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Optimal auction duration : a price formation viewpoint

Paul, Jusselin; Thibaut, Mastrolia; Mathieu, Rosenbaum - In: Operations research 69 (2021) 6, pp. 1734-1745

Persistent link: https://www.econbiz.de/10012815718

How to predict the consequences of a tick value change? : evidence from the Tokyo stock exchange pilot program

Huang, Weibing; Lehalle, Charles-Albert; Rosenbaum, Mathieu - In: Market microstructure and liquidity 2 (2016) 3/4, pp. 1-19

Persistent link: https://www.econbiz.de/10011715772

Investor sentiment, order submission, and investment performance on the Taiwan stock exchange

Hung, Pi-Hsia - In: Pacific-Basin finance journal 39 (2016), pp. 124-140

Persistent link: https://www.econbiz.de/10011669228

Fifty-shades of grey : competition between dark and lit pools in stock exchanges

Oriol, Nathalie; Rufini, Alexandra; Torre, Dominique - In: Information economics and policy : IEP 45 (2018), pp. 68-85

Persistent link: https://www.econbiz.de/10012013166

What is the point of (the hundreds of thousands of billions of) stock transactions?

Capelle-Blancard, Gunther - In: Comparative economic studies 60 (2018) 1, pp. 15-33

Persistent link: https://www.econbiz.de/10012171373

Danger on the exchange: How counterparty risk was managed on the Paris exchange in the nineteenth century

Riva, Angelo; White, Eugene N. - In: Explorations in Economic History 48 (2011) 4, pp. 478-493

In the nineteenth century, the Paris Bourse struggled to manage counterparty risk, revealing the awkward choices for the regulation of derivatives markets. The exchange, primarily a forward market, instituted a mutual guarantee fund to prevent broker failures from snowballing into a liquidity...

Persistent link: https://www.econbiz.de/10010572350

The logarithmic ACD model : the microstructure of the German and Polish stock markets

Gurgul, Henryk; Syrek, Robert - In: Managerial economics 17 (2016) 1, pp. 77-92

The main goal of this paper is to compare the microstructure of selected stocks listed on the Frankfurt and Warsaw …

Persistent link: https://www.econbiz.de/10011736403

Large trades on the Tunisian Stock Exchange : downstairs versus upstairs stock markets

Limem, Monia Antar; Jilani, Faouzi - In: The journal of asset management 14 (2013) 6, pp. 410-422

Persistent link: https://www.econbiz.de/10010258474

Trader competition in fragmented markets : liquidity supply versus picking-off risk

Bernales, Alejandro; Garrido, Nicolás; Sagade, Satchit; … - 2020 - This version: June 2020

By employing a dynamic model with two limit order books, we show that fragmentation is associated with reduced … of fragmentation on liquidity and welfare di↵ers with asset volatility: when volatility is high (low), liquidity and … aggregate welfare in a fragmented market are higher (lower) than in a single market. However, fragmentation always shifts …

Persistent link: https://www.econbiz.de/10012303325

Competition between equity markets : a review of the consolidation versus fragmentation debate

Gomber, Peter; Sagade, Satchit; Theissen, Erik; Weber, … - 2016

of all investors. Fragmentation of the marketplace can be seen as a direct outcome of this heterogeneity. In this article … fragmentation, the resulting implications for liquidity and price efficiency, and the role for public policy. Beyond the concerns …

Persistent link: https://www.econbiz.de/10012061046