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Daily Herding and Commonality in Liquidity on a Pure Limit Order Book Market
Edgar, Matthew - 2011
important aspect of the market microstructure – liquidity. Potentially, herding could simultaneously affect the liquidity of … 'commonality in liquidity' – a term which expresses the idea that the liquidity of individual stocks may have common determinants …. We find strong evidence of commonality in liquidity in what is the first study of this phenomenon since the ASX adopted …
Persistent link: https://www.econbiz.de/10013121143
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The Role of Algorithmic Trading in Stock Liquidity and Commonality in Electronic Limit Order Markets
Moriyasu, Hiroshi - 2018
of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the … Tokyo Stock Exchange. After controlling for endogeneity, we find algorithmic trading increases stock liquidity by narrowing … spreads and increasing market depth. Furthermore, algorithmic trading increases commonality in liquidity at both high and low …
Persistent link: https://www.econbiz.de/10012938466
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The Role of Algorithmic Trading in Stock Liquidity and Commonality in Electronic Limit Order Markets
Moriyasu, Hiroshi - 2018
of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the … Tokyo Stock Exchange. After controlling for endogeneity, we find algorithmic trading increases stock liquidity by narrowing … spreads and increasing market depth. Furthermore, algorithmic trading increases commonality in liquidity at both high and low …
Persistent link: https://www.econbiz.de/10012922108
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Price dynamics and market liquidity : an intraday event study on Euronext
Mazza, Paolo - In: The quarterly review of economics and finance : journal … 56 (2015), pp. 139-153
Persistent link: https://www.econbiz.de/10011574367
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Optimal order display in limit order markets with liquidity competition
Cebiroglu, Gökhan; Horst, Ulrich - In: Journal of economic dynamics & control 58 (2015), pp. 81-100
Persistent link: https://www.econbiz.de/10011574644
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Commonality in liquidity : effects of monetary policy and macroeconomic announcements
Sensoy, Ahmet - In: Finance research letters 16 (2016), pp. 125-131
Persistent link: https://www.econbiz.de/10011655140
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Brokers and order flow leakage : evidence from fire sales
Barbon, Andrea; Di Maggio, Marco; Franzoni, Francesco; … - 2017
Using trade-level data, we study whether brokers play a role in spreading order flow information. We focus on large portfolio liquidations, which result in temporary drops in stock prices, and identify the brokers that intermediate these trades. We show that these brokers' best clients tend to...
Persistent link: https://www.econbiz.de/10011875532
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Optimal Liquidation in a Level-I Limit Order Book for Large Tick Stocks
Jacquier, Antoine (Jack) - 2017
-Markov decision process, and compute the semi-Markov kernel using Laplace method in the language of queueing theory. The optimal …
Persistent link: https://www.econbiz.de/10012965973
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Limit order books and trade informativeness
Beltran Lopez, Helena; Gramming, Joachim; Menkveld, … - In: The European journal of finance 18 (2012) 9/10, pp. 737-759
Persistent link: https://www.econbiz.de/10009691782
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Competition between equity markets : a review of the consolidation versus fragmentation debate
Gomber, Peter; Sagade, Satchit; Theissen, Erik; Weber, … - 2016
fragmentation, the resulting implications for liquidity and price efficiency, and the role for public policy. Beyond the concerns …
Persistent link: https://www.econbiz.de/10012061046