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Liquidity withdrawal in the FX spot market : a cross-country study using high-frequency data
Stenfors, Alexis; Susai, Masayuki - In: Journal of international financial markets, … 59 (2019), pp. 36-57
Persistent link: https://www.econbiz.de/10012127871
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Market liquidity and depth on two different electronic trading systems : a comparison of Bund futures trading on the APT and DTB
Käppi, Jari; Siivonen, Risto - In: Journal of financial markets 3 (2000) 4, pp. 389-402
Persistent link: https://www.econbiz.de/10001517456
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Tick size, competition for liquidity provision, and price discovery : evidence from the u.s. treasury market
Fleming, Michael J.; Nguyen, Giang H.; Ruela, Francisco - In: Management science : journal of the Institute for … 70 (2024) 1, pp. 332-354
Persistent link: https://www.econbiz.de/10014470002
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The effects of volatility on liquidity in the treasury market
Meldrum, Andrew; Sokolinskiy, Oleg - 2023
Persistent link: https://www.econbiz.de/10014284237
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The impact of automation and high frequency trading on market quality
Litzenberger, Robert H.; Castura, Jeff; Gorelick, Richard - In: Annual review of financial economics 4 (2012), pp. 59-98
Persistent link: https://www.econbiz.de/10009690342
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Technology upgrades in emerging equity markets : effects on liquidity and trading activity
Yılmaz, Mustafa Kemal; Erdem, Orhan; Eraslan, Veysel; … - In: Finance research letters 14 (2015), pp. 87-92
Persistent link: https://www.econbiz.de/10011552642
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Phantom Liquidity and High Frequency Quoting
Blocher, Jesse - 2019
This paper examines every NASDAQ ITCH feed message for the S&P 500 stocks for 2012 and identifies clusters of extremely high and extremely low limit order cancellation activity. We find results consistent with the ideas that cancel clusters are the result of high frequency traders jockeying for...
Persistent link: https://www.econbiz.de/10012903353
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The Impacts of Automation and High Frequency Trading on Market Quality
Litzenberger, Robert H. - 2015
, increasing liquidity, and reducing intraday transitory pricing errors and intraday volatility …, including bid-ask spreads, liquidity, and transitory price impacts (measured by short-term variance ratios). The greater …
Persistent link: https://www.econbiz.de/10013036315
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High-frequency trading : a literature review
Virgilio, Gianluca Piero Maria - In: Financial markets and portfolio management 33 (2019) 2, pp. 183-208
Persistent link: https://www.econbiz.de/10012113804
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Price impact and bursts in liquidity provision
Gençay, Ramazan; Mahmoodzadeh, S.; Rojček, Jakub; … - In: Quantitative finance 18 (2018) 7, pp. 1129-1148
Persistent link: https://www.econbiz.de/10011911529