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The Euro overnight interbank market and ECB's liquidity management policy during tranquil and turbulent times
Cassola, Nuno; Huetl, Michael - European Central Bank - 2010
We analyze the impact of the recent financial market crisis on the Euro Overnight Index Average (EONIA) and interbank market trading and assess the effectiveness of the ECB liquidity policy between 07/2007 - 08/2008. We extend the model of [QM06] by (i) incorporating the microstructure of the...
Persistent link: https://www.econbiz.de/10008678674
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The Euro overnight interbank market and ECB's liquidity management policy during tranquil and turbulent times
Cassola, Nuno; Huetl, Michael - 2010
We analyze the impact of the recent financial market crisis on the Euro Overnight Index Average (EONIA) and interbank market trading and assess the effectiveness of the ECB liquidity policy between 07/2007 - 08/2008. We extend the model of [QM06] by (i) incorporating the microstructure of the...
Persistent link: https://www.econbiz.de/10011605293
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The Euro overnight interbank market and ECB's liquidity management policy during tranquil and turbulent times
Cassola, Nuno; Huetl, Michael - 2010
We analyze the impact of the recent financial market crisis on the Euro Overnight Index Average (EONIA) and interbank market trading and assess the effectiveness of the ECB liquidity policy between 07/2007 - 08/2008. We extend the model of [QM06] by (i) incorporating the microstructure of the...
Persistent link: https://www.econbiz.de/10008659390
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The Euro Overnight Interbank Market and ECB's Liquidity Management Policy During Tranquil and Turbulent Times
Cassola, Nuno - 2010
We analyze the impact of the recent financial market crisis on the Euro Overnight Index Average (EONIA) and interbank market trading and assess the effectiveness of the ECB liquidity policy between 07/2007 - 08/2008. We extend the model of [QM06] by (i) incorporating the microstructure of the...
Persistent link: https://www.econbiz.de/10013138104
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Algorithmic Trading Patterns in Xetra Orders
Prix, Johannes; Loistl, Otto; Huetl, Michael - In: The European Journal of Finance 13 (2007) 8, pp. 717-739
Computerized trading controlled by algorithms - “Algorithmic Trading” - has become a fashionable term in investment banking. We investigate a set of Xetra order data to find traces of algorithmic trading by studying the lifetimes of cancelled orders. Even though it is widely agreed that an...
Persistent link: https://www.econbiz.de/10005438036
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Cross-sectional liquidity interactions from intraday perspectives
Kopp, Emanuel; Huetl, Michael; Loistl, Otto; Prix, Johannes - In: New developments in financial modelling, (pp. 213-244). 2008
Persistent link: https://www.econbiz.de/10003981837
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Algorithmic trading patterns in Xetra orders
Prix, Johannes; Loistl, Otto; Huetl, Michael - In: The European journal of finance 13 (2007) 7/8, pp. 717-739
Persistent link: https://www.econbiz.de/10003610013
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Algorithmic Trading Patterns in Xetra Orders
Prix, Johannes; Loistl, Otto; Huetl, Michael - In: The European journal of finance 13 (2007) 8, pp. 717-740
Persistent link: https://www.econbiz.de/10007881650
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Algorithmic Trading Patterns in Xetra Orders
Prix, Johannes; Loistl, Otto; Huetl, Michael - In: The European journal of finance 13 (2007) 7-8, pp. 717-740
Persistent link: https://www.econbiz.de/10007902814
Cover Image
Algorithmic Trading Patterns in Xetra Orders
Prix, Johannes - 2007
Computerized trading controlled by algorithms - 'Algorithmic Trading' - has become a fashionable term in investment banking. We investigate a set of Xetra order data to find traces of algorithmic trading by studying the lifetimes of canceled orders. Even though it is widely agreed that an...
Persistent link: https://www.econbiz.de/10012777514