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The quality of price formation at market openings and closings: Evidence from the Nasdaq stock market
Pagano, Michael S.; Peng, Lin; Schwartz, Robert A. - 2008
We assess the quality of opening and closing prices for Nasdaq stocks by examining the effect that opening and closing … Nasdaq's calls have reduced this volatility, reorganized order flow, and lowered volatility persistence. Opening and closing … prices had previously contained appreciable transitory components which have been dampened by Nasdaq's market structure …
Persistent link: https://www.econbiz.de/10010303693
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Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes
van der Wel, Michel; Menkveld, Albert; Sarkar, Asani - 2009
We develop a new likelihood-based approach to sign trades in the absence of quotes. It is equally efficient as existing MCMC methods, but more than 10 times faster. It can deal with the occurrence of multiple trades at the same time, and noisily observed trade times. We apply this method to a...
Persistent link: https://www.econbiz.de/10010326072
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Entscheidungsregeln und ihr Einfluss auf den Aktienkurs
Trifan, Emanuela - 2004
Der vorliegende Beitrag quantifiziert anhand eines Marktmikrostruktur-Modells mit asymmetrischer Information den …
Persistent link: https://www.econbiz.de/10010323722
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Splitting Orders in Fragmented Markets
Menkveld, Bert - 2001
A number of recent theoretical studies have explored trading in fragmented markets, e.g. Biais etal. (2000), a phenomenon increasingly witnessed in modern markets. The key assumptiongenerating the results is that there is at least one liquidity demander exploiting access to allmarkets by...
Persistent link: https://www.econbiz.de/10010324853
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Algorithmic trading engines versus human traders: Do they behave different in securities markets?
Gomber, Peter; Gsell, Markus - 2009
After exchanges and alternative trading venues have introduced electronic execution mechanisms worldwide, the focus of the securities trading industry shifted to the use of fully electronic trading engines by banks, brokers and their institutional customers. These Algorithmic Trading engines...
Persistent link: https://www.econbiz.de/10010303683
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Modelling trades-through in a limit order book using hawkes processes
Toke, Ioane Muni; Pomponio, Fabrizio - In: Economics: The Open-Access, Open-Assessment E-Journal 6 (2012) 2012-22, pp. 1-23
The authors model trades-through, i.e. transactions that reach at least the second level of limit orders in an order book. Using tick-by-tick data on Euronext-traded stocks, they show that a simple bivariate Hawkes process fits nicely their empirical observations of tradesthrough. The authors...
Persistent link: https://www.econbiz.de/10010309222
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Decision Rules and their Influence on Asset Prices
Trifan, Emanuela - 2004
This paper develops a market microstructure model with asymmetric information in order to quantify the influence which practical decision rules have on asset process. The users of practical decision rules have incomplete information at their disposal and trade in a market with both fully...
Persistent link: https://www.econbiz.de/10010262988
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Transaction costs, liquidity and expected returns at the Berlin stock exchange, 1892-1913
Burhop, Carsten; Gelman, Sergey - 2010
We estimate effective spreads and round-trip transaction costs at the Berlin Stock Exchange for the period 1892-1913 using daily stock market returns for a sample of 27 stocks. Our results show that transaction costs at the main stock exchange in a bank-based financial system at the turn of the...
Persistent link: https://www.econbiz.de/10010270431
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The market impact of a limit order
Hautsch, Nikolaus; Huang, Ruihong - 2009
Despite their importance in modern electronic trading, virtually no systematic empirical evidence on the market impact of incoming orders is existing. We quantify the short-run and long-run price effect of posting a limit order by proposing a high-frequency cointegrated VAR model for ask and bid...
Persistent link: https://www.econbiz.de/10010270722
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The market impact of a limit order
Hautsch, Nikolaus; Huang, Ruihong - 2009
Despite their importance in modern electronic trading, virtually no systematic empirical evidence on the market impact of incoming orders is existing. We quantify the short-run and long-run price effect of posting a limit order by proposing a high-frequency cointegrated VAR model for ask and bid...
Persistent link: https://www.econbiz.de/10010303710