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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

The economics of flash orders and trading

Harris, Lawrence E.; Namvar, Ethan - In: Journal of investment management : JOIM 14 (2016) 4, pp. 74-86

Persistent link: https://www.econbiz.de/10011691378

Limit order books and trade informativeness

Beltran Lopez, Helena; Gramming, Joachim; Menkveld, … - In: The European journal of finance 18 (2012) 9/10, pp. 737-759

Persistent link: https://www.econbiz.de/10009691782

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

Persistent link: https://www.econbiz.de/10010256970

Trading structure and overnight information : a natural experiment from the Tel-Aviv Stock Exchange

Ronen, Tavy - In: Journal of banking & finance 22 (1998) 5, pp. 489-512

Persistent link: https://www.econbiz.de/10001243312

Multiscale analysis of foreign exchange order flows and technical trading profitability

Gradojevic, Nikola; Lento, Camillo - In: Economic modelling 47 (2015), pp. 156-165

Persistent link: https://www.econbiz.de/10011439041

On setting day-ahead equity trading risk limits

Fuertes, Ana María; Olmo, Jose - In: Journal of risk and financial management : JRFM 9 (2016) 3, pp. 1-20

This paper investigates the information content of the ex post overnight return for one-day-ahead equity Value-at-Risk (VaR) forecasting. To do so, we deploy a univariate VaR modeling approach that constructs the forecast at market open and, accordingly, exploits the available overnight...

Persistent link: https://www.econbiz.de/10011543115

Does feedback trading drive returns of cross-listed shares?

Chen, Jing; Dong, Yizhe; Hou, Wenxuan; McMillan, David G. - In: Journal of international financial markets, … 53 (2018), pp. 179-199

Persistent link: https://www.econbiz.de/10011983852

Order flow volatility and equity costs of capital

Chordia, Tarun; Hu, Jianfeng; Subrahmanyam, Avanidhar; … - In: Management science : journal of the Institute for … 65 (2019) 4, pp. 1520-1551

Persistent link: https://www.econbiz.de/10012022640

Dynamic predictor selection and order splitting in a limit order market

Yamamoto, Ryuichi - In: Macroeconomic dynamics 23 (2019) 5, pp. 1757-1792

Persistent link: https://www.econbiz.de/10012127237