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Investors’ Financial Attention Frequency and Trading Activity

Cai, Wenwu - 2020

acquire financial information less frequently following periods of low market returns and high market volatility. In addition …

Persistent link: https://www.econbiz.de/10012847896

Treasury auctions and secondary market dynamics : an analysis based on the MTS market for Italy

Cafiso, Gianluca - 2015

Auctions of government bonds are the main allotment method used by the Treasury of advanced economies. Previous research has found that auctions have an influence on the market yield days before they take place, and underpricing is usually spotted when their outcome is compared with...

Persistent link: https://www.econbiz.de/10010519950

Where is the Value in High Frequency Trading?

Cartea, Álvaro - 2012

We analyze the impact of high frequency (HF) trading in financial markets based on a model with three types of traders: liquidity traders (LTs), professional traders (PTs), and high frequency traders (HFTs). Our four main findings are: i) The price impact of liquidity trades is higher in the...

Persistent link: https://www.econbiz.de/10013115486

Where is the Value in High Frequency Trading?

Cartea, Álvaro - 2013

Persistent link: https://www.econbiz.de/10013092875

MIFID, French Equity Markets Fragmentation and Intraday Volatilities : A Network Analysis

Bastidon, Cécile - 2018

FIDESSA. In accordance with the market microstructure literature stating that fragmentation affects volatility at the …

Persistent link: https://www.econbiz.de/10012928878

Market Microstructure and the Risks of High-Frequency Trading

Aldridge, Irene - 2013

market manipulation, the highest volatility and probability of market crashes, yet the highest liquidity. The so … detect spoofing market manipulation, lower volatility and probability of market crashes, but lower liquidity levels. Finally …

Persistent link: https://www.econbiz.de/10013079007

Financial transaction taxes : announcement effects, short-run effects, and long-run effects

Eichfelder, Sebastian; Lau, Mona - 2016 - Version: October 2016

liquidity and volatility. We extend the empirical research by the identification of FTT announcement and short-run treatment … effects, which may distort difference-in-differences estimates. In addition, we account not only for the intraday volatility … but also for long-term volatility measures. While we find strong evidence for a positive FTT announcement effect on …

Persistent link: https://www.econbiz.de/10011550386

Identification of Clusters of Investors from Their Real Trading Activity in a Financial Market

Tumminello, Michele - 2011

We use statistically validated networks, a recently introduced method to validate links in a bipartite system, to identify clusters of investors trading in a financial market. Specifically, we investigate a special database allowing to track the trading activity of individual investors of the...

Persistent link: https://www.econbiz.de/10013122297

Financial Transaction Taxes, Market Composition, and Liquidity

Colliard, Jean-Edouard - 2016

We use the introduction of a fi nancial transaction tax (FTT) in France in 2012 to test competing theories on its impact. We find no support for the idea that an FTT improves market quality by a ffecting the composition of trading volume. Instead, our results are in line with the hypothesis that...

Persistent link: https://www.econbiz.de/10013007688

Estimating endogenous liquidity using transaction and order book information

Durand, Philippe; Gündüz, Yalın; Thomazeau, Isabelle - 2012

We distinguish exogenous liquidity, which corresponds to the variability of bid-ask spreads for usual-sized transactions, from endogenous liquidity, which we interpret as the impact of liquidity on market prices when liquidating larger positions. Endogenous liquidity measures the risk that the...

Persistent link: https://www.econbiz.de/10009674768

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