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Limit order books and trade informativeness
Beltran Lopez, Helena; Gramming, Joachim; Menkveld, … - In: The European journal of finance 18 (2012) 9/10, pp. 737-759
Persistent link: https://www.econbiz.de/10009691782
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Volatility, dark trading and market quality: evidence from the 2020 COVID-19 pandemic-driven market volatility
Ibikunle, Gbenga; Rzayev, Khaladdin - 2020
Persistent link: https://www.econbiz.de/10012487282
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Judgement day : algorithmic trading around the Swiss franc cap removal
Breedon, Francis J.; Chen, Louisa; Ranaldo, Angelo; … - 2018
that algorithmic traders withdrew liquidity and generated uninformative volatility in Swiss franc currency pairs, while …
Persistent link: https://www.econbiz.de/10011906367
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Volatility, dark trading and market quality: evidence from the 2020 COVID-19 pandemic-driven market volatility
Ibikunle, Gbenga; Rzayev, Khaladdin - 2020
Persistent link: https://www.econbiz.de/10012214098
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High frequency traders in a simulated market
Hanson, Thomas A. - In: Review of accounting & finance 15 (2016) 3, pp. 329-351
Persistent link: https://www.econbiz.de/10011607960
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The impact of algorithmic trading in a simulated asset market
Mukerji, Purba; Chung, Christine; Walsh, Timothy; Xiong, Bo - In: Journal of risk and financial management : JRFM 12 (2019) 2/68, pp. 1-11
level of market uncertainty and the degree of algorithmic versus human trading. Our results show that liquidity increases … initially as AT rises to about 10% share of the market; beyond this point, liquidity increases only marginally. Statistical …
Persistent link: https://www.econbiz.de/10012022150
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High frequency trading and mini flash crashes
Golub, Anton; Keane, John; Poon, Ser-Huang - 2012
Top of the Book. We find strong evidence that Mini Flash Crashes have an adverse impact on market liquidity and are … associated with Fleeting Liquidity. …
Persistent link: https://www.econbiz.de/10010420137
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A game of hide-and-seek between proprietary and buy-side algorithmic traders : causal links with market quality
Arumugam, Devika; Prasanna, P. Krishna - In: Applied economics 53 (2021) 41, pp. 4788-4798
Persistent link: https://www.econbiz.de/10012609877
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High frequency trading and the 2008 short-sale ban
Brogaard, Jonathan; Hendershott, Terrence; Riordan, Ryan - In: Journal of financial economics 124 (2017) 1, pp. 22-42
Persistent link: https://www.econbiz.de/10011751407
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Algorithmic trading, liquidity, and price discovery : an intraday analysis of the SPI 200 futures
Viljoen, Tina; Westerholm, P. Joakim; Zheng, Hui - In: The financial review : the official publication of the … 49 (2014) 2, pp. 245-270
Persistent link: https://www.econbiz.de/10010363593