The impact of high speed quoting on execution risk dynamics : evidence from interest rate futures markets
Jing Nie, Juliana Malagon Penen, Julian Williams
| Year of publication: |
2022
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|---|---|
| Authors: | Nie, Jing ; Penen Malagon, Juliana ; Williams, Julian |
| Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 42.2022, 8, p. 1434-1465
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| Subject: | execution risk | high-frequency quoting | market quality | semi-parametric model | Zinsderivat | Interest rate derivative | Elektronisches Handelssystem | Electronic trading | Volatilität | Volatility | Effizienzmarkthypothese | Efficient market hypothesis | Wertpapierhandel | Securities trading | Marktmikrostruktur | Market microstructure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22339 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013287987