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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 - 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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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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Market quality breakdowns in equities
Gao, Cheng; Mizrach, Bruce Marshall - In: Journal of financial markets 28 (2016), pp. 1-23
Persistent link: https://www.econbiz.de/10011722226
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Informed trading and market structure
Cai, Charlie X.; Harris, Jeffrey H.; Hudson, Robert S.; … - In: European financial management : the journal of the … 21 (2015) 1, pp. 148-177
Persistent link: https://www.econbiz.de/10010516692
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The provision of liquidity by high-frequency participants
Jarnecic, Elvis; Snape, Mark - In: The financial review : the official publication of the … 49 (2014) 2, pp. 371-394
Persistent link: https://www.econbiz.de/10010363575
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Correlations in price changes and volatility across international stock markets
Hamao, Yasushi; Masulis, Ronald W.; Ng, Victor - 1989
Persistent link: https://www.econbiz.de/10000133035
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Measuring the effects of geographical distance on stock market correlation
Eckel, Stefanie Martina; Löffler, Gunter; Maurer, Alina; … - In: Journal of empirical finance 18 (2011) 2, pp. 237-247
Persistent link: https://www.econbiz.de/10009301123
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Co-movement of stock and bond returns in the light of the recent crisis
Schlepper, Kathi - In: Essays on current phenomena and developments in …, (pp. 69-125). 2016
Persistent link: https://www.econbiz.de/10011545666