After exchanges and alternative trading venues have introduced electronic execution mechanisms worldwide, the focus of the securities trading industry shifted to the use of fully electronic trading engines by banks, brokers and their institutional customers. These Algorithmic Trading engines...

We analyze the dynamics of liquidity in Xetra, an electronic open limit order book. We use the Exchange Liquidity Measure (XLM), a measure of the cost of a roundtrip trade of given size V. This measure captures the price and the quantity dimension of liquidity. We present descriptive statistics,...

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...

Mit dem Inkrafttreten der "Richtlinie über Märkte für Finanzinstrumente" (MiFID) im April 2004 ist das regulatorische Umfeld für den Wertpapierhandel in Europa auf ein neues Fundament gestellt worden. Die MiFID regelt neben der grenzüberschreitenden Erbringung von Wertpapierdienstleistungen...

Die Anpassung der EU-Richtlinie über Märkte für Finanzinstrumente (MiFID II) und die Einführung einer begleitenden Verordnung (MiFIR) im Jahr 2014 werden erhebliche Auswirkungen auf die Finanzmärkte in Europa haben und zu einer grundlegenden Neuordnung der Finanzmarktstrukturen führen....

This paper describes cash equity markets in Germany and their evolution against the background of technological and regulatory transformation. The development of these secondary markets in the largest economy in Europe is first briefly outlined from a historical perspective. This serves as the...

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 study circuit breakers in a fragmented, multi-market environment and investigate whether a coordination of circuit breakers is necessary to ensure their effectiveness. In doing so, we analyze 2,337 volatility interruptions on Deutsche Boerse and research whether a volume migration and an...

Circuit Breakers are widely implemented in 2016. Currently, the majority (86%) of the responding trading venues use circuit breakers to ensure investor protection and to increase market integrity and stability. Compared to the previous study (WFE, 2008), the proportion of exchanges using circuit...

Technological advances and regulatory initiatives have led to the emergence of a competitive, but fragmented, equity trading landscape in several markets around the world. While these changes have coincided with benefits like reduced transaction costs, advancements in trading technology, and...