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Strategic Liquidity Provision in High Frequency Trading

Hayashi, Takaki; Nishide, Katsumasa - 2022

trader who has an advantage in trade frequency acts as a liquidity provider, in that he takes the opposite position against …

Persistent link: https://www.econbiz.de/10014238012

Stock liquidity and algorithmic market making during the COVID-19 crisis

Chakrabarty, Bidisha; Pascual, Roberto - In: Journal of banking & finance 147 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014248225

Does high-frequency trading actually improve market liquidity? : a comparative study for selected models and measures

Karkowska, Renata; Palczewski, Andrzej - In: Research in international business and finance 64 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014276825

The optimal strategies of competitive high-frequency traders and effects on market liquidity

Ge, Hengshun; Yang, Haijun; Doukas, John A. - In: International review of economics & finance : IREF 91 (2024), pp. 653-679

Persistent link: https://www.econbiz.de/10014492246

Predictable losses of liquidity provision in constant function markets and concentrated liquidity markets

Cartea, Álvaro; Drissi, Fayçal; Monga, Marcello - In: Applied mathematical finance 30 (2023) 2, pp. 69-93

Persistent link: https://www.econbiz.de/10014443350

Large-caps liquidity provision, market liquidity and high-frequency market makers’ trading behaviour

Ding, Mingfa; Suardi, Sandy; Xu, Caihong; Zhang, Dong - In: The European journal of finance 28 (2022) 16, pp. 1621-1641

Persistent link: https://www.econbiz.de/10013532254

When is the order-to-trade ratio fee effective?

Aggarwal, Nidhi; Panchapagesan, Venkatesh; Thomas, Susan - In: Journal of financial markets 62 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014226688

"Shooting the messenger?" : the impact of short sale bans in times of crisis

Appel, Ian; Fohlin, Caroline - 2011

-09 improved market liquidity or at least had a neutral impact; a result we argue could be expected in theory, given a simple … (temporarily) stemming liquidity loss during crises. -- short selling ban ; liquidity ; volatility …

Persistent link: https://www.econbiz.de/10008806365

Implied correlations of iTraxx tranches during the financial crisis

Heidorn, Thomas; Kahlert, Dennis - 2010

Liquidity ; Funding Liquity …

Persistent link: https://www.econbiz.de/10003981941

The negative CDS-bond basis and convergence trading during the 2007/09 financial crisis

Fontana, Alessandro - 2011

proxy for the "flight-to-liquidity" and its related liquidity premium. Moreover, large losses erased the capital used to …. CDS, bond spread, funding liquidity, repurchase agreement, convergence trading, financial crisis …

Persistent link: https://www.econbiz.de/10009313931

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