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Price jump prediction in a limit order book
Zheng, Ban; Moulines, Eric; Abergel, Frédéric - In: Journal of mathematical finance 3 (2013) 2, pp. 242-255
Persistent link: https://www.econbiz.de/10010239589
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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
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High Frequency Quoting : Short-Term Volatility in Bids and Offers
Hasbrouck, Joel - 2017
volatility to generate execution price risk and relative latency costs. Analysis of the behavior of quote setters suggests that … this volatility is more likely to arise from recurrent cycles of undercutting similar to the Edgeworth cycles found in …
Persistent link: https://www.econbiz.de/10012974532
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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
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When spread bites fast - Volatility and wide bid-ask spread in a mixed high-frequency and low-frequency environment
Virgilio, Gianluca Piero Maria - In: Research in international business and finance 51 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012207147
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How does HFT activity impact market volatility and the bid-ask spread after an exogenous shock? : an empirical analysis on S&P 500 ETF
Bazzana, Flavio; Collini, Andrea - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012664057
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High-frequency traders' evolving role as market makers
Banerjee, Anirban; Roy, Prince - In: Pacific-Basin finance journal 82 (2023), pp. 1-20
Persistent link: https://www.econbiz.de/10014463519
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Conditional volatility in affine term-structure models : evidence from Treasury and swap markets
Jacobs, Kris; Karoui, Lotfi - In: Journal of financial economics 91 (2009) 3, pp. 288-318
Persistent link: https://www.econbiz.de/10003833577
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Implied volatility asymmetries in treasury bond futures options
Simon, David P. - In: The journal of futures markets 17 (1997) 8, pp. 873-885
Persistent link: https://www.econbiz.de/10001232840
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Callable US treasury bonds : optimal calls, anomalies, and implied volatilities
Bliss, Robert R. - In: The journal of business : B 71 (1998) 2, pp. 211-252
Persistent link: https://www.econbiz.de/10001239857