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High-Frequency Trading around Large Institutional Orders
van Kervel, Vincent - 2018
Liquidity suppliers lean against the wind. We analyze whether high-frequency traders (HFTs) lean against large …
Persistent link: https://www.econbiz.de/10012937203
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Foreign Investors, Private Information, and Price Discovery
Cai, Jun - 2020
We examine the relation between intra-day price discovery and proxies for financial openness and investor accessibility using a sample of intra-day price and quote data of 1,504 stocks from 23 emerging markets. We measure price discovery by weighted price contribution across segments of the...
Persistent link: https://www.econbiz.de/10012857522
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Momentum Crashes and the 52-Week High
Byun, Suk-Joon - 2018
Momentum strategies suffer from occasional large drawdowns referred to as momentum crashes when the market rebounds. This paper documents that stocks far from peaks outperform stocks near peaks, and momentum crashes are attributable to such outperformance. Market rebounds triggers increase in...
Persistent link: https://www.econbiz.de/10012934906
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High-frequency trading around large institutional orders
Kervel, Vincent van; Menkveld, Albert J. - 2017
Liquidity suppliers lean against the wind. We analyze whether high-frequency traders (HFTs) lean against large …
Persistent link: https://www.econbiz.de/10011725287
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A tale of one exchange and two order books : effects of fragmentation in the absence of competition
Bernales, Alejandro; Garrido, Nicolás; Sagade, Satchit; … - 2018 - This version: October 2018
with our theory, we document improvements in liquidity and lower profits for liquidity providers when Euronext, in 2009 … intermediaries at the expense of investors with intrinsic trading motives, and lower liquidity than consolidated markets. Consistent … book. Our results suggest that competition in market design, not fragmentation, drives previously documented improvements …
Persistent link: https://www.econbiz.de/10011919746
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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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Do algorithmic traders improve liquidity when information asymmetry is high?
Jain, Archana; Jain, Chinmay; Khanapure, Revansiddha … - In: The quarterly journal of finance 11 (2021) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10012649846
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The Price Impact of Limit Order Cancellations
Machain, Luciano - 2013
A recent and growing body of literature suggests that not only trades are informative but other order book events like a submission or, more generally, the order book imbalance contribute to the price discovery process. In this paper, we analyze the price impact of limit order cancellations....
Persistent link: https://www.econbiz.de/10013078916
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A theory of very short-time price change : security price drivers in times of high-frequency trading
Virgilio, Gianluca P. M. - In: Financial innovation : FIN 8 (2022), pp. 1-34
previous volatility, scarce liquidity, high quantity exchanged, and stop-loss (SL) orders (seldom mentioned in the literature … volatility, liquidity, and SL orders as the main causes of excess volatility. However, contrary to mainstream literature on …, financial markets face many ultrafast orders, yet a coherent theory of price change at time scales incomprehensible by humans …
Persistent link: https://www.econbiz.de/10013272630
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Speed of Trade and Liquidity
Uno, Jun - 2012
We investigate whether increasing the speed of order execution affects investor trading strategy and market liquidity …
Persistent link: https://www.econbiz.de/10013114282