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Trading Fast and Slow : Colocation and Liquidity
Brogaard, Jonathan - 2020
We exploit an optional colocation upgrade at NASDAQ OMX Stockholm to assess how speed affects market liquidity …. Liquidity improves for the overall market and even for noncolocated trading entities. We find that the upgrade is pursued mainly … of market-making participants benefit market liquidity …
Persistent link: https://www.econbiz.de/10012856956
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A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market
Li, Zhicheng; Chen, Xinyun; Xing, Haipeng - In: Economic modelling 118 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014229238
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Commonalities in the order book
Beltran Lopez, Helena; Giot, Pierre; Grammig, Joachim - In: Financial markets and portfolio management 23 (2009) 3, pp. 209-242
Persistent link: https://www.econbiz.de/10003889895
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Commonalities in the order book
Beltran Lopez, Helena; Giot, Pierre; Grammig, Joachim - 2009
order books. We show that these order book commonalities are much stronger than liquidity commonality across stocks. The … that the informational content of hidden orders is limited. -- limit order book ; commonalities ; liquidity ; market …
Persistent link: https://www.econbiz.de/10003857810
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Wettbewerb, Liquidität und die Rolle von Intermediation im Wertpapierhandel
Freihube, Thorsten - 2004
Persistent link: https://www.econbiz.de/10002122262
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Intraday indirect arbitrage between European index ETFs
Bassiouny, Aliaa; Tooma, Eskandar A. - In: International review of financial analysis 75 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012804074
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Price discovery in the S&P 500 index derivatives markets
Chen, Wei Peng; Chung, Huimin; Lien, Da-hsiang Donald - In: International review of economics & finance : IREF 45 (2016), pp. 438-452
Persistent link: https://www.econbiz.de/10011626500
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Daily and intraday application of various architectures of the LSTM model in algorithmic investment strategies on Bitcoin and the S&P 500 Index
Kryńska, Katarzyna; Ślepaczuk, Robert - 2022
Persistent link: https://www.econbiz.de/10013473995
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Commonalities in the Order Book
Beltran-Lopez, Helena M. - 2010
order books. We show that these order book commonalities are much stronger than liquidity commonality across stocks. The …
Persistent link: https://www.econbiz.de/10013142113
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Liquidity dynamics in an electronic open limit order book : an event study approach
Gomber, Peter; Schweickert, Uwe; Theissen, Erik - In: European financial management : the journal of the … 21 (2015) 1, pp. 52-78
Persistent link: https://www.econbiz.de/10010516705