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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
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Realized volatility, jump and beta : evidence from Canadian stock market
Gajurel, Dinesh; Chowdhury, Biplob - 2020
Persistent link: https://www.econbiz.de/10012317084
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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
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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
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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
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Market quality and short-selling ban during the COVID-19 pandemic : a high-frequency data approach
Ferreruela, Sandra; Martín, Daniel - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-29
volatility, but liquidity was reduced; (2) liquidity deterioration affected more the sell than the buy side of the LOB; (3) high …-frequency activity (HFT) diminished during SSR, reinforcing volatility; (4) negative effects on liquidity and HFT diminished and … disappeared as the ban was lifted; (5) HFT unidirectionally Granger causes 1 min realized volatility while the natural logarithm …
Persistent link: https://www.econbiz.de/10013370457
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Brunt of technology in stock trading : empirical evaluation of movement in trading modes
Ravinagarajan, Janani; Sophia, Sharon - In: International journal of electronic finance : IJEF 12 (2023) 2, pp. 117-141
Persistent link: https://www.econbiz.de/10014309639
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The impact of SEMATS on liquidity and volatility on Stock Exchange of Mauritius
Bholah, Wasillah; Fowdar, Sooraj; Sannassee, Raja Vinesh; … - In: Finance India : the quarterly journal of Indian … 21 (2007) 2, pp. 453-475
Persistent link: https://www.econbiz.de/10003545789
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High-frequency trading in bond futures markets
Schlepper, Kathi - In: Essays on current phenomena and developments in …, (pp. 25-67). 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/10011545655
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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/10011483067