How does HFT activity impact market volatility and the bid-ask spread after an exogenous shock? : an empirical analysis on S&P 500 ETF
Flavio Bazzana, Andrea Collini
| Year of publication: |
2020
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|---|---|
| Authors: | Bazzana, Flavio ; Collini, Andrea |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 54.2020, p. 1-16
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| Subject: | Bid-ask spread | High-frequency trading | Volatility | Volatilität | Geld-Brief-Spanne | Schock | Shock | Börsenkurs | Share price | Elektronisches Handelssystem | Electronic trading | Indexderivat | Index derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2020.101240 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012664057