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The impact of fragmentation, exchange fees and liquidity provision on market quality

Aitken, Michael J.; Chen, Haoming; Foley, Sean - In: Journal of empirical finance 41 (2017), pp. 140-160

Persistent link: https://www.econbiz.de/10011746967

Trade size, high-frequency trading, and colocation around the world

Aitken, Michael J.; Cumming, Douglas J.; Zhan, Feng - In: The European journal of finance 23 (2017) 7/9, pp. 781-801

Persistent link: https://www.econbiz.de/10011740206

The Impact of Fragmentation, Exchange Fees and Liquidity Provision on Market Quality

Aitken, Michael J. - 2016

We analyse the impact of two major financial frictions on market quality in a high-frequency environment: market fragmentation and exchange fees. We find fragmentation significantly improves market quality, with benefits increasing with greater fragmentation. Fragmentation significantly reduces...

Persistent link: https://www.econbiz.de/10013007431

Life in the pits: competitive market making and inventory control - further Australian evidence

Frino, Alex; Forrest, Peter; Duffy, Matthew - In: Journal of multinational financial management 9 (1999) 3/4, pp. 373-385

Persistent link: https://www.econbiz.de/10001506205

Stock market closure and intraday stock index futures market volatility : 'contagion', bid-ask bias or both?

Fong, Kingsley; Frino, Alex - In: Pacific-Basin finance journal 9 (2001) 3, pp. 219-232

Persistent link: https://www.econbiz.de/10001585394

The impact of transaction costs on price discovery : evidence from cross-listed stock index futures contracts

Frino, Alex; West, Andrew - In: Pacific-Basin finance journal 11 (2003) 2, pp. 139-151

Persistent link: https://www.econbiz.de/10001758257

Asymmetric price behaviour surrounding block trades : a market microstructure explanation

Frino, Alex (contributor); Mollica, Vito (contributor); … - 2003 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001767506

The propensity for local traders in futures markets to ride losses : evidence of irrational or rational behavior?

Frino, Alex; Johnstone, David; Zheng, Hui - In: Journal of banking & finance 28 (2004) 2, pp. 353-372

Persistent link: https://www.econbiz.de/10001863273

A note on execution costs for stock index futures : information versus liquidity effects

Berkman, Henk; Brailsford, Timothy J.; Frino, Alex - In: Journal of banking & finance 29 (2005) 3, pp. 565-577

Persistent link: https://www.econbiz.de/10002516846

Reporting delays and the information content of off-market trades

Frino, Alex; Galati, Luca; Gerace, Dionigi - In: The journal of futures markets 42 (2022) 11, pp. 2053-2067

Persistent link: https://www.econbiz.de/10013465864