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Intraday market making with overnight inventory costs
Adrian, Tobias; Capponi, Agostino; Vogt, Erik; Zhang, … - 2016
The share of market making conducted by high-frequency trading (HFT) firms has been rising steadily. A distinguishing feature of HFTs is that they trade intraday, ending the day flat. To shed light on the economics of HFTs, and in a departure from existing market-making theories, we model an HFT...
Persistent link: https://www.econbiz.de/10011568504
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Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio; Audrino, Francesco - 2008
Persistent link: https://www.econbiz.de/10003903350
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Realized correlation tick-by-tick
Corsi, Fulvio; Audrino, Francesco - 2007
Persistent link: https://www.econbiz.de/10003419771
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Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets
Chaboud, Alain; Chiquoine, Benjamin; Hjalmarsson, Erik; … - 2008
Persistent link: https://www.econbiz.de/10003675595
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Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio; Audrino, Francesco - 2008
Persistent link: https://www.econbiz.de/10003676667
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Informed and strategic order flow in the bond markets
Pasquariello, Paolo; Vega, Clara - In: The review of financial studies 20 (2007) 6, pp. 1975-2019
Persistent link: https://www.econbiz.de/10003621301
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Order imbalance, liquidity, and returns of the US Treasury market
Wang, Junbo; Wu, Chunchi; Yu, Eden Siu-hung - In: Review of Pacific Basin financial markets and policies 15 (2012) 2, pp. 1-39
Persistent link: https://www.econbiz.de/10009574418
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Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio; Audrino, Francesco - In: Journal of financial econometrics : official journal of … 10 (2012) 4, pp. 591-616
Persistent link: https://www.econbiz.de/10009671897
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Volume, liquidity, and liquidity risk
Johnson, Tim - In: Journal of financial economics 87 (2008) 2, pp. 388-417
Persistent link: https://www.econbiz.de/10003629061
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Corporate bond market microstructure and transparency - the US experience
Edwards, Amy K. - In: Developing corporate bond markets in Asia : proceedings …, (pp. 31-38). 2006
Persistent link: https://www.econbiz.de/10003288546