-opening period contributes to market quality, defined by price discovery and liquidity provision, in the opening auction. We use a …

of 200 milliseconds is enough to lower performance significantly. On low volatility days this is already the case for …

-post and ex-ante types), of cancellation fees and of transaction taxes on asset price volatility and on the occurrence and … volatility and the frequency of flash crashes. However, these policies also imply a longer duration of flash crashes. Furthermore …, the introduction of an ex-ante circuit breaker markedly reduces price volatility and removes flash crashes. In contrast …

market manipulation, the highest volatility and probability of market crashes, yet the highest liquidity. The so … detect spoofing market manipulation, lower volatility and probability of market crashes, but lower liquidity levels. Finally …

of linear autocorrelation, volatility clustering), trading volumes (volume clustering, correlation between volume and … volatility), and timing of trades (number of price changes, autocorrelation of durations between subsequent trades, heavy tail in …