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The Impacts of Automation and High Frequency Trading on Market Quality
Litzenberger, Robert H. - 2015
, increasing liquidity, and reducing intraday transitory pricing errors and intraday volatility …, including bid-ask spreads, liquidity, and transitory price impacts (measured by short-term variance ratios). The greater …
Persistent link: https://www.econbiz.de/10013036315
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High-frequency trading : a literature review
Virgilio, Gianluca Piero Maria - In: Financial markets and portfolio management 33 (2019) 2, pp. 183-208
Persistent link: https://www.econbiz.de/10012113804
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Price impact and bursts in liquidity provision
Gençay, Ramazan; Mahmoodzadeh, S.; Rojček, Jakub; … - In: Quantitative finance 18 (2018) 7, pp. 1129-1148
Persistent link: https://www.econbiz.de/10011911529
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High-frequency trading and market quality : the case of a "slightly exposed" market
Ekinci, Cumhur; Ersan, Oğuz - In: International review of financial analysis 79 (2022), pp. 1-17
Persistent link: https://www.econbiz.de/10013350054
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Price discovery and liquidity recovery : forex market reactions to macro announcements
Yamada, Masahiro; Itō, Takatoshi - In: Journal of international money and finance 120 (2022), pp. 1-21
Persistent link: https://www.econbiz.de/10013417335
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Tsallis entropy: do the market size and liquidity matter?
Gurdgiev, Constantin; Harte, Gerard - In: Finance research letters 17 (2016), pp. 151-157
Persistent link: https://www.econbiz.de/10011596269
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Liquidity, resiliency and market quality around predictable trades : theory and evidence
Bessembinder, Hendrik; Carrion, Allen; Tuttle, Laura; … - In: Journal of financial economics 121 (2016) 1, pp. 142-166
Persistent link: https://www.econbiz.de/10011590681
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Intraday liquidity patterns in Indian stock market
Krishnan, Rajaram; Mishra, Vinod - In: Journal of Asian economics 28 (2013), pp. 99-114
Persistent link: https://www.econbiz.de/10010400863
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Liquidity commonality and its causes : evidence from the Korean stock market
Cho̕e, Hyuk; Yang, Cheol-won - In: Asia-Pacific journal of financial studies 39 (2010) 5, pp. 626-658
Persistent link: https://www.econbiz.de/10009231511
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Stock Price Fluctuations in an Agent-Based Model with Market Liquidity
Kato, Takashi - 2013
We study an agent-based stock market model with heterogeneous agents and friction. Our model is based on that of Foellmer-Schweizer(1993): The process of a stock price in a discrete-time framework is determined by temporary equilibria via agents' excess demand functions, and the diffusion...
Persistent link: https://www.econbiz.de/10013087756