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The Microstructure of Endogenous Liquidity Provision

Foster, F. Douglas - 2020

makers (DMMs), thereby generating a gap between liquidity supply from DMMs and liquidity demand by informed traders. As a …

Persistent link: https://www.econbiz.de/10012846909

How Does Algorithmic Trading Improve Market Quality?

Lyle, Matthew R. - 2018

We use a comprehensive panel of NYSE order book data to show that the liquidity and quoting efficiency improvements associated with algorithmic trading (AT) are attributable to enhanced monitoring by liquidity providers. We find that variation in liquidity provider monitoring uniquely explains...

Persistent link: https://www.econbiz.de/10012937368

Diving into dark pools

Buti, Sabrina; Rindi, Barbara; Werner, Ingrid M. - 2022

This paper examines unique data on dark pool activity for a large cross-section of US stocks in 2009. Dark pool activity is concentrated in liquid stocks. Nasdaq (AMEX) stocks have significantly higher (lower) dark pool activity than NYSE stocks controlling for liquidity. For a given stock, dark...

Persistent link: https://www.econbiz.de/10012816610

Options Market Makers' Hedging and Informed Trading : Theory and Evidence

Huh, Sahn-Wook - 2014

We develop a model to analyze the effects of hedging activities by options market makers (OMMs) facing informed trading. The model suggests that OMMs' hedging activities motivated by the adverse-selection risk lead to wider spreads in both stock and options markets. The hedging effect on spreads...

Persistent link: https://www.econbiz.de/10013065728

Volatility Information in Index Option Demand

Puhan, Tatjana Xenia - 2014

This paper provides evidence that demand for equity index options has predictive power for future volatility beyond … that trade on the volatility informed index option demand yield annualized Sharpe Ratios that are up to twice as large as … options market. In times of high volatility, the demand for straddle positions contains significantly more information and has …

Persistent link: https://www.econbiz.de/10013063729

Dark pools in European equity markets : emergence, competition and implications

Petrescu, Monica; Wedow, Michael - 2017

This paper considers the growth of dark pools: trading venues for equities without pre-trade transparency. It first documents the emergence and expansion of dark pools in European equity markets in the context of regulatory changes and increased high-frequency trading (HFT). It finds that the...

Persistent link: https://www.econbiz.de/10011673614

Liquidity in the German stock market

Johann, Thomas; Scharnowski, Stefan; Theissen, Erik; … - 2019

This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We make use of a new publicly available dataset, the Market...

Persistent link: https://www.econbiz.de/10012020325

Measuring and modelling the market liquidity of stocks : methods and issues

Gabrielsen, Alexandros; Marzo, Massimiliano; Zagaglia, Paolo - In: Journal of finance and investment analysis 1 (2012) 4, pp. 89-129

liquid when the prevailing structure of transactions provides a prompt and secure link between the demand and supply of …

Persistent link: https://www.econbiz.de/10009746071

Measuring market liquidity : an introductory survey

Gabrielsen, Alexandros; Marzo, Massimiliano; Zagaglia, Paolo - 2011 - This version: December 13, 2011

prevailing structure of transactions provides a prompt and secure link between the demand and supply of assets, thus delivering …

Persistent link: https://www.econbiz.de/10011734536

The impact of iceberg orders in limit order books

Frey, Stefan; Sandås, Patrik - 2009

We examine the impact of iceberg orders on the price and order flow dynamics in limit order books. Iceberg orders allow traders to simultaneously hide a large portion of their order size and signal their interest in trading to the market. We show that when the market learns about iceberg orders...

Persistent link: https://www.econbiz.de/10003857817