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High frequency trading and mini flash crashes
Golub, Anton; Keane, John; Poon, Ser Huang - 2012
Top of the Book. We find strong evidence that Mini Flash Crashes have an adverse impact on market liquidity and are … associated with Fleeting Liquidity. …
Persistent link: https://www.econbiz.de/10011310178
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Are REITs more resilient than non-REITs? : evidence from natural experiments
Jain, Pawan; Upadhyay, Arun - In: Japan and the world economy : international journal of … 58 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10012940111
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High frequency trading and fragility
Cespa, Giovanni; Vives, Xavier - 2016
frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity … consumption decisions: traders demand more liquidity when the market becomes less liquid, which in turn makes the market more … illiquid, fostering the initial demand hike. This can generate market instability, where an initial dearth of liquidity …
Persistent link: https://www.econbiz.de/10011587522
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High frequency trading and fragility
Cespa, Giovanni; Vives, Xavier - 2017
frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity … consumption decisions: traders demand more liquidity when the market becomes less liquid, which in turn makes the market more … illiquid, fostering the initial demand hike. This can generate market instability, where an initial dearth of liquidity …
Persistent link: https://www.econbiz.de/10011637013
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Market microstrucutre design and flash crashes : a simulation approach
Brewer, Paul J.; Cvitanić, Jakša; Plott, Charles - In: Journal of applied economics 16 (2013) 2, pp. 223-250
Persistent link: https://www.econbiz.de/10010391223
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Impact of inventory-based electronic liquidity providers within a high-frequency event- and agent-based modeling framework
Mandes, Alexandru - 2015
This contribution addresses the impact of high-frequency electronic liquidity provision strategies on financial markets …
Persistent link: https://www.econbiz.de/10010531038
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Impact of electronic liquidity providers within a high-frequency agent-based modeling framework
Mandes, Alexandru - In: Computational economics 55 (2020) 2, pp. 407-450
Persistent link: https://www.econbiz.de/10012223640
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High frequency trading and comovement in financial markets
Malceniece, Laura; Malcenieks, Kārlis; Putniņš, Tālis J. - In: Journal of financial economics 134 (2019) 2, pp. 381-399
Persistent link: https://www.econbiz.de/10012166913
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High frequency trading and the 2008 short-sale ban
Brogaard, Jonathan; Hendershott, Terrence; Riordan, Ryan - In: Journal of financial economics 124 (2017) 1, pp. 22-42
Persistent link: https://www.econbiz.de/10011751407
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Raising issues about impact of high frequency trading on market liquidity
Naumenko, Vladimir - In: Financial econometrics and empirical market microstructure, (pp. 215-223). 2015
Persistent link: https://www.econbiz.de/10011326633