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Profitability and Market Quality of High Frequency Market-Makers : An Empirical Investigation
Yergeau, Gabriel - 2016
present an applied study of the profitability and the impact on market quality of an individual high-frequency trader acting …-frequency trader to extract a constant annuity from the market but its profitability is insufficient to cover the costs of market …
Persistent link: https://www.econbiz.de/10012982141
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Realising the future : forecasting with high-frequency-based volatility (heavy) models
Shephard, Neil G.; Sheppard, Kevin - In: Journal of applied econometrics 25 (2010) 2, pp. 197-231
Persistent link: https://www.econbiz.de/10008667609
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Fourier analysis for stock price forecasting : assumption and evidence
Stádník, Bohumil; Raudeliūnienė, Jurgita; … - In: Journal of business economics and management 17 (2016) 3, pp. 365-380
Persistent link: https://www.econbiz.de/10011517950
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Reflecting on the VPIN dispute
Andersen, Torben; Bondarenko, Oleg - In: Journal of financial markets 17 (2014), pp. 53-64
Persistent link: https://www.econbiz.de/10010436245
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VPIN and the flash crash
Andersen, Torben; Bondarenko, Oleg; O'Hara, Maureen - In: Journal of financial markets 17 (2014), pp. 1-46
Persistent link: https://www.econbiz.de/10010436257
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The Predictive Power of Limit Order Book for Future Volatility, Trade Price, and Speed of Trading
Jain, Pankaj K. - 2011
order book slope, consistently and significantly predict future price volatility, trade prices, and speed of trading. The … trade size is the driving force in the standard volume-volatility relationship …
Persistent link: https://www.econbiz.de/10013128376
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Risk Everywhere : Modeling and Managing Volatility
Bollerslev, Tim - 2017
volatility models results in superior out-of-sample risk forecasts, compared to forecasts from existing models and more …
Persistent link: https://www.econbiz.de/10012970195
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Wave Function Method to Forecast Foreign Currencies Exchange Rates at Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets
Ledenyov, Dimitri - 2015
The accurate forecast of the foreign currencies exchange rates at the ultra high frequency electronic trading in the foreign currencies exchange markets is a main topic of our research: 1) the present state of the foreign currencies exchange markets in Asia, Europe and North America; 2) the...
Persistent link: https://www.econbiz.de/10013013057
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Market intraday momentum in Australia
Ho, Tu; Lv, Jin Roc; Schultz, Emma - In: Pacific-Basin finance journal 65 (2021), pp. 1-10
Persistent link: https://www.econbiz.de/10013252821
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Bond intraday momentum
Zhang, Wei; Wang, Pengfei; Li, Yi - In: Journal of behavioral and experimental finance 31 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10012815421