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Informed trading, flow toxucity and the impact on intraday trading factors

Wang Chun Wei; Gerace, Dionigi; Frino, Alex - In: Australasian accounting business and finance journal : AABF 7 (2013) 2, pp. 3-24

Persistent link: https://www.econbiz.de/10010246991

The impact of latency sensitive trading on high frequency arbitrage opportunities

Frino, Alex; Mollica, Vito; Webb, Robert I.; Zhang, Shunquan - In: Pacific-Basin finance journal 45 (2017), pp. 91-102

Persistent link: https://www.econbiz.de/10011800821

The Impact of Tick Size on High Frequency Trading : The Case for Splits

Frino, Alex - 2015

Listed companies and institutional investors have called on market regulators to introduce mechanisms to curb high-frequency (HF) trading in financial markets. In this paper we suggest relative tick size is one such mechanism. We investigate for a non-fragmented market two HF trading proxies:...

Persistent link: https://www.econbiz.de/10013022577

Price impact of corporate bond trading : evidence from the australian securities exchange

Frino, Alex; Lepone, Andrew; Lepone, Grace - In: Review of Pacific Basin financial markets and policies 22 (2019) 3, pp. 1950020-1-1950020-22

Persistent link: https://www.econbiz.de/10012156159

Stock market closure and intraday stock index futures market volatility : 'contagion', bid-ask bias or both?

Fong, Kingsley; Frino, Alex - In: Pacific-Basin finance journal 9 (2001) 3, pp. 219-232

Persistent link: https://www.econbiz.de/10001585394

Intraday futures market behaviour around major scheduled macroeconomic announcements : Australian evidence

Frino, Alex; Hill, Amelia - In: Journal of banking & finance 25 (2001) 7, pp. 1319-1337

Persistent link: https://www.econbiz.de/10001586896

The liquidity of automated exchanges : new evidence from German Bund futures

Frino, Alex; McInish, Thomas H.; Toner, Martin - In: Journal of international financial markets, … 8 (1998) 3/4, pp. 225-241

Persistent link: https://www.econbiz.de/10001445739

Opening prices on the ASX and the SES

Frino, Alex; Lau, Sie-ting; McInish, Thomas G. - In: Advances in Pacific Basin financial markets 6 (2000), pp. 71-80

Persistent link: https://www.econbiz.de/10001487707

Volatility and trading activity following changes in the size of futures contracts

Bjursell, Johann; Frino, Alex; Tse, Yiuman; Wang, … - In: Journal of empirical finance 17 (2010) 5, pp. 967-980

Persistent link: https://www.econbiz.de/10009267230

The impact of trading halts on liquidity and price volatility : evidence from the Australian stock exchange

Frino, Alex; Lecce, Steven; Segara, Reuben - In: Pacific-Basin finance journal 19 (2011) 3, pp. 298-307

Persistent link: https://www.econbiz.de/10009271683