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On setting day-ahead equity trading risk limits

Fuertes, Ana María; Olmo, Jose - In: Journal of risk and financial management : JRFM 9 (2016) 3, pp. 1-20

This paper investigates the information content of the ex post overnight return for one-day-ahead equity Value-at-Risk (VaR) forecasting. To do so, we deploy a univariate VaR modeling approach that constructs the forecast at market open and, accordingly, exploits the available overnight...

Persistent link: https://www.econbiz.de/10011543115

The price impact of futures trades and their intraday seasonality

Webb, Robert I.; Ryu, Doojin; Ryu, Doowon; Han, Joongho - In: Emerging markets review 26 (2016), pp. 80-98

Persistent link: https://www.econbiz.de/10011670875

Intraday trading invariancein the E-mini S&P 500 futures market

Andersen, Torben; Bondarenko, Oleg; Kyle, Albert S.; … - 2020

Persistent link: https://www.econbiz.de/10012494219

Estimating probability of informed trading on the Bucharest stock exchange

Cepoi, Cosmin Octavian; Toma, Filip Mihai - In: Finance a úvěr 66 (2016) 2, pp. 140-160

Persistent link: https://www.econbiz.de/10011618713

Order flow analysis of cryptocurrency markets

Silantyev, Eduard - In: Digital finance : smart data analytics, investment … 1 (2019) 1/4, pp. 191-218

Persistent link: https://www.econbiz.de/10012223876

Does anonymity matter in electronic limit order markets?

Foucault, Thierry; Moinas, Sophie; Theissen, Erik - 2004 - This Draft: May, 2004

We develop a model of limit order trading in which some traders have better information on future price volatility. As … visible. In either design, a large (resp. small) spread signals that informed limit order traders expect volatility to be high … significantly. Consistent with our model, we also find that the size of the spread is a predictor of future price volatility and …

Persistent link: https://www.econbiz.de/10010361995

The effects of the LIBOR scandal on volatility and liquidity in LIBOR futures markets

Bachmair, Kilian - 2023

Persistent link: https://www.econbiz.de/10013530819

Understanding jumps in high frequency digital asset markets

Saef, Danial; Nagy, Odett; Sizov, Sergej; Härdle, Wolfgang - 2021

digital asset returns are driven by high frequency jumps clustered around black swan events, resembling volatility and trading …

Persistent link: https://www.econbiz.de/10012657696

Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes

Wehrli, Alexander; Wheatley, Spencer; Sornette, Didier - In: Quantitative finance 21 (2021) 5, pp. 729-752

Persistent link: https://www.econbiz.de/10012500185

Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes

Wehrli, Alexander; Wheatley, Spencer; Sornette, Didier - 2020

The statistical estimate of the branching ratio η of the Hawkes model, when fitted to windows of mid-price changes, has been reported to approach criticality (η = 1) as the fitting window becomes large. In this study -- using price changes from the EUR/USD currency pair traded on the...

Persistent link: https://www.econbiz.de/10012219363