Showing 131 - 140 of 246
This paper investigates the market microstructure of the Shanghai and Shenzhen Stock Exchanges. The two major Chinese stock markets are pure order-driven trading mechanisms without market makers, and we analyze empirically both limit order books. We begin our empirical modeling using the vector...
Persistent link: https://www.econbiz.de/10010680330
We consider a model of an internet chat room with free entry but secure identity. Traders exchange messages in real time of both a fundamental and non-fundamental nature. We explore conditions under which traders post truthful information and make trading decisions. We also establish a symmetric...
Persistent link: https://www.econbiz.de/10010680331
We analyze high frequency trading (HFT) activity in equities during U.S. Treasury permanent open market (POMO) purchases by the Federal Reserve. We construct a model to study HFT quote and trade behavior when private information is released and confirm it empirically. We estimate that HFT firms...
Persistent link: https://www.econbiz.de/10010680332
A breakdown in market quality occurs when an order book thins to the point where extreme price movements are observed. These are frequently reversed as the market learns that nothing fundamental has occurred. The daily average breakdown frequency from 1993-2011 is 0.64%, with averages in 2010-11...
Persistent link: https://www.econbiz.de/10010680333
This paper investigates the market microstructure of the Shanghai and Shenzhen Stock Exchanges. The two major Chinese stock markets are pure order-driven trading mechanisms without market makers, and we analyze empirically both limit order books. We begin our empirical modeling using the vector...
Persistent link: https://www.econbiz.de/10010709343
This paper investigates the market microstructure of the Shanghai and Shenzhen Stock Ex- changes. The two major Chinese stock markets are pure order-driven trading mechanisms without market makers, and we analyze empirically both limit order books. We begin our empirical model- ing using the...
Persistent link: https://www.econbiz.de/10008471771
Persistent link: https://www.econbiz.de/10005322438
Persistent link: https://www.econbiz.de/10001496787
Persistent link: https://www.econbiz.de/10000858944
Persistent link: https://www.econbiz.de/10000858945