This paper examines spillover effects caused when market participants trade different financial instruments in a single operation. We develop and test an extended model for cross-correlation in the trading processes of different assets on the European bond market. We find a significant...

This paper investigates the problem of identifying the strength of the incoming of news in the financial market. With the support of a microstructure model we are able to derive a simple formula that, based only on trade data, estimates the likelihood of having news for any given tradable asset...

Markov state switching models are a type of specification which allows for the transition of states as an intrinsic property of the econometric model. Such type of statistical representations are well known and utilized in different problems in the field of economics and finance. This paper...

This paper examines the determinants of cross-platform arbitrage profits. We develop a structural model that enables us to decompose the likelihood of an arbitrage opportunity into three distinct factors: the fixed cost to trade the opportunity, the level at which one of the platforms delays a...

Pairs trading is a popular trading strategy that tries to take advantage of market inefficiencies in order to obtain profit. Such approach, on its classical formulation, uses information of only two stocks (a stock and its pairs) in the formation of the trading signals. The objective of this...

We study the case of mispricing in the odd lots equity market in Brazil. Contrary to expectation, odd lot investors are paying higher prices than round lot investors. The pricing difference between markets is affected by market returns, volatility and spreads. Our main hypothesis is that; once...

Pairs trading is a popular trading strategy that tries to take advantage of market inefficiencies in order to obtain profit. The idea is simple: find two stocks that move together and take long/short positions when they diverge abnormally, hoping that the prices will converge in the future. From...

This paper provides evidence of the effect of algorithmic trading (AT) in the liquidity of the Brazilian equity market. A wide debate on the literature asserts that AT may be both beneficial and harmful to market quality. The results of our econometric estimates for a sample of 47 stocks through...

In this paper we look into the interaction of Google's search queries and several aspects of international equity markets. Using a novel methodology for selecting words and a VAR modeling approach, we study whether the search queries of finance related words can have an impact on market...