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High-frequency traders' evolving role as market makers

Banerjee, Anirban; Roy, Prince - In: Pacific-Basin finance journal 82 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10014463519

Impact of the COVID-19 market turmoil on investor behavior : a panel VAR study of bank stocks in Borsa Istanbul

Ekinci, Cumhur; Ersan, Oǧuz - In: International Journal of Financial Studies : open … 12 (2024) 1, pp. 1-18

Assuming that investors can be foreign or local, do high-frequency trading (HFT) or not, and submit orders through a bank-owned or non-bank-owned broker, we associated trades to various investors. Then, building a panel vector autoregressive model, we analyzed the dynamic relation of these...

Persistent link: https://www.econbiz.de/10014502320

Machine over Mind? : stock price clustering in the era of algorithmic trading

Das, Sougata; Kadapakkam, Palani-Rajan - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012658652

Inferring trade directions in fast markets

Jurkatis, Simon Willi - 2020

Persistent link: https://www.econbiz.de/10012597973

The information content of high-frequency traders aggressive orders : recent evidence

Saliba, Pamela - In: Quantitative finance 20 (2020) 11, pp. 1779-1794

Persistent link: https://www.econbiz.de/10012295637

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 in Practice.

Laruelle, Sophie - 2013

Key Features:Interdisciplinary comments on market microstructure (covering economy, quantitative finance, and econophysics)Covers a very large spectrum of phenomenon: high frequency trading, liquidity monitoring, the Flash Crash, systemic risk, fragmentation, Smart Order Routing, trade...

Persistent link: https://www.econbiz.de/10012686983

Inferring trade directions in fast markets

Jurkatis, Simon Willi - In: Journal of financial markets 58 (2022), pp. 1-22

Persistent link: https://www.econbiz.de/10013254020

Brunt of technology in stock trading : empirical evaluation of movement in trading modes

Ravinagarajan, Janani; Sophia, Sharon - In: International journal of electronic finance : IJEF 12 (2023) 2, pp. 117-141

Persistent link: https://www.econbiz.de/10014309639

Hidden liquidity, market quality, and order submission strategies

Lee, Albert J.; Chung, Kee H. - In: Journal of financial markets 61 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013540481