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К ВОПРОСУ ИДЕНТИФИКАЦИИ ВЫСОКОЧАСТОТНЫХ ТРЕЙДЕРОВ НА ФИНАНСОВОМ РЫНКЕ
АРБУЗОВ В.О.; ИВЛИЕВ С.В. - In: Вестник Пермского … (2014) 3, pp. 24-30
Одним из наиболее значимых изменений структуры финансового рынка за последние несколько лет является развитие высокочастотной торговли. Согласно экспертным...
Persistent link: https://www.econbiz.de/10011248674
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Structural changes, bid-ask spread composition and tick size in inter-bank futures trading
McGroarty, Frank; Ap Gwilym, Owain; Thomas, Stephen - In: The European journal of finance 17 (2011) 3/4, pp. 285-306
Persistent link: https://www.econbiz.de/10009155402
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Tick size, trading strategies, and market quality
Werner, Ingrid M.; Rindi, Barbara; Buti, Sabrina; Wen, … - In: Management science : journal of the Institute for … 69 (2023) 7, pp. 3818-3837
Persistent link: https://www.econbiz.de/10014338286
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The effect of a reduction in price discreteness on ex-day stock returns in a unique environment
Al-Yahyaee, Khamis Hamed - In: Journal of international financial markets, … 23 (2013), pp. 283-294
Persistent link: https://www.econbiz.de/10009707499
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The information content of the thinner order book following tick size reduction : evidence from the Taiwan Stock Exchange
Chien, Cheng-yi; Liao, Tzu-hsiang; Lee, Hsiu-chuan - In: Managerial finance 40 (2014) 3, pp. 218-233
Persistent link: https://www.econbiz.de/10010256740
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Impact of the change in Tick size on transaction costs and liquidity : an empirical investigation of the Taiwan Stock Exchange
Kuo, Su-wen; Huang, Chin-sheng; Chen, Chia-cheng - In: Asia-Pacific journal of financial studies 39 (2010) 4, pp. 524-551
Persistent link: https://www.econbiz.de/10009231515
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Eighths, sixteenths, and market depth : changes in tick size and liquidity provision on the NYSE
Goldstein, Michael A.; Kavajecz, Kenneth A. - In: Journal of financial economics 56 (2000) 1, pp. 125-149
Persistent link: https://www.econbiz.de/10001468753
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Limit order submission risks, order choice, and tick size
Yamamoto, Ryuichi - In: Pacific-Basin finance journal 59 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012231313
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One size fits all? : high frequency trading, tick size changes and the implications for exchanges : market quality and market structure considerations
Verousis, Thanos; Perotti, Pietro; Sermpinis, Georgios - In: Review of quantitative finance and accounting 50 (2018) 2, pp. 353-392
Persistent link: https://www.econbiz.de/10011979139
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Tick size reduction and price clustering in a FX order book
Lallouache, Mehdi; Abergel, Frédéric - In: Physica A: Statistical Mechanics and its Applications 416 (2014) C, pp. 488-498
We investigate the statistical properties of the EBS order book for the EUR/USD and USD/JPY currency pairs and the impact of a ten-fold tick size reduction on its dynamics. A large fraction of limit orders are still placed right at or halfway between the old allowed prices. This generates price...
Persistent link: https://www.econbiz.de/10010939944