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A game of hide-and-seek between proprietary and buy-side algorithmic traders : causal links with market quality

Arumugam, Devika; Prasanna, P. Krishna - In: Applied economics 53 (2021) 41, pp. 4788-4798

Persistent link: https://www.econbiz.de/10012609877

On the quality of cryptocurrency markets : centralized versus decentralized exchanges

Barbon, Andrea; Ranaldo, Angelo - 2022 - This draft: April 2022

Despite the growing adoption of decentralized exchanges, little is known about their market quality. Using a comprehensive dataset, we compare decentralized blockchain-based venues (DEXs) to centralized crypto exchanges (CEXs) assessing two aspects of market quality: price efficiency and market...

Persistent link: https://www.econbiz.de/10013192214

Diving into dark pools

Buti, Sabrina; Rindi, Barbara; Werner, Ingrid M. - 2022

This paper examines unique data on dark pool activity for a large cross-section of US stocks in 2009. Dark pool activity is concentrated in liquid stocks. Nasdaq (AMEX) stocks have significantly higher (lower) dark pool activity than NYSE stocks controlling for liquidity. For a given stock, dark...

Persistent link: https://www.econbiz.de/10012816610

Front-running and market quality : an evolutionary perspective on high frequency trading

Hens, Thorsten; Lensberg, Terje; Schenk-Hoppé, Klaus Reiner - 2017

We study front-running by high frequency traders (HFTs) in a limit order model with continuous trading. The model describes an evolutionary equilibrium of low frequency traders (LFTs) who compete in portfolio management services by offering investment styles. The introduction of front-runners...

Persistent link: https://www.econbiz.de/10011627064

Time to slow down for high-frequency trading? : lessons from artificial markets

Veryzhenko, Iryna; Arena, Lise; Harb, Etienne; Oriol, … - In: Intelligent systems in accounting finance and … 24 (2017) 2/3, pp. 73-79

Persistent link: https://www.econbiz.de/10011825061

Algorithmic trading efficiency and its impact on market-quality

Dubey, Ritesh Kumar; Babu, A. Sarath; Jha, Rajneesh Ranjan - In: Asia Pacific financial markets 29 (2022) 3, pp. 381-409

Persistent link: https://www.econbiz.de/10013397503

Price discovery and liquidity recovery : forex market reactions to macro announcements

Yamada, Masahiro; Itō, Takatoshi - In: Journal of international money and finance 120 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013417335

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

Does the introduction of market maker improve market quality? : evidence from China's Sci-Tech innovation board

Li, Jianhua; Xu, Jianxiang - In: Finance research letters 55 (2023) 1, pp. 1-10

Persistent link: https://www.econbiz.de/10014473289

A comparison of China's main board and growth enterprise market board : market microstructure approach

Cheung, William Ming Yan; Liu, Kejing - In: Review of Pacific Basin financial markets and policies 17 (2014) 2, pp. 1-29

Persistent link: https://www.econbiz.de/10010392613