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High frequency traders in a simulated market
Hanson, Thomas A. - In: Review of accounting & finance 15 (2016) 3, pp. 329-351
Persistent link: https://www.econbiz.de/10011607960
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An order-driven agent-based artificial stock market to analyze liquidity costs of market orders in the Taiwan stock market
Huang, Yi-ping; Chen, Shu-Heng; Hung, Min-chin; Yu, Tina - In: Natural computing in computational finance : volume 4, (pp. 163-179). 2011
Persistent link: https://www.econbiz.de/10009423546
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Commonality in returns, order flows, and liquidity in the Greek stock market
Dunne, Peter G.; Moore, Michael J.; Papavassiliou, … - In: The European journal of finance 17 (2011) 7/8, pp. 577-587
Persistent link: https://www.econbiz.de/10009509845
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The role of algorithmic trading in stock liquidity and commonality in electronic limit order markets
Moriyasu, Hiroshi; Wee, Marvin; Yu, Jing - In: Pacific-Basin finance journal 49 (2018), pp. 103-128
Persistent link: https://www.econbiz.de/10012117677
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The Role of Algorithmic Trading in Stock Liquidity and Commonality in Electronic Limit Order Markets
Moriyasu, Hiroshi - 2018
of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the … Tokyo Stock Exchange. After controlling for endogeneity, we find algorithmic trading increases stock liquidity by narrowing … spreads and increasing market depth. Furthermore, algorithmic trading increases commonality in liquidity at both high and low …
Persistent link: https://www.econbiz.de/10012938466
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The Role of Algorithmic Trading in Stock Liquidity and Commonality in Electronic Limit Order Markets
Moriyasu, Hiroshi - 2018
of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the … Tokyo Stock Exchange. After controlling for endogeneity, we find algorithmic trading increases stock liquidity by narrowing … spreads and increasing market depth. Furthermore, algorithmic trading increases commonality in liquidity at both high and low …
Persistent link: https://www.econbiz.de/10012922108
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Optimal Liquidation in a Level-I Limit Order Book for Large Tick Stocks
Jacquier, Antoine (Jack) - 2017
We propose a framework to study the optimal liquidation strategy in a limit order book for large-tick stocks, with the spread equal to one tick. All order book events (market orders, limit orders and cancellations) occur according to independent Poisson processes, with parameters depending on...
Persistent link: https://www.econbiz.de/10012965973
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Dark pools in European equity markets : emergence, competition and implications
Petrescu, Monica; Wedow, Michael - 2017
. Finally, this paper evaluates the benefits and costs of the use of dark pools from the perspective of individual traders as …
Persistent link: https://www.econbiz.de/10011673614
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Agent-based simulation of an artificial financial market : effect of short selling on market stability
Bensaid, Khalid; Aboulaich, Rajae - In: Journal of world economic review 15 (2020) 2, pp. 135-144
Persistent link: https://www.econbiz.de/10012631186
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Impact of the change in Tick size on transaction costs and liquidity : an empirical investigation of the Taiwan Stock Exchange
Kuo, Su-wen; Huang, Chin-sheng; Chen, Chia-cheng - In: Asia-Pacific journal of financial studies 39 (2010) 4, pp. 524-551
Persistent link: https://www.econbiz.de/10009231515