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Judgement day : algorithmic trading around the Swiss franc cap removal

Breedon, Francis J.; Chen, Louisa; Ranaldo, Angelo; … - 2018

that algorithmic traders withdrew liquidity and generated uninformative volatility in Swiss franc currency pairs, while …

Persistent link: https://www.econbiz.de/10011906367

Intraday price discovery in fragmented markets

Ozturk, Sait; Wel, Michel van der; Dijk, Dick van - 2014

) does not lead the entire day. Spreads, the number of trades and volatility can explain almost half of the intraday …

Persistent link: https://www.econbiz.de/10010250525

Low-latency trading and price discovery : evidence from the Tokyo Stock Exchange in the pre-opening and opening periods

Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2017 - This version: April 2017

-opening period contributes to market quality, defined by price discovery and liquidity provision, in the opening auction. We use a …

Persistent link: https://www.econbiz.de/10012061992

The behavior of high-frequency traders under different market stress scenarios

Megarbane, Nicolas; Saliba, Pamela; Lehalle, Charles-Albert - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-54

Persistent link: https://www.econbiz.de/10011988891

Information and inventories in high-frequency trading

Muhle-Karbe, Johannes; Webster, Kevin - 2015

We study how short-term informational advantages can be monetized in a high-frequency setting, when large inventories are explicitly penalized. We find that if most of the additional information is revealed regardless of the high-frequency traders' actions, then fast inventory management allows...

Persistent link: https://www.econbiz.de/10011412266

Liquidity withdrawal in the FX spot market : a cross-country study using high-frequency data

Stenfors, Alexis; Susai, Masayuki - In: Journal of international financial markets, … 59 (2019), pp. 36-57

Persistent link: https://www.econbiz.de/10012127871

How Do Price Limits Influence French Market Microstructure? A High Frequency Data Analysis in Terms of Return, Volatility and Volume

Michalon, Karine - 2012

stock exchange market. We analyze the impact of such halts on the main market factors: return, volatility and volume. Our …

Persistent link: https://www.econbiz.de/10013101249

Estimating probability of informed trading on the Bucharest stock exchange

Cepoi, Cosmin Octavian; Toma, Filip Mihai - In: Finance a úvěr 66 (2016) 2, pp. 140-160

Persistent link: https://www.econbiz.de/10011618713

Strategies on Initial Public Offering of Company Equity at Stock Exchanges in Imperfect Highly Volatile Global Capital Markets with Induced Nonlinearities

Ledenyov, Dimitri - 2015

-building. We focus on the IPO initial underpricing, long-run performance and after market liquidity problems. 1. We propose that …-determinant for the successful IPO deal completion. We propose the Ledenyov theory on the origins of the IPO underpricing and long …

Persistent link: https://www.econbiz.de/10013026463

High-frequency traders' evolving role as market makers

Banerjee, Anirban; Roy, Prince - In: Pacific-Basin finance journal 82 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10014463519