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High-frequency trading in fragmented European equity markets : implications for market quality
Haferkorn, Martin - 2017
Persistent link: https://www.econbiz.de/10011875876
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Does anonymity matter in electronic limit order markets?
Foucault, Thierry; Moinas, Sophie; Theissen, Erik - 2004 - This Draft: May, 2004
We develop a model of limit order trading in which some traders have better information on future price volatility. As … visible. In either design, a large (resp. small) spread signals that informed limit order traders expect volatility to be high … significantly. Consistent with our model, we also find that the size of the spread is a predictor of future price volatility and …
Persistent link: https://www.econbiz.de/10010361995
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Intraday indirect arbitrage between European index ETFs
Bassiouny, Aliaa; Tooma, Eskandar A. - In: International review of financial analysis 75 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012804074
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The impact of FX central bank intervention in a noise trading framework
Beine, Michel; De Grauwe, Paul; Grimaldi, Marianna - In: Journal of banking & finance 33 (2009) 7, pp. 1187-1195
Persistent link: https://www.econbiz.de/10003842244
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The impact of FX central bank intervention in a noise trading framework
Beine, Michel (contributor); De Grauwe, Paul (contributor);  … - 2005
In this paper we investigate the effects of central bank interventions (CBI) in a noise trading model with chartists and fundamentalists. We first estimate a model in which chartists extrapolate past returns and fundamentalists forecast a mean reverting dynamics of the exchange rate towards a...
Persistent link: https://www.econbiz.de/10003113337
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Nonlinear expectations in speculative markets : evidence from the ECB survey of professional forecasters
Reitz, Stefan; Ruelke, Jan-Christoph; Stadtmann, Georg - 2012
Chartist and fundamentalist models have proven to be capable of replicating stylized facts on speculative markets. In general, this is achieved by specifying nonlinear interactions of otherwise linear asset price expectations of the respective trader groups. This paper investigates whether or...
Persistent link: https://www.econbiz.de/10009666484
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Nonlinear expectations in speculative markets : evidence from the ECB survey of professional forecasters
Reitz, Stefan; Ruelke, Jan-Christoph; Stadtmann, Georg - In: Journal of economic dynamics & control 36 (2012) 9, pp. 1349-1363
Persistent link: https://www.econbiz.de/10009655669
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Nonlinear expectations in speculative markets : evidence from the ECB survey of professional forecasters
Reitz, Stefan; Rülke, Jan-Christopher; Stadtmann, Georg - 2012
Persistent link: https://www.econbiz.de/10009408360
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Nonlinear expectations in speculative markets : evidence from the ECB survey of professional forecasters
Reitz, Stefan; Ruelke, Jan-Christoph; Stadtmann, Georg - 2011
Chartist and fundamentalist models have proven to be capable of replicating stylized facts on speculative markets. In general, this is achieved by specifying nonlinear interactions of otherwise linear asset price expectations of the respective trader groups. This paper investigates whether or...
Persistent link: https://www.econbiz.de/10009152528
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Nonlinear expectations in speculative markets : evidence from the ECB survey of professional forecasters
Reitz, Stefan; Ruelke, Jan-Christoph; Stadtmann, Georg - 2012
Chartist and fundamentalist models have proven to be capable of replicating stylized facts on speculative markets. In general, this is achieved by specifying nonlinear interactions of otherwise linear asset price expectations of the respective trader groups. This paper investigates whether or...
Persistent link: https://www.econbiz.de/10009409380