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Toxic arbitrage

Foucault, Thierry; Kozhan, Roman; Tham, Wing Wah - 2014

Persistent link: https://www.econbiz.de/10010363557

Toxic arbitrage

Foucault, Thierry; Kozhan, Roman; Tham, Wing Wah - 2015

Short lived arbitrage opportunities arise when prices adjust with a lag to new information. They are toxic because they expose dealers to the risk of trading at stale quotes. Hence, theory implies that more frequent toxic arbitrage opportunities and a faster arbitrageurs' response to these...

Persistent link: https://www.econbiz.de/10010499534

The components of electronic inter-dealer spot FX bid-ask spreads

McGroarty, Frank; Ap Gwilym, Owain; Thomas, Stephen - In: Journal of business finance & accounting : JBFA 34 (2007) 9/10, pp. 1635-1650

Persistent link: https://www.econbiz.de/10003627073

Traders, market microstructure and exchange rate dynamics

Cheung, Yin-Wong; Chinn, Menzie David - 1999

Persistent link: https://www.econbiz.de/10001428651

Scheduled macro-news effects on a Euro/US dollar limit order book around the 2008 financial crisis

Ben Omrane, Walid; Tao, Yusi; Welch, Robert L. - In: Research in international business and finance 42 (2017), pp. 9-30

Persistent link: https://www.econbiz.de/10011747218

Toxic arbitrage

Foucault, Thierry; Kozhan, Roman; Tham, Wing Wah - In: The review of financial studies 30 (2017) 4, pp. 1053-1094

Persistent link: https://www.econbiz.de/10011749335

Time and dynamic volume-volatility relation

Xu, Xiaoqing Eleanor; Chen, Peter; Wu, Chunchi - In: Journal of banking & finance 30 (2006) 5, pp. 1535-1558

Persistent link: https://www.econbiz.de/10003319376

Daily return volatility, bid-ask spreads, and information flow : analyzing the information content of volume

Li, Jinliang; Wu, Chunchi - In: The journal of business : B 79 (2006) 5, pp. 2697-2739

Persistent link: https://www.econbiz.de/10003406554

Bid-ask spread, strike prices and risk-neutral densities

Liu, Xiaoquan - In: Applied financial economics 17 (2007) 10/12, pp. 887-900

Persistent link: https://www.econbiz.de/10003538047

The impacts of index options on the underlying stocks : the case of the S&P 100

Liu, Shinhua - In: The quarterly review of economics and finance : journal … 49 (2009) 3, pp. 1034-1046

Persistent link: https://www.econbiz.de/10003873836

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