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Resiliency in the E-mini futures market

Fishe, Raymond P. H.; Haynes, Richard; Onur, Esen - In: The journal of futures markets 42 (2022) 1, pp. 5-23

Persistent link: https://www.econbiz.de/10012796291

Market microstructure, creditor action, and contagion

Husain, Tehreem (ed.); Coffman, D'Maris (ed.) - 2022

Persistent link: https://www.econbiz.de/10012815546

A simple microstructural explanation of the concavity of price impact

Nadtochiy, Sergey - In: Mathematical finance : an international journal of … 32 (2022) 1, pp. 78-113

Persistent link: https://www.econbiz.de/10012815948

Liquidity measurement : a comparative review of the literature with a focus on high frequency

Cobandag Guloglu, Zeynep; Ekinci, Cumhur - In: Journal of economic surveys 36 (2022) 1, pp. 41-74

Persistent link: https://www.econbiz.de/10012816561

Feedback trading in currency markets : international evidence

Tayeh, Mohammad; Kallinterakis, Vasileios - In: The journal of behavioral finance : a publication of … 23 (2022) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10012802007

Bitcoin price manipulation : evidence from intraday orders and trades

Hu, Bill; Hwang, Joon Ho; Jain, Chinmay; Washam, Jim - In: Applied economics letters 29 (2022) 2, pp. 140-144

Persistent link: https://www.econbiz.de/10012803408

Measuring commodity market quality

Lauter, Tobias; Prokopczuk, Marcel - In: Journal of banking & finance 145 (2022), pp. 1-24

Persistent link: https://www.econbiz.de/10013538965

The impact of high speed quoting on execution risk dynamics : evidence from interest rate futures markets

Nie, Jing; Penen Malagon, Juliana; Williams, Julian - In: The journal of futures markets 42 (2022) 8, pp. 1434-1465

Persistent link: https://www.econbiz.de/10013287987

The information effect of order flows in foreign currency futures and spot markets

Chen, Yu-Lun; Gau, Yin-feng - In: The journal of futures markets 42 (2022) 8, pp. 1549-1572

Persistent link: https://www.econbiz.de/10013288004

Competition for Retail Order Flow and Market Quality

Hu, Edwin; Murphy, Dermot - 2022

Approximately 27% of trading volume is routed from retail brokerages to seven market-making firms ("internalizers"). We estimate that two of these firms, Citadel and Virtu, handle 70% of this volume, or $70 trillion from 2017-2021. Our theoretical model predicts that spreads are wider in a...

Persistent link: https://www.econbiz.de/10013294724

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