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Wettbewerb, Liquidität und die Rolle von Intermediation im Wertpapierhandel

Freihube, Thorsten - 2004

Persistent link: https://www.econbiz.de/10002122262

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

SOES trading and market volatility

Battalio, Robert H. - In: Journal of financial and quantitative analysis : JFQA 32 (1997) 2, pp. 225-238

Persistent link: https://www.econbiz.de/10001224463

Expected return in high-frequency trading

Cooper, Rick; Van Vliet, Benjamin - In: The journal of trading 10 (2015) 2, pp. 34-40

Persistent link: https://www.econbiz.de/10011290761

Rise of the machines : algorithmic trading in the foreign exchange market

Chaboud, Alain; Chiquoine, Benjamin; Hjalmarsson, Erik; … - 2009

Persistent link: https://www.econbiz.de/10009535470

High-Frequency Trading, Stock Volatility, and Price Discovery

Zhang, Frank - 2010

trading volume. This study examines the implication of high-frequency trading for stock price volatility and price discovery …. I find that high-frequency trading is positively correlated with stock price volatility after controlling for firm … fundamental volatility and other exogenous determinants of volatility. The positive correlation is stronger among the top 3 …

Persistent link: https://www.econbiz.de/10013137079

The Effects of High Frequency Traders in a Simulated Market

Hanson, Thomas A. - 2012

that market volatility increased with the number of HF traders, and the profits of those traders may come at the expense of …

Persistent link: https://www.econbiz.de/10013114186

Evolution of Volatility, Trade Price Location, Correlations, and Speed of Trading in the Limit Order Book

Jain, Pankaj K. - 2012

average daily volume and LOB slope, contain information about future trade price location, price volatility, speed of trading … standard volume–volatility relationship, which is contrary to previous findings for other markets. These results are helpful in …

Persistent link: https://www.econbiz.de/10013114233

High Frequency Trading and Price Jumps in the Stock Market

Moyaert, Thibaut - 2013

In this paper, we investigate liquidity supply and demand around price jumps in a pure order driven stock market using a detailed tick frequency data set on the Euronext 100 index. The advantage of this database is to allow us to disentangle two major evolutions in European financial markets:...

Persistent link: https://www.econbiz.de/10013081602

Equilibrium High Frequency Trading

Foucault, Thierry - 2013

Algorithms enable investors to locate trading opportunities, which raises gains from trade. Algorithmic traders can also process information on stock values before slow traders, which generates adverse selection. We model trading in this context and show that, for a given level of algorithmic...

Persistent link: https://www.econbiz.de/10013093481