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Year of publication
Subject
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Electronic trading 2,380 Elektronisches Handelssystem 2,372 Wertpapierhandel 1,115 Securities trading 1,112 Börsenkurs 713 Share price 712 Theorie 641 Theory 641 Market microstructure 418 Marktmikrostruktur 417 Volatilität 372 Volatility 371 Anlageverhalten 315 Behavioural finance 315 Börsenhandel 313 Stock exchange trading 304 USA 256 United States 253 Aktienmarkt 241 Liquidity 240 Stock market 233 Liquidität 231 Financial market 221 Finanzmarkt 221 Market liquidity 218 Marktliquidität 218 Portfolio selection 209 Portfolio-Management 209 Bid-ask spread 203 Geld-Brief-Spanne 203 Algorithmus 195 Algorithm 194 Efficient market hypothesis 190 Effizienzmarkthypothese 190 Estimation 160 Schätzung 160 Financial market regulation 157 Finanzmarktregulierung 157 Deutschland 151 Financial analysis 148
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Online availability
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Free 930 Undetermined 620 CC license 32
Type of publication
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Book / Working Paper 1,246 Article 1,178 Journal 9 Other 2
Type of publication (narrower categories)
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Article in journal 1,028 Aufsatz in Zeitschrift 1,028 Graue Literatur 384 Non-commercial literature 384 Working Paper 326 Arbeitspapier 319 Aufsatz im Buch 125 Book section 125 Hochschulschrift 106 Thesis 73 Collection of articles of several authors 29 Sammelwerk 29 Aufsatzsammlung 19 Collection of articles written by one author 18 Sammlung 18 Ratgeber 15 Guidebook 11 Handbook 9 Handbuch 9 Bibliografie enthalten 6 Bibliography included 6 Konferenzschrift 6 Dissertation u.a. Prüfungsschriften 5 Case study 4 Fallstudie 4 Glossar enthalten 4 Glossary included 4 Annual report 3 Conference proceedings 3 Jahresbericht 3 Lehrbuch 3 Systematic review 3 Übersichtsarbeit 3 Accompanied by computer file 2 Article 2 Business report 2 Conference paper 2 Elektronischer Datenträger als Beilage 2 Geschäftsbericht 2 Konferenzbeitrag 2
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Language
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English 2,251 German 138 Undetermined 30 French 11 Russian 2 Spanish 2 Italian 1 Polish 1 Portuguese 1 Swedish 1
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Author
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Cartea, Álvaro 33 Theissen, Erik 30 Foucault, Thierry 23 Jaimungal, Sebastian 21 Hendershott, Terrence 20 Menkveld, Albert J. 20 Gomber, Peter 19 Van Vliet, Benjamin 19 Riordan, Ryan 18 Aitken, Michael J. 17 Brogaard, Jonathan 17 Rime, Dagfinn 17 Budish, Eric B. 15 O'Hara, Maureen 15 Aquilina, Matteo 14 Aït-Sahalia, Yacine 14 Frino, Alex 14 Ibikunle, Gbenga 14 Mizrach, Bruce Marshall 13 Schrimpf, Andreas 13 Van Ness, Robert A. 13 Cumming, Douglas J. 12 Dionne, Georges 12 Moinas, Sophie 12 Aldridge, Irene 11 Bellia, Mario 11 Grammig, Joachim 11 King, Michael R. 11 Saar, Gideon 11 Goldstein, Michael A. 10 Hjalmarsson, Erik 10 Kumiega, Andrew 10 O'Neill, Peter 10 Osler, Carol 10 Poutré, Cédric 10 Rzayev, Khaladdin 10 Zhan, Feng 10 Aldrich, Eric M. 9 Andersen, Torben 9 Bessembinder, Hendrik 9
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Institution
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National Bureau of Economic Research 21 Springer Fachmedien Wiesbaden 4 Financial Industry Regulatory Authority 3 Agricultural and Applied Economics Association - AAEA 2 FinanzBuch Verlag 2 National Association of Securities Dealers 2 Technische Universität Dresden 2 Banca d'Italia 1 Bank für Internationalen Zahlungsausgleich / Markets Committee 1 Basler Effektenbörse 1 Books on Demand GmbH <Norderstedt> 1 Börsen-Buchverlag 1 Börsenkammer des Kantons Basel-Stadt 1 Centre de Sociologie de l'Innovation (CSI), MINES ParisTech 1 De Gruyter Oldenbourg 1 Department of Econometrics and Business Statistics, Monash Business School 1 Department of Economics, International Business School, Brandeis University 1 Deutsche Bank <Frankfurt am Main> / Research 1 Deutsche Bundesbank 1 Deutsche Börse AG 1 Directorate-General Economic and Financial Affairs, European Commission 1 Duale Hochschule Baden-Württemberg Stuttgart 1 Eberhard Karls Universität Tübingen 1 European Academic Association for Financial Research 1 European Central Bank 1 European Commission / Directorate-General for Communication 1 Federal Reserve Bank of New York 1 FinanceCom <3, 2007, Montréal> 1 Gottfried Wilhelm Leibniz Universität Hannover 1 Henley Business School, University of Reading 1 IGI Global 1 International Organization of Securities Commissions 1 Judge Institute of Management Studies 1 Krannert School of Management, Purdue University 1 London School of Economics (LSE) 1 London School of Economics and Political Science 1 Loyal National Repeal Association of Ireland / Trade and Commerce Committee 1 Melbourne Business School 1 Norges Bank 1 Promedia Verlag 1
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Published in...
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The journal of trading 51 Journal of financial markets 42 Journal of financial economics 33 The journal of futures markets 32 Journal of banking & finance 30 Finance research letters 23 NBER working paper series 21 The review of financial studies 21 Wiley trading series 21 Journal of international financial markets, institutions & money 20 Quantitative finance 20 Research in international business and finance 20 Computational economics 18 Working papers 18 Research paper series / Swiss Finance Institute 16 The journal of finance : the journal of the American Finance Association 16 International review of financial analysis 15 Market microstructure and liquidity 15 The financial review : the official publication of the Eastern Finance Association 15 Working paper / National Bureau of Economic Research, Inc. 14 Applied mathematical finance 13 Discussion paper / Centre for Economic Policy Research 13 Swiss Finance Institute Research Paper 13 Journal of empirical finance 12 Journal of financial and quantitative analysis : JFQA 12 NBER Working Paper 12 Pacific-Basin finance journal 12 Review of quantitative finance and accounting 12 SAFE working paper 12 CFS working paper series 11 Journal of securities operations & custody 11 Management science : journal of the Institute for Operations Research and the Management Sciences 11 BIS quarterly review : international banking and financial market developments 10 Journal of risk and financial management : JRFM 10 International journal of theoretical and applied finance 9 SpringerLink / Bücher 9 Applied economics 8 Financial innovation : FIN 8 Gabler Edition Wissenschaft 8 International review of economics & finance : IREF 8
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Source
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ECONIS (ZBW) 2,375 RePEc 34 USB Cologne (EcoSocSci) 10 EconStor 9 BASE 7
Showing 1 - 50 of 2,435
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Anonymity in dealer-to-customer markets
Di Cagno, Daniela; Paiardini, Paola; Sciubba, Emanuela - 2024
We use a laboratory experiment to explore the effect of a change in pre-trade anonymity in a quote-driven dealer-to-customer market, organised as a request for quote (RFQ). We consider two treatments in which dealers interact with two types of customers (informed or uninformed). In the first...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015337775
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Fast and slow optimal trading with exogenous information
Cont, Rama; Micheli, Alessandro; Neuman, Eyal - In: Finance and stochastics 29 (2025) 2, pp. 553-607
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Do deficits cause inflation? : a high frequency narrative approach
Hazell, Jonathon; Hobler, Stephan - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015199756
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A law and economic analysis of trading through dark pools
Ntourou, Artemisa; Mallios, Aineas - In: Journal of financial regulation and compliance 33 (2025) 1, pp. 16-30
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Deep reinforcement learning in non-Markov market-making
Lalor, Luca; Sviščuk, Anatolij - 2025
We develop a deep reinforcement learning (RL) framework for an optimal market-making (MM) trading problem, specifically focusing on price processes with semi-Markov and Hawkes Jump-Diffusion dynamics. We begin by discussing the basics of RL and the deep RL framework used; we deployed the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015358963
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Statistical predictions of trading strategies in electronic markets
Cartea, Álvaro; Cohen, Samuel N.; Graumans, Robert; … - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015339741
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Exploring the dynamic impact of transaction taxes on market quality in HFT and non-HFT environments : an agent-based modeling approach
Wang, Liming; Sun, Xuchu; Zhu, Hongliang; Li, Tangrong - 2025
This paper investigates the relationship among transaction taxes, high-frequency trading (HFT), and market quality. We use the agent-based modeling (ABM) approach to dynamically assess the impact of transaction taxes on market quality with and without high-frequency trading. Preliminary tests...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372156
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Machine learning methods for financial forecasting and trading profitability : evidence during the Russia-Ukraine war
Peng, Yaohao; Souza, João Gabriel de Moraes - In: REGE revista de gestão 31 (2024) 2, pp. 152-165
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Polynomial moving regression band stocks trading system
Cohen, Gil - In: Risks : open access journal 12 (2024) 10, pp. 1-15
In this research, we attempted to fit a trading system based on polynomial moving regression bands (MRB) to Nasdaq100 stocks from 2017 till the end of March 2024. Since stocks movement does not follow a linear behavior, we used multiple degree polynomial regression models to identify the stocks'...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015135762
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Cross-exchange crypto risk : a high-frequency dynamic network perspective
Wang, Yifu; Lu, Wanbo; Liu, Min-Nin; Ren, Riu; Hardle, … - 2024
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High-frequency trading in bond returns : a comparison across alternative methods and fixed-income markets
Alaminos, David; Salas, María Belén; Fernández … - In: Computational economics 64 (2024) 4, pp. 2263-2354
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Two algos, one option: impact of new technology on mispricing and hedging strategies
Altmann, Stefan - 2024
This thesis contains three studies on the impact of new technologies on financial markets. The first study investigates in an experiment whether algorithmic trading has an impact on the formation of asset price bubbles. It finds that especially market-maker algorithms lead to traded prices being...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015272249
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Modeling high-frequency financial data using R and Stan : a bayesian autoregressive conditional duration approach
Tabash, Mosab I.; Navas, T. Muhammed; Thayyib, P. V.; … - In: Journal of open innovation : technology, market, and … 10 (2024) 2, pp. 1-16
In econometrics, Autoregressive Conditional Duration (ACD) models use high-frequency economic or financial duration data, which mostly exhibit irregular time intervals. The ACD model is widely used to examine the duration of transaction volume and duration of price variations in stock markets....
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A tale of two cities : inter-market latency and fast-trader competition
Sagade, Satchit; Scharnowski, Stefan; Theissen, Erik; … - 2024 - This version: July 10, 2024
We examine the impact of increasing competition among the fastest traders by analyzing a new low-latency microwave network connecting exchanges trading the same stocks. Using a difference-in-differences approach comparing German stocks with similar French stocks, we find improved market...
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Sharks in the dark : quantifying HFT dark pool latency arbitrage
Aquilina, Matteo; Foley, Sean; O'Neill, Peter; Ruf, Thomas - In: Journal of economic dynamics & control 158 (2024), pp. 1-22
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Optimal portfolio selection with volatility information for a high frequency rebalancing algorithm
Bağcı, Mahmut; Soylu, Pınar Kaya - In: Financial innovation : FIN 10 (2024), pp. 1-28
We propose a high-frequency rebalancing algorithm (HFRA) and compare its performance with periodic rebalancing (PR) and threshold rebalancing (TR) strategies. PR refers to the process of adjusting the relative weight of assets within portfolios at regular time intervals, whereas TR is a process...
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Decentralised dealers? : examining liquidity provision in decentralised exchanges
Aquilina, Matteo; Foley, Sean; Gambacorta, Leonardo; … - 2024
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Through stormy seas: how fragile is liquidity across asset classes and time?
Aliyev, Nihad; Aquilina, Matteo; Rzayev, Khaladdin; … - 2024
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Algorithmic trading, what if it is just an illusion? : evidence from experimental asset markets
Jacob-Leal, Sandrine; Hanaki, Nobuyuki - In: Journal of behavioral and experimental economics 112 (2024), pp. 1-13
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Automated market makers and their implications for liquidity providers
Egloff, Pascal; Krabichler, Thomas - In: Digital finance : smart data analytics, investment … 6 (2024) 3, pp. 573-604
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Parameterised response zero intelligence traders
Cliff, Dave - In: Journal of economic interaction and coordination 19 (2024) 3, pp. 439-492
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Do deficits cause inflation? : a high frequency narrative approach
Hazell, Jonathon; Hobler, Stephan - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015072984
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Humans in charge of trading robots : the first experiment
Asparouhova, Elena; Bossaerts, Peter L.; Cai, Xiaoqin; … - 2024
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Limits of arbitrage and their impact on market efficiency : evidence from China
Chen, Jian; Haboub, Ahmad; Khan, Ali - In: Global finance journal 59 (2024), pp. 1-17
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An MA-MRR model for transaction-level analysis of high-frequency trading processes
Zhang, Qiang; Lu, Zu-di; Liu, Shancun; Yang, Haijun; … - In: Journal of management science and engineering 9 (2024) 1, pp. 53-61
The transaction-level analysis of security price changes by Madhavan, Richardson, and Roomans (1997, hereafter MRR) is a useful framework for financial analysis. The first-order Markov property of trading indicator variables is a critical assumption in the MRR model, which contradicts the...
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A theory of stock exchange competition and innovation : will the market fix the market?
Budish, Eric B.; Lee, Robin S.; Shim, John J. - In: Journal of political economy 132 (2024) 4, pp. 1209-1246
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High price impact trades identification and its implication for volatility and price efficiency
Dionne, Georges; Zhou, Xiaozhou - 2024
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High price impact trades identification and its implication for volatility and price efficiency
Dionne, Georges; Zhou, Xiaozhou - 2024
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Cognitive abilities and individual earnings in hybrid continuous double auctions
Peng, Yan; Shachat, Jason M.; Wei, Lijia; Zhang, S. Sarah - 2024
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Optimal trade execution in cryptocurrency markets
Bundi, Nils; Wei, Ching-Lin; Khashanah, Khaldoun - In: Digital finance : smart data analytics, investment … 6 (2024) 2, pp. 283-318
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Predictive modeling of foreign exchange trading signals using machine learning techniques
Enkhbayar, Sugarbayar; Ślepaczuk, Robert - 2024
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Synergizing quantitative finance models and market microstructure analysis for enhanced algorithmic trading strategies
Mengshetti, Om; Gupta, Kanishk; Zade, Nilima; Kotecha, Ketan - In: Journal of open innovation : technology, market, and … 10 (2024) 3, pp. 1-11
In today's complex financial markets, "Algorithmic Trading" has become very important. The study delves into the amalgamation of four pivotal indicators - Relative Strength Index (RSI), Exponential Moving Average (EMA), Volume-Weighted Average Price (VWAP), and Moving Average...
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Managing extreme cryptocurrency volatility in algorithmic trading : EGARCH via genetic algorithms and neural networks
Alaminos, David; Salas, M. Belén; Callejón-Gil, Ángela M. - In: Quantitative finance and economics 8 (2024) 1, pp. 153-209
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The speed of firm response to inflation
Yotzov, Ivan; Bunn, Philip; Bloom, Nicholas; Thwaites, … - 2024
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Technology and automation in financial trading : a bibliometric review
Carè, Rosella; Cumming, Douglas J. - In: Research in international business and finance 71 (2024), pp. 1-28
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Speed traps : algorithmic trader performance under alternative market balances and structures
Peng, Yan; Shachat, Jason M.; Wei, Lijia; Zhang, S. Sarah - In: Experimental economics : a journal of the Economic … 27 (2024) 2, pp. 325-350
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Estimation of an order book dependent hawkes process for large datasets
Mucciante, Luca; Sancetta, Alessio - 2024
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Informer in algorithmic investment strategies on high frequency Bitcoin data
Stefaniuk, Filip; Ślepaczuk, Robert - 2024
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The end of an era : who paid the price when the livestock futures pits closed?
Gousgounis, Eleni; Onur, Esen - In: American journal of agricultural economics 106 (2024) 3, pp. 1111-1140
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Do we need dealers in OTC markets?
Hendershott, Terrence; Livdan, Dmitry; Schürhoff, Norman - 2021
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012612695
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On fine wine pricing across different trading venues
Oleksy, Paweł; Czupryna, Marcin; Jakubczyk, Michał - In: Journal of wine economics 16 (2021) 2, pp. 189-209
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Implementation of electronic communications in accounting of public procurement
Pochynok, Nataliia; Muravskyi, Volodymyr; Farion, Volodymyr - In: Technology audit and production reserves 4 (2021) 4/60, pp. 6-10
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Optimal execution with stochastic delay
Cartea, Álvaro; Sánchez-Betancourt, Leandro - In: Finance and stochastics 27 (2023) 1, pp. 1-47
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Deep Unsupervised Anomaly Detection in High-Frequency Markets
Poutré, Cédric; Chételat, Didier; Morales, Manuel - 2023
Inspired by recent advances in the deep learning literature, this article introduces a novel hybrid anomaly detection framework specifically designed for limit order book (LOB) data. A modified Transformer autoencoder architecture is proposed to learn rich temporal LOB subsequence...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014353405
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Bandits for Algorithmic Trading with Signals
Cartea, Álvaro; Drissi, Fayçal; Osselin, Pierre - 2023
We propose a class of execution algorithms that consists of a strategic layer and a speculative layer. The strategic layer is an optimal trading schedule that encodes the trader's objective, her tolerance to risk, and the impact of her own trades in the market. The schedule of the strategic...
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Short-Run Price Efficiency and Discovery of Algorithmic Traders : A Machine Learning Approach
Curran, Edward; Hunt, Jack; Mollica, Vito - 2023
This paper examines the short-run weak-form efficiency of equities, using a proprietary data set permitting analysis of orderbook characteristics to measure short-term price predictability. The results show that high levels of algorithmic trader activity in a stock lowers the level of short-run...
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Optimal Inference for Spot Regressions
Bollerslev, Tim; Li, Jia; Ren, Yuexuan - 2023
Betas from return regressions are commonly used to measure systematic financial market risks. "Good" beta measurements are essential for a range of empirical inquiries in finance and macroeconomics. We introduce a novel econometric framework for the nonparametric estimation of time-varying betas...
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Statistical Predictions of Trading Strategies in Electronic Markets
Cartea, Álvaro; Cohen, Samuel N.; Graumans, Rob; … - 2023
We build statistical models to describe how market participants choose the direction, price, and volume of orders. Our dataset, which spans sixteen weeks for four shares traded in Euronext Amsterdam, contains all messages sent to the exchange and includes algorithm identification and member...
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High Frequency ANOVA that is Robust to Jumps, Microstructure Noise and Asynchronous Observation Times
Chen, Dachuan; Chen, Haoning; Feng, Long; Xie, Siyu - 2023
This paper develops the necessary methodology for high frequency ANOVA, which includes the estimations of idiosyncratic volatility and realized R-Squared. Because the residual process is latent in the high frequency regression, the estimation of idiosyncratic volatility is notoriously difficult...
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Online hybrid neural network for stock price prediction : a case study of high-frequency stock trading in the Chinese market
Li, Chengyu; Shen, Luyi; Qian, Guoqi - In: Econometrics : open access journal 11 (2023) 2, pp. 1-19
Time-series data, which exhibit a low signal-to-noise ratio, non-stationarity, and non-linearity, are commonly seen in high-frequency stock trading, where the objective is to increase the likelihood of profit by taking advantage of tiny discrepancies in prices and trading on them quickly and in...
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