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Intraday market making with overnight inventory costs
Adrian, Tobias; Capponi, Agostino; Vogt, Erik; Zhang, … - 2016
The share of market making conducted by high-frequency trading (HFT) firms has been rising steadily. A distinguishing feature of HFTs is that they trade intraday, ending the day flat. To shed light on the economics of HFTs, and in a departure from existing market-making theories, we model an HFT...
Persistent link: https://www.econbiz.de/10011568504
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Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio; Audrino, Francesco - In: Journal of financial econometrics : official journal of … 10 (2012) 4, pp. 591-616
Persistent link: https://www.econbiz.de/10009671897
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Intraday market making with overnight inventory costs
Adrian, Tobias; Capponi, Agostino; Vogt, Erik; Zhang, … - 2017
Persistent link: https://www.econbiz.de/10011735048
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A composite indicator of sovereign bond market liquidity in the euro area
Poli, Riccardo; Taboga, Marco - 2021
Persistent link: https://www.econbiz.de/10012887900
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The determinants of a cross market arbitrage opportunity : theory and evidence for the European bond market
Perlin, Marcelo; Dufour, Alfonso; Brooks, Chris - In: Annals of finance 10 (2014) 3, pp. 457-480
Persistent link: https://www.econbiz.de/10010399792
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Informationsverarbeitung am Rentenmarkt
Kesy, Christoph - 2004
Persistent link: https://www.econbiz.de/10001790289
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Seasonal liquidity effects and their determinants on the covered bond market
Weigerding, Michael - In: The quarterly review of economics and finance : journal … 78 (2020), pp. 288-303
Persistent link: https://www.econbiz.de/10012431295
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New insights into liquidity resiliency
O'Sullivan, Conall; Papavassiliou, Vassilios G.; … - In: Journal of international financial markets, … 90 (2024), pp. 1-33
Persistent link: https://www.econbiz.de/10014494689
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The Microstructure of European Bond Markets : Organization, Price Formation, and Cost of Liquidity
Flögel, Volker (contributor) - 2006
Persistent link: https://www.econbiz.de/10013520964
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The microstructure of European bond markets : organization, price formation, and cost of liquidity
Flögel, Volker - 2006 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003307883