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Quantifying reflexivity in financial markets : towards a prediction of flash crashes

Filimonov, Vladimir; Sornette, Didier - 2012

We introduce a new measure of activity of financial markets that provides a direct access to their level of endogeneity. This measure quantifies how much of price changes are due to endogenous feedback processes, as opposed to exogenous news. For this, we calibrate the self-excited conditional...

Persistent link: https://www.econbiz.de/10009561617

Realized volatility, jump and beta : evidence from Canadian stock market

Gajurel, Dinesh; Chowdhury, Biplob - 2020

Persistent link: https://www.econbiz.de/10012317084

Bootstrapping high-frequency jump tests

Dovonon, Prosper; Gonçalves, Sílvia; Hounyo, Ulrich; … - 2017

Persistent link: https://www.econbiz.de/10011731270

Bootstrapping high-frequency jump tests

Dovonon, Prosper; Gonçalves, Sílvia; Hounyo, Ulrich; … - 2017

Persistent link: https://www.econbiz.de/10012265902

A Stochastic LQR Model for Child Order Placement in Algorithmic Trading

Shen, Jackie - 2020

Modern Algorithmic Trading ("Algo") allows institutional investors and traders to liquidate or establish big security positions in a fully automated or low-touch manner. Most existing academic or industrial Algos focus on how to "slice" a big parent order into smaller child orders over a given...

Persistent link: https://www.econbiz.de/10012837206

High-frequency analysis of the carbon market: jumps, causes, and implications

Vicedom, Sebastian - In: Essays in finance : commodity derivatives, volatility …, (pp. 116-153). 2016

Persistent link: https://www.econbiz.de/10011646906

High-frequency trading behaviour and its impact on market quality : evidence from the UK equity market

Benos, Evangelos; Sagade, Satchit - 2012

Persistent link: https://www.econbiz.de/10009671760

Bitcoin spillovers : a high-frequency cross-asset analysis

Leong, Minhao; Kwok, Simon Sai Man - In: The financial review : the official publication of the … 60 (2025) 2, pp. 453-479

Persistent link: https://www.econbiz.de/10015396502

High-Frequency Trading in the Bund Futures Market

Schlepper, Kathi - 2016

In this work, I study the impact of high-frequency trading (HFT) on price discovery and volatility in the Bund futures … price discovery compared to Non-HFTs, but also add a higher share to noise than to permanent volatility. Moreover, I find … evidence that HFTs tend to supply less liquidity after an unexpected rise in market volatility and prior to upcoming …

Persistent link: https://www.econbiz.de/10012988629

High-frequency cross-market trading : model free measurement and applications

Dobrev, Dobrislav; Schaumburg, Ernst - 2017 - This version: December 30, 2016

Persistent link: https://www.econbiz.de/10012805580