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High frequency trading and fragility
Cespa, Giovanni; Vives, Xavier - 2016
frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity … consumption decisions: traders demand more liquidity when the market becomes less liquid, which in turn makes the market more … illiquid, fostering the initial demand hike. This can generate market instability, where an initial dearth of liquidity …
Persistent link: https://www.econbiz.de/10011587522
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High frequency trading and fragility
Cespa, Giovanni; Vives, Xavier - 2017
frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity … consumption decisions: traders demand more liquidity when the market becomes less liquid, which in turn makes the market more … illiquid, fostering the initial demand hike. This can generate market instability, where an initial dearth of liquidity …
Persistent link: https://www.econbiz.de/10011637013
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Market microstrucutre design and flash crashes : a simulation approach
Brewer, Paul J.; Cvitanić, Jakša; Plott, Charles - In: Journal of applied economics 16 (2013) 2, pp. 223-250
Persistent link: https://www.econbiz.de/10010391223
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Impact of inventory-based electronic liquidity providers within a high-frequency event- and agent-based modeling framework
Mandes, Alexandru - 2015
This contribution addresses the impact of high-frequency electronic liquidity provision strategies on financial markets …
Persistent link: https://www.econbiz.de/10010531038
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High frequency traders and the price process
Aït-Sahalia, Yacine; Brunetti, Celso - In: Journal of econometrics 217 (2020) 1, pp. 20-45
Persistent link: https://www.econbiz.de/10012482736
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The behavior of high-frequency traders under different market stress scenarios
Megarbane, Nicolas; Saliba, Pamela; Lehalle, Charles-Albert - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-54
Persistent link: https://www.econbiz.de/10011988891
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High frequency trading and comovement in financial markets
Malceniece, Laura; Malcenieks, Kārlis; Putniņš, Tālis J. - In: Journal of financial economics 134 (2019) 2, pp. 381-399
Persistent link: https://www.econbiz.de/10012166913
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Time, trading and algorithms in financial sector security
Thompson, Grahame - In: New political economy 22 (2017) 1, pp. 1-11
Persistent link: https://www.econbiz.de/10011667007
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Evidence of algorithmic trading from Indian equity market : interpreting the transaction velocity element of financialization
Dubey, Ritesh Kumar; Chauhan, Yogesh; Syamala, … - In: Research in international business and finance 42 (2017), pp. 31-38
Persistent link: https://www.econbiz.de/10011747220
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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