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Interactions among high-frequency traders
Benos, Evangelos; Brugler, James; Hjalmarsson, Erik; … - 2015
Persistent link: https://www.econbiz.de/10010497529
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Interactions among high-frequency traders
Benos, Evangelos; Brugler, James; Hjalmarsson, Erik; … - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 4, pp. 1375-1402
Persistent link: https://www.econbiz.de/10011927918
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Interactions Among High-Frequency Traders
Benos, Evangelos - 2015
Using unique transactions data for individual high-frequency trading (HFT) firms in the UK equity market, we examine if the trading activity of individual HFT firms is contemporaneously and dynamically correlated with each other, and what impact this has on price efficiency. We find that HFT...
Persistent link: https://www.econbiz.de/10013027471
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The evolution of price discovery in an electronic market
Chaboud, Alain; Hjalmarsson, Erik; Zikes, Filip - In: Journal of banking & finance 130 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10013164855
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The evolution of price discovery in an electronic market
Chaboud, Alain; Hjalmarsson, Erik; Zikes, Filip - 2020
Persistent link: https://www.econbiz.de/10012388709
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Interactions among high-frequency traders
Benos, Evangelos; Brugler, James; Hjalmarsson, … - Bank of England - 2015
Using unique transactions data for individual high-frequency trading (HFT) firms in the UK equity market, we examine if the trading activity of individual HFT firms is contemporaneously and dynamically correlated with each other, and what impact this has on price efficiency. We find that HFT...
Persistent link: https://www.econbiz.de/10011185232
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New methods for inference in long-run predictive regressions
Hjalmarsson, Erik - 2006
Persistent link: https://www.econbiz.de/10003336051
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Fully modified estimation with nearly integrated regressors
Hjalmarsson, Erik - In: Finance research letters 4 (2007) 2, pp. 92-94
Persistent link: https://www.econbiz.de/10003477213
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The Stambaugh bias in panel predictive regressions
Hjalmarsson, Erik - 2007
Persistent link: https://www.econbiz.de/10003997742
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Interpreting long-horizon estimates in predictive regressions
Hjalmarsson, Erik - 2008
Persistent link: https://www.econbiz.de/10003997782