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Uncertain execution in order-driven markets

Sánchez-Betancourt, Leandro - 2021

Persistent link: https://www.econbiz.de/10012939003

Pricing fx forwards in OTC markets - new evidence for the pricing mechanism when faced with counterparty risk

Leonhardt, A.; Rathgeber, Andreas W.; Stadler, Johannes; … - In: Applied economics 47 (2015) 25/27, pp. 2860-2877

Persistent link: https://www.econbiz.de/10010519848

Liquidity risk in limit order book markets

Mayston, Daniel (contributor) - 2006

Persistent link: https://www.econbiz.de/10003494297

Strategic market making and risk sharing

Boco, Hervé; Germain, Laurent; Rousseau, Fabrice - In: Journal of mathematical finance 7 (2017) 1, pp. 144-179

Persistent link: https://www.econbiz.de/10011658456

Risk and return in high-frequency trading

Baron, Matthew; Brogaard, Jonathan; Hagströmer, Björn; … - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 3, pp. 993-1024

Persistent link: https://www.econbiz.de/10012139381

Risk and Return in High-Frequency Trading

Baron, Matthew - 2018

We study performance and competition among high-frequency traders (HFTs). We construct measures of latency and find that differences in relative latency account for large differences in HFTs' trading performance. HFTs that improve their latency rank due to colocation upgrades see improved...

Persistent link: https://www.econbiz.de/10012937984

Primary market characteristics and secondary market frictions of stocks

Boehme, Rodney; Çolak, Gönül - In: Journal of financial markets 15 (2012) 2, pp. 286-327

Persistent link: https://www.econbiz.de/10009614482

Determinants of risk of stocks traded on the Toronto stock exchange

Amoako-Adu, Ben; Ben-Zion, Uri - 1982

Persistent link: https://www.econbiz.de/10013298923

Market liquidity risk : implications for asset pricing, risk management, and financial regulation

Van der Merwe, Andria - 2015 - 1. ed.

Musings on liquidity -- Financial crises and liquidity traffic jams -- Market structures and institutional arrangements of trading -- Asset pricing and liquidity models -- Stories of liquidity and credit -- Financial regulation and liquidity risk management

Persistent link: https://www.econbiz.de/10011318554

Risk metrics and fine tuning of high-frequency trading strategies

Cartea, Álvaro; Jaimungal, Sebastian - In: Mathematical finance : an international journal of … 25 (2015) 3, pp. 576-611

Persistent link: https://www.econbiz.de/10011350564