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Predatory trading
Brunnermeier, Markus Konrad; Pedersen, Lasse Heje - 2004
Persistent link: https://www.econbiz.de/10002233641
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Predatory trading
Brunnermeier, Markus Konrad; Pedersen, Lasse Heje - 2004
Persistent link: https://www.econbiz.de/10002399234
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Predatory trading
Brunnermeier, Markus Konrad; Pedersen, Lasse Heje - In: The journal of finance : the journal of the American … 60 (2005) 4, pp. 1825-1864
Persistent link: https://www.econbiz.de/10003080437
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Predatory trading
Brunnermeier, Markus Konrad; Pedersen, Lasse H. - 2003
Persistent link: https://www.econbiz.de/10001770539
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Predatory Trading
Pedersen, Lasse Heje - 2004
overshooting and a reduced liquidation value for the distressed trader. Hence, the market is illiquid when liquidity is most needed …
Persistent link: https://www.econbiz.de/10012785459
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Predatory Trading Around Russell Reconstitution
Zdorovtsov, Volodymyr M. - 2017
Using fourteen years of history, the authors study the behavior of Russell 3000 constituents on the last business day of May when benchmark composition is determined for the ensuing annual reconstitution. The paper presents evidence consistent with predatory trading, whereby closing prices of...
Persistent link: https://www.econbiz.de/10012949636
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Liquidity in high resolution in limit order markets
Pani, Sudhanshu - In: International Journal of Financial Markets and … 8 (2021) 1, pp. 23-49
Persistent link: https://www.econbiz.de/10012510329
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Deep limit order book events dynamics
Bilodeau, Yann - 2020
Persistent link: https://www.econbiz.de/10012384636
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Intraday liquidity patterns in limit order books
Malik, Azeem; Wing Lon Ng - In: Studies in economics and finance 31 (2014) 1, pp. 46-71
Persistent link: https://www.econbiz.de/10010258798
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Order exposure and liquidity coordination : does hidden liquidity harm price efficiency?
Cebiroglu, Gökhan; Hautsch, Nikolaus; Horst, Ulrich - 2014
We develop a model of an order-driven exchange competing for order flow with off-exchange trading mechanisms. Liquidity … additional trade demand. We show, in equilibrium, hiding trade intentions can induce mis-coordination between liquidity supply … in prices and order flow after periods of high excess-supply of hidden liquidity. …
Persistent link: https://www.econbiz.de/10010411280