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Price Discovery and Convergence in Fragmented Securities Markets
Clapham, Benjamin - 2016
This paper studies price discovery and price convergence in securities trading within a fragmented market environment where stocks are traded on multiple venues. Although alternative venues currently increase their market share, trading on these venues instantly dries out in case the dominant...
Persistent link: https://www.econbiz.de/10013004588
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Trading activity and liquidity supply in a pure limit order book market : an empirical analysis using a multivariate count data model
Grammig, Joachim; Heinen, Andréas; Rengifo, Erick W. - 2004
Persistent link: https://www.econbiz.de/10002390653
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MIFID, French Equity Markets Fragmentation and Intraday Volatilities : A Network Analysis
Bastidon, Cécile - 2018
three superiods: prior to the introduction of competition (2000/01-2007/11), during the transitory period of rising …
Persistent link: https://www.econbiz.de/10012928878
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Competing for dark trades
Irvine, Paul J.; Karmaziene, Egle - 2023
how the pecking order theory of trading actually functions. …
Persistent link: https://www.econbiz.de/10014249847
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Modelling trades-through in a limit order book using hawkes processes
Toke, Ioane Muni; Pomponio, Fabrizio - 2012
The authors model trades-through, i.e. transactions that reach at least the second level of limit orders in an order book. Using tick-by-tick data on Euronext-traded stocks, they show that a simple bivariate Hawkes process fits nicely their empirical observations of tradesthrough. The authors...
Persistent link: https://www.econbiz.de/10009550135
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Modelling trades-through in a limited order book using Hawkes processes
Muni Toke, Ioane; Pomponio, Fabrizio - 2011
We model trades-through, i.e. transactions that reach at least the second level of limit orders in an order book. Using tick-by-tick data on Euronext-traded stocks, we show that a simple bivariate Hawkes process fits nicely our empirical observations of trades-through. We show that the...
Persistent link: https://www.econbiz.de/10009244219
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Modelling Trades-Through in a Limited Order Book Using Hawkes Processes
Muni Toke, Ioane - 2011
We model trades-through, i.e. transactions that reach at least the second level of limit orders in an order book. Using tick-by-tick data on Euronext-traded stocks, we show that a simple bivariate Hawkes process fits nicely our empirical observations of trades-through. We show that the...
Persistent link: https://www.econbiz.de/10013117412
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The determinants of securities trading activity : evidence from four European equity markets
Camilleri, Silvio John; Galea, Francelle - In: Journal of capital markets studies 3 (2019) 1, pp. 47-67
activity and five possible liquidity determinants: market capitalisation, dividend yield, earnings yield, company growth and … the cross-sectional variation in stock liquidity at a more detailed level. Originality/value - The originality of the … paper rests on two important grounds: the authors focus on trading turnover rather than on other liquidity proxies, since …
Persistent link: https://www.econbiz.de/10012114563
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How Does Policy Uncertainty Influence Financial Market Uncertainty Across the G7?
Smales, Lee A. - 2020
Economic policy uncertainty (EPU) relates to ambiguity surrounding possible changes in government policy and their associate impact on firm performance. This uncertainty places additional stress on economic agents and has implications for the global economy via delays in firm investment and...
Persistent link: https://www.econbiz.de/10012848439
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Effects of MiFID II on Stock Price Formation
Derksen, Mike - 2020
intraday liquidity, but a more (less) stable market. In the closing auction an increase in tick size has a positive effect on … liquidity. Moreover, we report a positive relationship between tick size and transacted volume, in particular in the closing …
Persistent link: https://www.econbiz.de/10012838924