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We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity consumption decisions traders demand more liquidity...
Persistent link: https://www.econbiz.de/10012963014
the opposite direction of transitory pricing errors, both on average and on the highest volatility days. This is done …
Persistent link: https://www.econbiz.de/10013074385
speculative trading increases. As a result, market liquidity deteriorates and short-term volatility rises. Our findings hold for a …
Persistent link: https://www.econbiz.de/10012142134
Market participants often invest in order to acquire information that pertains to the market itself (e.g. order flow) rather than to fundamentals. This enables them to infer more information from past trades. I show that agents trading on such information, typically high-frequency traders,...
Persistent link: https://www.econbiz.de/10011605590
speculative trading increases. As a result, market liquidity deteriorates and short-term volatility rises. Our findings hold for a …
Persistent link: https://www.econbiz.de/10012868588
following the auctions. This effect is stronger when market volatility is higher. We rationalize both findings using a simple …
Persistent link: https://www.econbiz.de/10011804371
following the auctions. This effect is stronger when market volatility is higher. We rationalize both findings using a simple …
Persistent link: https://www.econbiz.de/10012956251
volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of … the volatility risk premium rests on a simple model according to which variance forecasts are generated under the … large - negative - compensation for volatility risk, a component which was smaller in absolute terms - but not relative to …
Persistent link: https://www.econbiz.de/10013316627
A growing body of literature analyses the impact of news on companies' equity prices. We add to this literature by showing that the transmission channel of news to prices differs across sectors. First, we disentangle sectoral equity prices into components of expected future earnings and equity...
Persistent link: https://www.econbiz.de/10012422155
We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity consumption decisions: traders demand more liquidity...
Persistent link: https://www.econbiz.de/10011606065