Narrow search
Showing 1 - 10 of 11,969
Cover Image
High-Frequency Trading in the U.S. Treasury Market Around Macroeconomic News Announcements
Jiang, George J. - 2018
This paper investigates high-frequency (HF) trading in the U.S. Treasury market around macroeconomic news announcements. After identifying HF market and limit orders based on the speed of their placement alteration and cancellation deemed beyond manual ability, we use the introduction of the...
Persistent link: https://www.econbiz.de/10012912840
Cover Image
Naked short selling : the emperor's new clothes?
Yadav, Pradeep; Fotak, Veljko; Raman, Vikas - 2009
reduction in positive pricing errors, the volatility of stock price returns, bid-ask spreads, and pricing error volatility. We …
Persistent link: https://www.econbiz.de/10003919368
Cover Image
Fourier analysis for stock price forecasting : assumption and evidence
Stádník, Bohumil; Raudeliūnienė, Jurgita; … - In: Journal of business economics and management 17 (2016) 3, pp. 365-380
Persistent link: https://www.econbiz.de/10011517950
Cover Image
High-frequency trading and its impact on markets
O'Hara, Maureen - In: Financial analysts' journal : FAJ 70 (2014) 3, pp. 18-27
Persistent link: https://www.econbiz.de/10010407394
Cover Image
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
Cover Image
High-frequency trading and its role in fragmented markets
Haferkorn, Martin - In: High-frequency trading in fragmented European equity …, (pp. 153-188). 2017
Persistent link: https://www.econbiz.de/10012025103
Cover Image
Understanding intraday momentum strategies
Rosa, Carlo - In: The journal of futures markets 42 (2022) 12, pp. 2218-2234
Persistent link: https://www.econbiz.de/10013465878
Cover Image
U.S. Presidential Elections and Implied Volatility : The Role of Political Uncertainty
Goodell, John W. - 2013
This paper focuses on the effects of political uncertainty and the political process on implied stock market volatility … stock market uncertainty, as measured by the VIX volatility index, increases along with positive changes in the probability … of success of the eventual winner. The association between implied volatility and the election probability of the …
Persistent link: https://www.econbiz.de/10013091485
Cover Image
Does algorithmic trading improve liquidity?
Hendershott, Terrence; Jones, Charles M.; Menkveld, … - 2008
Algorithmic trading has sharply increased over the past decade. Equity market liquidity has improved as well. Are the two trends related? For a recent five-year panel of New York Stock Exchange (NYSE) stocks, we use a normalized measure of electronic message traffic (order submissions,...
Persistent link: https://www.econbiz.de/10003831248
Cover Image
Making Cents of Tick Sizes : An Investigation of the 2016 U.S. SEC Tick Size Pilot on Limit Order Book Liquidity
Griffith, Todd - 2019
We use the 2016 U.S. SEC tick size pilot to examine the effects of an increase in the minimum price variation on limit order book liquidity in NASDAQ-listed stocks on the NASDAQ exchange. For treatment stocks with an average pre-pilot quoted spread less than $0.05, the tick size increase is...
Persistent link: https://www.econbiz.de/10012902516