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Zabotina, Tatyana V. - 2002

Persistent link: https://www.econbiz.de/10003777581

Liquidity Resilience in the UK Gilt Futures Market : Evidence from the Order Book

Fullwood, Jonathan - 2018

We analyse liquidity dynamics in the UK long gilt futures market. We use a novel order book dataset to assess liquidity … favour of resilience. We further show that this resilience does not come at the expense of a negative liquidity trend. These … liquidity in the UK long gilt futures market …

Persistent link: https://www.econbiz.de/10012913735

Single stock circuit breakers on the London Stock Exchange : do they improve subsequent market quality?

Brugler, James; Linton, Oliver - 2014

This paper uses proprietary data to evaluate the efficacy of single-stock circuit breakers on the London Stock Exchange during July and August 2011. We exploit exogenous variation in the length of the uncrossing periods that follow a trading suspension to estimate the effect of auction length on...

Persistent link: https://www.econbiz.de/10010245302

Are High-Frequency Traders Anticipating the Order Flow? Cross-Venue Evidence from the UK Market

Aquilina, Matteo - 2017

Allegations have been made that High Frequency Traders (HFTs) prey on other market participants and only intermediate trades that would have taken place without their involvement. There are claims that HFTs can predict when orders are going to arrive at different trading venues and trade in...

Persistent link: https://www.econbiz.de/10012968090

Financialization of the Early Victorian Economy and the London Stock Exchange

Odlyzko, Andrew - 2016

Previously unknown basic statistics are obtained about the operations of the London Stock Exchange (LSE) in early Victorian times. Integration of data from the Bank of England Archive with price reports, press coverage, and other sources produces estimates for volume of transactions,...

Persistent link: https://www.econbiz.de/10012990690

Trading Activity and Price Impact in Parallel Markets : SETS vs. Off-Book Market at the London Stock Exchange

Carollo, Angelo - 2011

We empirically study the trading activity in the electronic on-book segment and in the dealership off-book segment of the London Stock Exchange, investigating separately the trading of active market members and of other market participants which are non-members. We ﬁnd that (i) the volume...

Persistent link: https://www.econbiz.de/10013129180

The implications of a price anchoring effect at the upstairs market of the London Stock Exchange

Verousis, Thanos; Ap Gwilym, Owain - In: International review of financial analysis 32 (2014), pp. 37-46

Persistent link: https://www.econbiz.de/10010461347

Informed trading and market structure

Cai, Charlie X.; Harris, Jeffrey H.; Hudson, Robert S.; … - In: European financial management : the journal of the … 21 (2015) 1, pp. 148-177

Persistent link: https://www.econbiz.de/10010516692

Trading Mechanisms and Market Quality : Evidence from the London Stock Exchange

Giouvris, Evangelos - 2023

concentrated on comparing changes in liquidity, volatility, trading volume and asymmetric information under different trading … settings. Informational efficiency and spread sensitivity to volatility has been neglected, however. This paper looks into … informational efficiency and spread sensitivity to volatility under different trading settings namely a dealership, an order driven …

Persistent link: https://www.econbiz.de/10014254746

Liquidity resilience in the UK gilt futures market : evidence from the order book

Fullwood, Jonathan; Massacci, Daniele - 2018

Persistent link: https://www.econbiz.de/10011919811