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Market stability vs. market resilience : regulatory policies experiments in an agent-based model with low- and high-frequency trading
Leal, Sandrine Jacob; Napoletano, Mauro - In: Journal of economic behavior & organization : JEBO 157 (2019), pp. 15-41
Persistent link: https://www.econbiz.de/10012138458
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Market stability vs. market resilience : regulatory policies experiments in an agent-based model with low- and high-frequency trading
Leal, Sandrine Jacob; Napoletano, Mauro - 2016
Persistent link: https://www.econbiz.de/10011644118
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Large bets and stock market crashes
Kyle, Albert S.; Obižaeva, Anna - In: Review of finance : journal of the European Finance … 27 (2023) 6, pp. 2163-2203
Persistent link: https://www.econbiz.de/10014445768
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High-frequency trading during flash crashes : walk of fame or hall of shame?
Bellia, Mario; Christensen, Kim; Kolokolov, Aleksey; … - 2020
greater liquidity and efficiency provided by HFTs in normal times, and the disruptive consequences of their trading activity …
Persistent link: https://www.econbiz.de/10012181452
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High-frequency trading, stock volatility, and intraday crashes
Ben Ammar, Imen; Hellara, Slaheddine - In: The quarterly review of economics and finance : journal … 84 (2022), pp. 337-344
Persistent link: https://www.econbiz.de/10013334894
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Behavior of Financial Markets Efficiency During the Financial Market Crisis : 2007-2009
Plastun, Oleksiy - 2014
This paper examines the behavior of financial markets efficiency during the recent financial market crisis. Using the … Hurst exponent as a criterion of market efficiency we show that level of market efficiency is different for pre-crisis and … crisis periods. We also classify financial markets of different countries by the level of their efficiency and reaffirm that …
Persistent link: https://www.econbiz.de/10013046766
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Complex interactions in financial markets
Finger, Karl - 2014
Persistent link: https://www.econbiz.de/10011305495
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The dynamic behavior of evolving efficiency : evidence from the UAE stock markets
Al-Shboul, Mohammad; Alsharari, Nizar Mohammad - In: The quarterly review of economics and finance : journal … 73 (2019), pp. 119-135
Persistent link: https://www.econbiz.de/10012296690
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Level of efficiency in the UK equity market : empirical study of the effects of the global financial crisis
Choudhry, Taufiq; Jayasekera, Ranadeva - In: Review of quantitative finance and accounting 44 (2015) 2, pp. 213-242
Persistent link: https://www.econbiz.de/10011327633
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The impact of macroeconomic factors on the German stock market : evidence for the crisis, pre- and post-crisis periods
Celebi, Kaan; Hönig, Michaela - In: International Journal of Financial Studies : open … 7 (2019) 2/18, pp. 1-13
Today we live in a post-truth and highly digitalized era characterized by a flow of (mis-) information around the world. Identifying the impact of this information on stock markets and forecasting stock returns and volatilities has become a much more difficult task, perhaps almost impossible....
Persistent link: https://www.econbiz.de/10012039605