We analyze the dynamics of liquidity in Xetra, an electronic open limit order book. We use the Exchange Liquidity Measure (XLM), a measure of the cost of a roundtrip trade of given size V. This measure captures the price and the quantity dimension of liquidity. We present descriptive statistics,...

We analyze the dynamics of liquidity in Xetra, an electronic open limit order book. We use the Exchange Liquidity Measure (XLM), a measure of the cost of a roundtrip trade of given size V. This measure captures the price and the quantity dimension of liquidity. We present descriptive statistics,...

In this paper we use the Exchange Liquidity Measure (XLM) to investigate into the time dimension of liquidity. The XLM(V) measures the cost of a roundtrip trade of size V. Besides a descriptive analysis we present the results of intraday event studies. Our objective is to measure how a liquidity...

New asset classes are originally distributed via Over the Counter channels; mostly negotiated, traded and settled on a bilateral and ad-hoc basis. Subsequently, the demand for organised market services grows alongside trading volumes, number of market participants and distribution reach. This...

New asset classes are originally distributed via Over the Counter channels; mostly negotiated, traded and settled on a bilateral and ad-hoc basis. Subsequently, the demand for organised market services grows alongside trading volumes, number of market participants and distribution reach. This...

Electronic order book trading has evolved as best-of-breed for trading small and mid sized orders. Yet, this mechanism does not properly address the needs of large sized orders which tend to execute off order book in over-the-counter markets. Order book trading provides for public price...

Electronic order book trading has evolved as best-of-breed for trading small and mid sized orders. Yet, this mechanism does not properly address the needs of large sized orders which tend to execute off order book in over-the-counter markets. Order book trading provides for public price...

Exchanges in Europe are in a process of consolidation. After the failure of the proposed merger between Deutsche Börse and Euronext, these two groups are likely to become the nuclei for further mergers and co-operation with currently independent exchanges. A decision for one of the groups...

This paper considers the dynamics of spot and futures prices in the presence of arbitrage. A partially linear error correction model is proposed where the adjustment coefficient is allowed to depend non-linearly on the lagged price difference. The model is estimated using data on the DAX index...

We analyze data on stock index forecasts made by private investors. The implied returns calculated from these forecasts exhibit negative skewness and excess kurtosis. Past returns have a positive impact on the implied returns, consistent with investors expecting positive momentum. Females are...