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COVID-19 and market structure dynamics
Cox, Justin; Woods, Donovan - In: Journal of banking & finance 147 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014248224
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The impact of upstairs trading on market quality : evidence from a highly segmented market
Białkowski, Je̜drzej; Hong, Sanghyun; Wagner, Moritz - In: New Zealand economic papers 56 (2022) 3, pp. 326-332
Persistent link: https://www.econbiz.de/10013459654
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Price discovery in the U.S. Treasury cash market : on principal trading firms and dealers
Harkrader, James Collin; Puglia, Michael - 2020
Persistent link: https://www.econbiz.de/10012389832
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High frequency market microstructure
O'Hara, Maureen - In: Journal of financial economics 116 (2015) 2, pp. 267-270
Persistent link: https://www.econbiz.de/10011348519
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Price jump prediction in a limit order book
Zheng, Ban; Moulines, Eric; Abergel, Frédéric - In: Journal of mathematical finance 3 (2013) 2, pp. 242-255
Persistent link: https://www.econbiz.de/10010239589
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Rock around the clock: an agent-based model of low- and high-frequency trading
Leal, Sandrine Jacob; Napoletano, Mauro; Roventini, Andrea - 2014
dynamics. Our main goal is to investigate whether high-frequency trading exacerbates market volatility and generates flash … that the presence of high-frequency trading increases market volatility and plays a fundamental role in the generation of …
Persistent link: https://www.econbiz.de/10010243948
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VPIN and the flash crash
Andersen, Torben; Bondarenko, Oleg; O'Hara, Maureen - In: Journal of financial markets 17 (2014), pp. 1-46
Persistent link: https://www.econbiz.de/10010436257
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Optimal trade execution for Gaussian signals with power-law resilience
Forde, Martin; Sánchez-Betancourt, Leandro; Smith, Benjamin - In: Quantitative finance 22 (2022) 3, pp. 585-596
Persistent link: https://www.econbiz.de/10013167782
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Market Microstructure and the Risks of High-Frequency Trading
Aldridge, Irene - 2013
market manipulation, the highest volatility and probability of market crashes, yet the highest liquidity. The so … detect spoofing market manipulation, lower volatility and probability of market crashes, but lower liquidity levels. Finally …
Persistent link: https://www.econbiz.de/10013079007
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Rock around the clock : an agent-based model of low- and high-frequency trading
Leal, Sandrine Jacob; Napoletano, Mauro; Roventini, Andrea - In: Journal of evolutionary economics : JEE 26 (2016) 1, pp. 49-76
Persistent link: https://www.econbiz.de/10011606699