, Nader - 2021
We examine the impact of COVID-19 (C-19) pandemic on global equity markets by constructing novel infection indices. Our results show that the impact of prompt and large-scale policy interventions is ambiguous yet statistically significant. However, in this equivocality, the impact of global...
Persistent link: https://www.econbiz.de/10013242732
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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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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/10008822944
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Quantifying the efficiency of the Xetra LOB market : detailed recipe
Sperl, Miriam (contributor) - 2008
Motivated by the prominent role of electronic limit order book (LOB) markets in today’s stock market environment, this paper provides the basis for understanding, reconstructing and adopting Hollifield, Miller, Sandas, and Slive’s (2006) (henceforth HMSS) methodology for estimating the gains...
Persistent link: https://www.econbiz.de/10003750515
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Is Best Really Better? Internalization of Orders in an Open Limit Order Book
Grammig, Joachim - 2013
We study the market quality of the Xetra BEST system operated by Deutsche Börse AG, an internalization system designed as part of an open limit order book, which guarantees a price improvement over the inside spread in the Xetra order book. We develop a structural model of this dual market...
Persistent link: https://www.econbiz.de/10013091170
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Commonalities in the Order Book
Beltran-Lopez, Helena M. - 2010
This paper uses data from one of the most important European stock markets and shows that, in line with predictions from theoretical market microstructure, a small number of latent factors captures most of the variation in stock specific order books. We show that these order book commonalities...
Persistent link: https://www.econbiz.de/10013142113
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Wettbewerb, Liquidität und die Rolle von Intermediation im Wertpapierhandel
Freihube, Thorsten - 2004
Persistent link: https://www.econbiz.de/10002122262
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Die parametrische und semiparametrische Analyse von Finanzzeitreihen : Neue Methoden, Modelle und Anwendungsmöglichkeiten
Peitz, Christian - 2016 - 1. Aufl. 2016
Semiparametrische Volatilitätsmodelle -- Hochfrequente und Ultra-Hochfrequente Finanzdaten -- Berechnung des Value-at-Risk auf Grundlage parametrischer und semiparametrischer Modelle -- Analyse von Handelswartezeiten -- Glättung der Volatilität von hochfrequenten Finanzdaten in einem...
Persistent link: https://www.econbiz.de/10014018518