Similar Search Results

High frequency trading and end-of-day price dislocation

Aitken, Michael J.; Cumming, Douglas J.; Zhang, Feng - 2013

of day price dislocation is more likely to be the result of market manipulation on days of option expiry dates and end of …

Persistent link: https://www.econbiz.de/10010201320

The behavior of high-frequency traders under different market stress scenarios

Megarbane, Nicolas; Saliba, Pamela; Lehalle, Charles-Albert - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-54

Persistent link: https://www.econbiz.de/10011988891

Price jump prediction in a limit order book

Zheng, Ban; Moulines, Eric; Abergel, Frédéric - In: Journal of mathematical finance 3 (2013) 2, pp. 242-255

Persistent link: https://www.econbiz.de/10010239589

Information and inventories in high-frequency trading

Muhle-Karbe, Johannes; Webster, Kevin - 2015

We study how short-term informational advantages can be monetized in a high-frequency setting, when large inventories are explicitly penalized. We find that if most of the additional information is revealed regardless of the high-frequency traders' actions, then fast inventory management allows...

Persistent link: https://www.econbiz.de/10011412266

Raising issues about impact of high frequency trading on market liquidity

Naumenko, Vladimir - In: Financial econometrics and empirical market microstructure, (pp. 215-223). 2015

Persistent link: https://www.econbiz.de/10011326633

Evidence of algorithmic trading from Indian equity market : interpreting the transaction velocity element of financialization

Dubey, Ritesh Kumar; Chauhan, Yogesh; Syamala, … - In: Research in international business and finance 42 (2017), pp. 31-38

Persistent link: https://www.econbiz.de/10011747220

Analysis of events pertaining to algorithmic and high frequency trading in India

Joglekar, Sonal - In: Research bulletin / The Institute of Cost Accountants … 42 (2016) 1, pp. 35-44

Persistent link: https://www.econbiz.de/10011621666

Market stability vs. market resilience : regulatory policies experiments in an agent-based model with low- and high-frequency trading

Leal, Sandrine Jacob; Napoletano, Mauro - 2016

Persistent link: https://www.econbiz.de/10011644118

High frequency trading and fragility

Cespa, Giovanni; Vives, Xavier - 2016

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/10011587522

High frequency trading and fragility

Cespa, Giovanni; Vives, Xavier - 2017

Persistent link: https://www.econbiz.de/10011637013