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Industrial organization, order Internalization, and invariance

Bondarenko, Oleg; Obižaeva, Anna; Wang, Yajun - 2020

Persistent link: https://www.econbiz.de/10012494238

The behavior of high-frequency traders under different market stress scenarios

Megarbane, Nicolas; Saliba, Pamela; Lehalle, Charles-Albert - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-54

Persistent link: https://www.econbiz.de/10011988891

Market microstructure and price discovery on the Tokyo Stock Exchange

Amihud, Yakov - In: Japan and the world economy : international journal of … 1 (1989) 4, pp. 341-370

Persistent link: https://www.econbiz.de/10001092087

Intraday price discovery in fragmented markets

Ozturk, Sait; Wel, Michel van der; Dijk, Dick van - 2014

) does not lead the entire day. Spreads, the number of trades and volatility can explain almost half of the intraday …

Persistent link: https://www.econbiz.de/10010250525

Risk and Return in High-Frequency Trading

Baron, Matthew - 2018

We study performance and competition among high-frequency traders (HFTs). We construct measures of latency and find that differences in relative latency account for large differences in HFTs' trading performance. HFTs that improve their latency rank due to colocation upgrades see improved...

Persistent link: https://www.econbiz.de/10012937984

Determinants of price reversal in high-frequency trading : empirical evidence from Indonesia

Santosa, Perdana Wahyu - In: Investment management and financial innovations 17 (2020) 1, pp. 175-187

Persistent link: https://www.econbiz.de/10012300573

Extension and calibration of a Hawkes-based optimal execution model

Alfonsi, Aurélien; Blanc, Pierre - In: Market microstructure and liquidity 2 (2016) 2, pp. 1-55

Persistent link: https://www.econbiz.de/10011588251

GetHFData: a R package for downloading and aggregating high frequency trading data from Bovespa

Perlin, Marcelo Scherer; Ramos, Henrique P. - In: Revista Brasileira de Finanças : RBFin 14 (2016) 3, pp. 443-478

Persistent link: https://www.econbiz.de/10011654254

The role of daytime stock auctions in intraday return seasonality

Serikova, Ekaterina - 2019

volatility, I conclude that after-auction periods take over a large share of infrequent rebalancing, being attractive for a …

Persistent link: https://www.econbiz.de/10012101493

Liquidity in the German stock market

Johann, Thomas; Scharnowski, Stefan; Theissen, Erik; … - 2019

has generally increased over time, and that in times of crisis liquidity is lower and the volatility of liquidity is …

Persistent link: https://www.econbiz.de/10012020325

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