We investigate different designs of circuit breakers implemented on European trading venues and examine their effectiveness to manage excess volatility and to preserve liquidity. Specifically, we empirically analyze volatility and liquidity around volatility interruptions implemented on the...

The financial services industry is among the leading industries in IT-spending. Still, little research exists which investigates how IT influences the financial services sector. Against this background, we study how a technology which emerged within the last years affects securities trading:...

With the introduction of the High Frequency Trading (HFT) Act in May 2013, Germany has become the first country that regulates securities trading firms based on their infrastructure and order book activity characteristics. In order to increase the transparency of HFT firms and to facilitate...

The general concept of a Securities Transaction Tax is controversial among academics and politicians. While theoretical research is quite advanced, the empirical guidance in a fragmented market context is still scarce. Possible negative effects for market liquidity and market efficiency are...

We investigate different designs of circuit breakers implemented on European trading venues and examine their effectiveness to manage excess volatility and to preserve liquidity. Specifically, we empirically analyze volatility and liquidity around volatility interruptions implemented on the...

We analyze limit order book resiliency following liquidity shocks initiated by large market orders. Based on a unique data set, we investigate whether high-frequency traders are involved in the replenishment of the order book. Therefore, we relate the net liquidity provision of high-frequency...