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Resiliency: Cross-venue dynamics with Hawkes processes
Pelizzon, Loriana; Sagade, Satchit; Vozian, Katia - 2020
Market fragmentation and technological advances increasing the speed of trading altered the functioning and stability … that when liquidity becomes scarce Chi-X is a less resilient venue than LSE with variations existing across stocks and time …. In comparison with LSE, Chi-X has more, longer, and severer liquidity shocks. Whereas the vast majority of liquidity …
Persistent link: https://www.econbiz.de/10012300782
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Resiliency : cross-venue dynamics with Hawkes processes
Pelizzon, Loriana; Sagade, Satchit; Vozian, Katia - 2020 - This version: September 16th, 2020
Market fragmentation and technological advances increasing the speed of trading altered the functioning and stability … that when liquidity becomes scarce Chi-X is a less resilient venue than LSE with variations existing across stocks and time …. In comparison with LSE, Chi-X has more, longer, and severer liquidity shocks. Whereas the vast majority of liquidity …
Persistent link: https://www.econbiz.de/10012300550
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Coming early to the party
Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2020
Persistent link: https://www.econbiz.de/10012244860
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Coming early to the party
Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2017 - This Version: September 15, 2017
others, suggesting that there is no speed advantage. HFTs lead price discovery, and neither harm nor improve liquidity. They …
Persistent link: https://www.econbiz.de/10011723400
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Does monetary policy impact market integration? : evidence from developed and emerging markets
Caporin, Massimiliano; Pelizzon, Loriana; Plazzi, Alberto - 2017
This paper shows that FED policy announcements lead to a significant increase in international co-movement in the cross … co-movement, even in the Eurozone …
Persistent link: https://www.econbiz.de/10011874674
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The cost of clearing fragmentation
Benos, Evangelos; Huang, Wenqian; Menkveld, Albert J.; … - 2019
Persistent link: https://www.econbiz.de/10012201069
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The cost of clearing fragmentation
Benos, Evangelos; Huang, Wenqian; Menkveld, Albert J.; … - 2019
Persistent link: https://www.econbiz.de/10012168738
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Shades of darkness : a pecking order of trading venues
Menkveld, Albert J.; Yueshen, Bart Zhou; Zhu, Haoxiang - In: Journal of financial economics 124 (2017) 3, pp. 503-534
Persistent link: https://www.econbiz.de/10011751481
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The cost of clearing fragmentation
Benos, Evangelos; Huang, Wenqian; Menkveld, Albert J.; … - In: Management science : journal of the Institute for … 70 (2024) 6, pp. 3581-3596
Persistent link: https://www.econbiz.de/10014551909
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Splitting orders in overlapping markets: a study of cross-listed stocks
Menkveld, Albert J. - Faculteit der Economische Wetenschappen en … - 2006
Securities are increasingly traded through multiple venues. Chowdhry and Nanda (1991) show that sophisticated investors benefit by splitting orders across markets at the cast of local investors who only trade through one venue. If trading hours do not perfectly overlap, we can test for...
Persistent link: https://www.econbiz.de/10010782198