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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 electronic liquidity providers within a high-frequency agent-based modeling framework
Mandes, Alexandru - In: Computational economics 55 (2020) 2, pp. 407-450
Persistent link: https://www.econbiz.de/10012223640
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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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High frequency trading and end-of-day price dislocation
Aitken, Michael J.; Cumming, Douglas J.; Zhan, Feng - In: Journal of banking & finance 59 (2015), pp. 330-349
Persistent link: https://www.econbiz.de/10011544576
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Information and inventories in high-frequency trading
Muhle-Karbe, Johannes; Webster, Kevin - 2015
We study how short-term informational advantages can be monetized in a high-frequency setting, when large inventories are explicitly penalized. We find that if most of the additional information is revealed regardless of the high-frequency traders' actions, then fast inventory management allows...
Persistent link: https://www.econbiz.de/10011412266
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High frequency trading : strategic competition between slow and fast traders
Boco, Herve; Germain, Laurent; Rousseau, Fabrice - 2020
Persistent link: https://www.econbiz.de/10013168176
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The high frequency trade off between speed and sophistication
Ladley, Dan - In: Journal of economic dynamics & control 116 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012503226
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Optimal liquidation, acquisition and market making problems in HFT under Hawkes models for LOB
Contreras, Ana Roldan; Sviščuk, Anatolij - In: Risks : open access journal 10 (2022) 8, pp. 1-32
The present paper is focused on the solution of optimal control problems such as optimal acquisition, optimal liquidation, and market making in relation to the high-frequency trading market. We have modeled optimal control problems with the price approximated by the diffusion process for the...
Persistent link: https://www.econbiz.de/10013368241