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High-frequency lead-lag effects and cross-asset linkages : a multi-asset lagged adjustment model

Buccheri, Giuseppe; Corsi, Fulvio; Peluso, Stefano - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 3, pp. 605-621

Persistent link: https://www.econbiz.de/10012588002

Big data analytics, order imbalance and the predictability of stock returns

Akyildirim, Erdinc; Sensoy, Ahmet; Gulay, Guzhan; … - In: Journal of multinational financial management 62 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10013271582

Understanding intraday momentum strategies

Rosa, Carlo - In: The journal of futures markets 42 (2022) 12, pp. 2218-2234

Persistent link: https://www.econbiz.de/10013465878

High frequency trading in the equity markets during US treasury POMO

Gao, Cheng; Mizraeh, Bruce - In: Uncertainty, expectations and asset price dynamics : …, (pp. 81-103). 2018

Persistent link: https://www.econbiz.de/10012015000

High Frequency Trading in the Equity Markets During US Treasury POMO

Gao, Cheng - 2018

We analyze high frequency trading (HFT) activity in equities during U.S. Treasury permanent open market (POMO) purchases by the Federal Reserve. We construct a model to study HFT quote and trade behavior when private information is released and confirm it empirically. We estimate that HFT firms...

Persistent link: https://www.econbiz.de/10012938427

Order aggressiveness, price impact, and investment performance in a pure order-driven stock market

Hung, Pi-Hsia; Chen, An-sing; Wu, Yun-Lin - In: Asia-Pacific journal of financial studies 44 (2015) 4, pp. 635-660

Persistent link: https://www.econbiz.de/10011470988

Parallel optimization of sparse portfolios with AR-HMMs

Sipos, I. Róbert; Ceffer, Attila; Levendovszky, János - In: Computational economics 49 (2017) 4, pp. 563-578

Persistent link: https://www.econbiz.de/10011762135

Market Order Flows, Limit Order Flows and Returns : Theory and Evidence

Kozhan, Roman - 2019

We study the relation between limit order flow, market order flow and returns. We develop a model where market-makers face inventory risk and adverse selection and show how prices depend on market and limit order flows. In the model, market-makers receive information through trade with customers...

Persistent link: https://www.econbiz.de/10012904989

Order flows and stock returns : compensation for market makers with inventory concerns

Kang, Moonsoo; Lee, Bong-soo - In: The financial review : the official publication of the … 49 (2014) 3, pp. 511-538

Persistent link: https://www.econbiz.de/10010401376

Private information flow and price discovery in the US treasury market

Jiang, George J.; Lo, Ingrid - In: Journal of banking & finance 47 (2014), pp. 118-133

Persistent link: https://www.econbiz.de/10010506499