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Does anonymity matter in electronic limit order markets?

Foucault, Thierry; Moinas, Sophie; Theissen, Erik - 2004 - This Draft: May, 2004

We develop a model of limit order trading in which some traders have better information on future price volatility. As … visible. In either design, a large (resp. small) spread signals that informed limit order traders expect volatility to be high … significantly. Consistent with our model, we also find that the size of the spread is a predictor of future price volatility and …

Persistent link: https://www.econbiz.de/10010361995

High frequency trading and fragility

Cespa, Giovanni; Vives, Xavier - 2017

We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity consumption decisions: traders demand more liquidity...

Persistent link: https://www.econbiz.de/10011637013

Assessing the impact of algorithmic trading on markets : a simulation approach

Gsell, Markus - 2008

impact of such concepts, e.g. effects on the price formation or the volatility of prices, a simulation environment is … market prices. On the other hand, lower latency appears to lower market volatility. -- Algorithmic Trading ; Simulation …

Persistent link: https://www.econbiz.de/10003863919

A model of price impact and market maker latency

Rojček, Jakub - 2016 - Preliminary draft

Price impact measures the difference between the best quoted price and the realized price as a function of order size. This paper analyzes how price impact depends on the latency that a market maker is subject to. I propose a tractable model which allows incorporating both order size and latency...

Persistent link: https://www.econbiz.de/10011619231

High frequency trading and fragility

Cespa, Giovanni; Vives, Xavier - 2016

Persistent link: https://www.econbiz.de/10011587522

Judgement day : algorithmic trading around the Swiss franc cap removal

Breedon, Francis J.; Chen, Louisa; Ranaldo, Angelo; … - 2018

that algorithmic traders withdrew liquidity and generated uninformative volatility in Swiss franc currency pairs, while …

Persistent link: https://www.econbiz.de/10011906367

Competition between exchanges : Euronext versus Xetra

Kasch-Haroutounian, Maria; Theissen, Erik - 2007

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...

Persistent link: https://www.econbiz.de/10009525969

Liquidity risk, speculative trade, and the optimal latency of financial markets : conference paper

Fricke, Daniel; Gerig, Austin - 2014

Garbade and Silber (1979) demonstrate that an asset will be liquid if it has (1) low price volatility and (2) a large … security is added, the liquidity of the non-market asset is still a decreasing function of volatility and an increasing …

Persistent link: https://www.econbiz.de/10010484462

High frequency trading and end-of-day price dislocation

Aitken, Michael J.; Cumming, Douglas J.; Zhang, Feng - 2013

We show that the presence of high frequency trading (HFT) has significantly mitigated the frequency and severity of end-of-day price dislocation, counter to recent concerns expressed in the media. The effect of HFT is more pronounced on days when end of day price dislocation is more likely to be...

Persistent link: https://www.econbiz.de/10010201320

Intraday price discovery in fragmented markets

Ozturk, Sait; Wel, Michel van der; Dijk, Dick van - 2014

) does not lead the entire day. Spreads, the number of trades and volatility can explain almost half of the intraday …

Persistent link: https://www.econbiz.de/10010250525