Search Results - subject_exact:"Market microstructure"

Makers and takers : the economics of the Kalshi prediction market

Bürgi, Constantin; Deng, Wanying; Whelan, Karl - 2026 - Original version: September 2025, this version: January 2026

Since 2021, Kalshi has operated as the only federally licensed prediction market in the United States. Using transaction-level data on over 300,000 contracts, we provide the first systematic evidence on its pricing. Kalshi's contract prices are informative and improve in accuracy as markets...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015605098

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Makers and takers : the economics of the Kalshi prediction market

Bürgi, Constantin; Deng, Wanying; Whelan, Karl - 2025

Book / Working Paper

Tokenized gold in crypto markets : tracking accuracy and portfolio performance

Ashfaq, Muhammad; Pfeifer, Maximilian; Gürpinar, Tan; … - 2026

This paper examines the relationship between traditional gold (XAU) and its tokenized counterparts (PAXG and XAUT), providing an empirical assessment of how digital representations of real-world assets align with their underlying benchmarks. Using multi-year time series data, the study evaluates...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015628496

ORAKULUM : an information-impact asset pricing model introducing a jump-diffusion framework for information-driven markets

Köntös, Zoltán; Rahimkulov, Ruszlan Megdetovics - 2026

Standard asset pricing models treat price dynamics as a stochastic process driven by undifferentiated random noise, rendering them agnostic about the primary engine of price discovery: the arrival of economically significant information. This paper introduces ORAKULUM, a structured...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015656182

FX Illiquidity networks and vehicle currencies

Pantalfini, Matteo - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015647638

Temporal dynamics of market microstructure in cryptocurrency perpetual futures : econometric evidence from centralized and decentralized exchanges

Zhivkov, Petar; Todorov, Venelin; Georgiev, Slavi - 2026

We apply rolling-window econometric methods, including GARCH(1,1) estimation, Bai-Perron structural break detection, CUSUM stability testing, and Granger causality analysis in bivariate VAR frameworks, to analyze the temporal dynamics of market integration in cryptocurrency perpetual futures,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015652336

Liquidity recovery dynamics following volatility shocks : evidence from an emerging equity market

Panigrahi, Ashok Kumar; Sharma, Anita; Sarda, Varun - 2026

Understanding how quickly trading liquidity recovers after volatility shocks is central to evaluating market resilience and trading costs in financial markets. The purpose of this study is to examine how quickly trading liquidity recovers after volatility-based stress shocks in an emerging...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015652372

Adverse selection in prediction markets : evidence from Kalshi

Bartlett, Robert; O'Hara, Maureen - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015652604

Transparency and dealer behavior : the case of MiFID II and the bund market

Lucke, Konrad - 2026

We study how the introduction of pre- and post-trade transparency requirements affected dealer behavior and market liquidity in the German sovereign bonds market. Using regulatory data on bond transactions collected under EU's Markets in Financial Instruments Regulation (MiFIR) and limit order...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015633933

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Transparency and dealer behavior: The case of MiFID II and the bund market

Lucke, Konrad - 2026

Book / Working Paper

Spot volatility measurement using a change-point duration model in the high-frequency market

Li, Zhicheng; Xing, Haipeng; Wang, Yan - 2025

Modeling high-frequency volatility is an important topic of market microstructure, as it provides the empirical tools to measure and analyze the rapid price movements. Yet, volatility at a high frequency often exhibits abrupt shifts driven by news and trading activity, making accurate estimation...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015584383

The price of processing : information frictions and market efficiency in DeFi

Azar, Pablo; Olivas, Sergio; Sinha, Nish D. - 2025

This paper investigates the speed of price discovery when information becomes publicly available but requires costly processing to become common knowledge. We exploit the unique institutional setting of hacks on decentralized finance (DeFi) protocols. Public blockchain data provides the precise...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015396109

A survey of rough volatility

Hiraki, Kazuhiro; Shinozaki, Yuji - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015559882

Does market microstructure affect time-varying efficiency? : evidence from emerging markets

Said, Bahrawar; Raza, Muhammad Wajid; Elshahat, Ahmed - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015055292

Who is minding the store? : order routing and competition in retail trade execution

Huang, Xing; Jorion, Philippe; Lee, Jeongmin; Schwarz, … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015135983

Anonymity in dealer-to-customer markets

Di Cagno, Daniela; Paiardini, Paola; Sciubba, Emanuela - 2024

We use a laboratory experiment to explore the effect of a change in pre-trade anonymity in a quote-driven dealer-to-customer market, organised as a request for quote (RFQ). We consider two treatments in which dealers interact with two types of customers (informed or uninformed). In the first...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015337775

The role of hedge funds in the Swiss franc foreign exchange market

Gentner, Jessica - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015564751

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The role of hedge funds in the Swiss franc foreign exchange market

Gentner, Jessica - 2024

Book / Working Paper

Outages in sovereign bond markets

Kerssenfischer, Mark; Helmus, Caspar - 2024

We use outages as natural experiments to study sovereign bond market functioning. When the euro area futures market goes down, trading activity on the cash market declines, liquidity evaporates, and transaction prices deviate from fundamental values. Tracing back this macro-level market...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014558830

Makers and takers: The economics of the Kalshi prediction market

Bürgi, Constantin; Deng, Wanying; Whelan, Karl - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015615922

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Makers and takers: The economics of the Kalshi prediction market

Bürgi, Constantin; Deng, Wanying; Whelan, Karl - 2025

Book / Working Paper

Intraday price pressure and order flow around U.S. Treasury auctions

Fleming, Michael J.; Liu, Weiling; Nguyen, Giang H. - 2026

Using 33 years of intraday Treasury data, we provide the first high-frequency evidence on auction-day price pressure: yields rise in the hours before auction and reverse afterward. This pressure strengthens when dealers face tighter risk-bearing constraints and weakens when investor demand is...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618080

Price discovery with a richer market microstructure noise

Dias, Gustavo Fruet; Fernandes, Marcelo; Scherrer, Cristina - 2026 - This version: January 29, 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015615683

Missing markets : microstructure and liquidity on the London Stock Exchange

Esteves, Rui Pedro; Mesevage, Gabriel Geisler - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015579738

Fuzzy representation of a limit order book as a measure of stock liquidity

Stereńczak, Szymon; Marszałek, Adam - 2026

In this paper, we seek to ascertain whether the recently developed ordered fuzzy number (OFN) representation of a limit order book (LOB) by Marszałek and Burczyński (2024) may serve as a measure of stock liquidity. In particular, we aim to test whether this measure contains similar or distinct...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015620968

Fee structure and order flow informativeness in the cryptocurrency market

Bozzetto, Christian; Sifat, Imtiaz; Nahidi, Narmin - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015651248

From emotion to action : how intraday investor sentiment drives market microstructure

Liu, Qing; Liu, Yanfeng; Son, Hosung - 2026

This study introduces the concept of "investor sentiment slices" to capture distinct emotional patterns within a single trading day. Using 4.41 million social media posts and natural language processing, we construct high-frequency sentiment indices representing four emotional states:...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015666473

A non-normal framework for price discovery : the Independent Component based Information Shares measure

Zema, Sebastiano Michele - 2023

I propose a new measure of price discovery, which I will refer to as the Independent Component based Information Share (IC-IS). This measure constitutes a variant of the widespread Information Share, with the main difference being it does not suffer the same identification issues. Under the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013489765

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A non-normal framework for price discovery: The Independent Component based Information Shares measure

Zema, Sebastiano Michele - 2023

Book / Working Paper

The effects of the LIBOR scandal on volatility and liquidity in LIBOR futures markets

Bachmair, Kilian - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013530819

Foreign exchange order flow as a risk factor

Burnside, Craig; Cerrato, Mario; Zhang, Zhekai - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015451411

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Foreign exchange order flow as a risk factor

Burnside, Craig; Cerrato, Mario; Zhang, Zhekai - 2023

Book / Working Paper

Foreign exchange order flow as a risk factor

Burnside, Craig; Cerrato, Mario; Zhang, Zhekai - 2020

Book / Working Paper

Foreign exchange order flow as a risk factor

Burnside, Craig; Cerrato, Mario; Zhang, Zhekai - 2018

Book / Working Paper

Foreign exchange order flow as a risk factor

Burnside, Craig; Cerrato, Mario; Zhang, Zhekai - 2018

Book / Working Paper

Foreign Exchange Order Flow as a Risk Factor

Burnside, Craig; Cerrato, Mario; Zhang, Zhekai - 2022

Book / Working Paper

Foreign Exchange Order Flow as a Risk Factor

Burnside, Craig - 2020

Book / Working Paper

Funding liquidity and stocks' market liquidity : structural estimation from high-frequency data

Aielli, Gian Piero; Pirino, Davide - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015594555

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Funding liquidity and stocks' market liquidity : structural estimation from high-frequency data

Aielli, Gian Piero; Pirino, Davide - 2023

Book / Working Paper

Decentralized finance and central bank communication

Hansson, Magnus - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014310233

Regime-dependent determinants of the uncollateralised overnight rate : the interplay of operating procedure and market microstructure

Edwin Prabu A; Bhattacharyya, Indranil - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014315303

Assessing the liquidity premium in the Italian bond market

Drudi, Maria Ludovica; Venturi, Giulio Carlo - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014420628

An ancient ancestor of the u.s. secured overnight financing rate determination : the florin fix

Booth, G. Geoffrey; Karagiannidis, Iordanis - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015427005

A Leland model for delta hedging in central risk books

Muhle-Karbe, Johannes; Wang, Zexin; Webster, Kevin T. - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014329890

The price of processing: Information frictions and market efficiency in DeFi

Azar, Pablo; Olivas, Sergio; Sinha, Nish D. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015448198

A Cross-Border Market Model with Limited Transmission Capacities

Kreher, Dörte; Milbradt, Cassandra - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015579074

High-frequency dynamics of Bitcoin futures: An examination of market microstructure

Pinto, Mateus Gonzalez de Freitas - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015635867

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High-frequency dynamics of Bitcoin futures : an examination of market microstructure

Pinto, Mateus Gonzalez de Freitas - 2025

Article

Is liquidity provision informative? : evidence from agricultural futures markets

Ma, Richie R.; Serra, Teresa - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015166730

Exploring the dynamic impact of transaction taxes on market quality in HFT and non-HFT environments : an agent-based modeling approach

Wang, Liming; Sun, Xuchu; Zhu, Hongliang; Li, Tangrong - 2025

This paper investigates the relationship among transaction taxes, high-frequency trading (HFT), and market quality. We use the agent-based modeling (ABM) approach to dynamically assess the impact of transaction taxes on market quality with and without high-frequency trading. Preliminary tests...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372156

Statistical predictions of trading strategies in electronic markets

Cartea, Álvaro; Cohen, Samuel N.; Graumans, Robert; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015339741

Large orders in small markets : execution with endogenous liquidity supply

Capponi, Agostino; Menkveld, Albert J.; Zhang, Hongzhong - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015357640

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Large orders in small markets : execution with endogenous liquidity supply

Capponi, Agostino; Menkveld, Albert J.; Zhang, Hongzhong - 2023

Book / Working Paper

Identifying the underlying components of high-frequency data : pure vs jump diffusion processes

Hizmeri, Rodrigo; Izzeldin, Marwan; Urga, Giovanni - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015405342

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Identifying the underlying components of high-frequency data : pure vs jump diffusion processes

Hizmeri, Rodrigo; Izzeldin, Marwan; Urga, Giovanni - 2025

Book / Working Paper

Fast and slow optimal trading with exogenous information

Cont, Rama; Micheli, Alessandro; Neuman, Eyal - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015394810

Revisiting EWMA in high-frequency portfolio optimization : a comparative assessment

Capera Romero, Laura; Opschoor, Anne - 2025

This paper compares the statistical and economic performance of state-of-the-art highfrequency based multivariate volatility models with a simpler, widely used alternative-the Exponentially Weighted Moving Average (EWMA) filter. Using over two decades of 100 U.S. stock returns (2002-2023), we...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015419907

Real-time tracking of public announcements in the limit order book

Arzandeh, Mehdi; Frank, Julieta; Daniels, Justin - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464824

Price discovery and efficiency in uniswap liquidity pools

Alexander, Carol; Chen, Xi; Deng, Jun; Fu, Qi - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464875

Fragmentation in European equity markets since 2019

Danieli, Lorenzo; Fruzza, Raoul; Le Moign, Caroline - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015455059

Does asynchronous market update matter? : re-examining the price discovery of stock index and futures in China

Han, Qian; Zhao, Chengzhi; Chen, Jing; Guo, Qian - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015412163

Auction-based tests of inventory control and private information in a centralized interdealer FX market

Bonaldi, Pietro; Villamizar, Mauricio - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015432713

Fintech, fractional trading, and order book dynamics : a study of US equities markets

Tripathi, Janhavi Shankar; Rengifo, Erick W. - 2025

This study investigates how the rise of commission-free FinTech platforms and the introduction of fractional trading (FT) have altered trading behavior and order book dynamics in the NASDAQ equity market. Leveraging high-frequency ITCH data from highly capitalized stocks-AAPL, AMZN, GOOG, and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015432784

Empirical evaluation of competing high-frequency estimators of quadratic variation

Bowers, Colin; Heaton, Christopher - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015425421

Market behaviors around bankruptcy and frozen funds withdrawal : trading stranded assets on FTX

Galati, Luca; Webb, Alexander; Webb, Robert I. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015562172