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  • Search: subject_exact:"Market microstructure"
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Year of publication
Subject
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Market microstructure 2,153 Marktmikrostruktur 1,948 Theorie 1,017 Theory 1,002 USA 850 United States 844 market microstructure 631 Börsenkurs 553 Share price 543 Wertpapierhandel 470 Securities trading 458 Volatility 375 Volatilität 372 Devisenmarkt 281 Foreign exchange market 274 Schätzung 272 Wettbewerb 268 Estimation 264 Bid-ask spread 248 Geld-Brief-Spanne 242 Aktienmarkt 237 Stock market 227 Asymmetric information 197 Liquidity 195 Asymmetrische Information 192 Finanzmarkt 190 Electronic trading 189 Elektronisches Handelssystem 187 Financial market 187 Handelsvolumen der Börse 185 Trading volume 185 Wechselkurs 185 Exchange rate 180 Börse 177 Bourse 174 Market Microstructure 146 Deutschland 143 Capital income 134 Kapitaleinkommen 134 Germany 130
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Online availability
All
Free 1,038 Undetermined 499
Type of publication
All
Article 1,454 Book / Working Paper 1,411 Other 6 Journal 2
Type of publication (narrower categories)
All
Article in journal 1,146 Aufsatz in Zeitschrift 1,146 Working Paper 606 Graue Literatur 581 Non-commercial literature 581 Arbeitspapier 512 Hochschulschrift 166 Thesis 145 Aufsatz im Buch 102 Book section 102 Collection of articles written by one author 41 Sammlung 41 Collection of articles of several authors 34 Sammelwerk 34 Systematic review 17 Übersichtsarbeit 17 Bibliografie enthalten 15 Bibliography included 15 Dissertation u.a. Prüfungsschriften 15 Aufsatzsammlung 12 Konferenzschrift 9 Rezension 8 Article 7 Conference paper 7 Konferenzbeitrag 7 Conference proceedings 6 Bibliografie 3 Commentary 3 Forschungsbericht 3 Kommentar 3 Lehrbuch 3 Reprint 3 Amtsdruckschrift 2 Government document 2 Handbook 2 Handbuch 2 Mikroform 2 Case study 1 Elektronischer Datenträger 1 Fallstudie 1
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Language
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English 2,296 Undetermined 333 German 220 French 14 Spanish 6 Italian 3 Polish 3 Portuguese 3 Hungarian 2 Russian 2 Norwegian 1
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Author
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Theissen, Erik 41 Rime, Dagfinn 34 Reitz, Stefan 33 Hautsch, Nikolaus 30 Menkhoff, Lukas 28 Taylor, Mark P. 27 Grammig, Joachim 23 O'Hara, Maureen 23 Foucault, Thierry 20 Mykland, Per A. 20 Evans, Martin D. D. 19 Næs, Randi 18 Lux, Thomas 17 Menkveld, Albert J. 16 Osler, Carol 16 Lyons, Richard K. 15 Skjeltorp, Johannes A. 15 Biais, Bruno 14 Easley, David 14 Diebold, Francis X. 13 Frino, Alex 13 Large, Jeremy 13 Oehler, Andreas 13 Pagano, Michael S. 13 Podolskij, Mark 13 Westerhoff, Frank H. 13 Zhang, Lan 13 Kyle, Albert S. 12 Mende, Alexander 12 Pascual, Roberto 12 Schwartz, Robert A. 12 Zagaglia, Paolo 12 Aït-Sahalia, Yacine 11 Csóka, Péter 11 Giot, Pierre 11 Jong, Frank de 11 Moinas, Sophie 11 Mukherjee, Arijit 11 Subrahmanyam, Avanidhar 11 Andersen, Torben G. 10
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Institution
All
University <Nottingham> / Department of Economics 25 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 19 London School of Economics and Political Science 18 C.E.P.R. Discussion Papers 15 Wissenschaftliches Institut für Infrastruktur und Kommunikationsdienste <Honnef> 15 Institut für Volkswirtschaftslehre <Ilmenau> 12 Iowa State University of Science and Technology <Ames, Iowa> / Department of Economics 12 EconWPA 9 HAL 9 Center for Financial Studies 8 Norges Bank 8 Society for Computational Economics - SCE 8 Department of Economics, Oxford University 7 Econometric Society 7 Max-Planck-Institut für Ökonomik <Jena> / Abteilung Strategische Interaktion 7 Universität <Kassel> / Fachgebiet Wirtschaftsinformatik 7 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 6 Deutsche Bundesbank 6 HEC Paris (École des Hautes Études Commerciales) 6 Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover 6 Economics Group, Nuffield College, University of Oxford 5 UNIVERSIDAD EAFIT 5 University of Bonn, Germany 5 Universität <Hannover> / Wirtschaftswissenschaftliche Fakultät 5 Advanced Institute of Management Research <London> 4 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 4 European Central Bank 4 Forschungsinstitut zur Zukunft der Arbeit <Bonn> 4 Handelshøgskolen, Universitetet i Stavanger 4 Institut für Mittelstandsforschung <Bonn> 4 Institut für Öffentliche Finanzen und Public Management <Leipzig> 4 School of Economics and Management, University of Aarhus 4 School of Economics, Singapore Management University 4 University <Keele> / Department of Economics and Management Science 4 University of Bamberg, Chair of Finance 4 Universität <Augsburg> / Lehrstuhl für Betriebswirtschaftslehre, Wirtschaftsinformatik und Financial Engineering 4 Abteilung "Wettbewerbsfähigkeit und industrieller Wandel" (WIW), Wissenschaftszentrum Berlin für Sozialforschung (WZB) 3 CESifo GmbH <München> 3 Center for Economic Research <Tilburg> 3 Centre for Economic Policy Research 3
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Published in...
All
Journal of financial markets 72 Journal of banking & finance 59 Journal of financial economics 50 Journal of econometrics 38 Journal of empirical finance 33 Journal of international financial markets, institutions & money 28 Pacific-Basin finance journal 26 Journal of international money and finance 24 The University of Nottingham / School of Economics - discussion papers 22 Finance research letters 21 International review of financial analysis 21 London School of Economics and Political Science - Publications 21 Market microstructure and liquidity 20 Quantitative finance 20 Journal of financial econometrics : official journal of the Society for Financial Econometrics 19 The review of financial studies 19 Working paper / National Bureau of Economic Research, Inc. 19 MPRA Paper 17 Discussion Paper 16 The European journal of finance 16 The financial review : the official publication of the Eastern Finance Association 16 Working Paper 16 CEPR Discussion Papers 15 CFS working paper series 15 International journal of finance & economics : IJFE 15 Journal of economic dynamics & control 15 The journal of futures markets 15 International review of economics & finance : IREF 14 Journal of financial and quantitative analysis : JFQA 14 Review of quantitative finance and accounting 14 Discussion paper / Centre for Economic Policy Research 13 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 13 Working paper / Norges Bank 13 Discussion paper / Tinbergen Institute 12 Economics letters 12 IOWA State University - Department of Economics - Working Papers 12 Research paper series / Swiss Finance Institute 12 Technische Universität Ilmenau - Institut für Volkswirtschaftslehre - Publikationen 12 Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Technischen Universität Ilmenau 11 Physica A: Statistical Mechanics and its Applications 11
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Source
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ECONIS (ZBW) 2,034 RePEc 453 USB Cologne (business full texts) 247 EconStor 102 USB Cologne (EcoSocSci) 19 BASE 16 ArchiDok 2
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Showing 1 - 50 of 2,873
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Information, liquidity, and dynamic limit order markets
Riccò, Roberto; Rindi, Barbara; Seppi, Duane J. - 2020 - This Version: March, 2020
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Liquidity and corporate governance
Berglund, Tom - In: Journal of risk and financial management : JRFM 13 (2020) 3/54, pp. 1-9
This paper discusses the relationship between stock market liquidity and corporate governance. Both concepts are widely investigated from different angles in the literature. It is generally agreed that they are related so that better corporate governance implies higher liquidity for shares of...
Persistent link: https://ebtypo.dmz1.zbw/10012174012
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Liquidity in the German stock market
Johann, Thomas; Scharnowski, Stefan; Theissen, Erik; … - 2019
This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We make use of a new publicly available dataset, the Market...
Persistent link: https://ebtypo.dmz1.zbw/10012020325
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Mapping bank securities across euro area sectors : comparing funding and exposure networks
Hüser, Anne-Caroline; Kok Sørensen, Christoffer - 2019
We present new evidence on the structure of euro area securities markets using a multilayer network approach. Layers are broken down by key instruments and maturities as well as the secured nature of the transaction. This paper utilizes a unique dataset of banking sector crossholdings of...
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Persistent link: https://ebtypo.dmz1.zbw/10011997550
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Financial transaction taxes and the informational efficiency of financial markets : a structural estimation
Cipriani, Marco; Guarino, Antonio; Uthemann, Andreas - 2019
We develop a new methodology to estimate the impact of a financial transaction tax (FTT) on informational efficiency, liquidity and volatility. In our sequential trading model there are price elastic noise traders and traders with private information of heterogeneous quality. We estimate the...
Persistent link: https://ebtypo.dmz1.zbw/10011966499
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High-frequency trading : insights from analytical models and simulated agent-based models
Kalimullina, Lina - 2019
Persistent link: https://ebtypo.dmz1.zbw/10012195053
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OTC microstructure in a period of stress : a multi‑layered network approach
Joseph, Andreas; Vasios, Michalis; Maizels, Olga; … - 2019
Persistent link: https://ebtypo.dmz1.zbw/10012202563
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The role of daytime stock auctions in intraday return seasonality
Serikova, Ekaterina - 2019
Persistent link: https://ebtypo.dmz1.zbw/10012101493
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Financial transaction taxes and the informational efficiency of financial markets : a structural estimation
Cipriani, Marco; Guarino, Antonio; Uthemann, Andreas - 2019
Persistent link: https://ebtypo.dmz1.zbw/10012214039
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Is competition beneficial? : the case of exchange traded funds
Kharma, Céline; Delalay, Sylvain - In: Essays on exchange traded funds, market quality and …, (pp. 1-35). 2018
The first paper is co-authored with Sylvain Delalay. We examine the impact of competition between ETFs on measures of market quality of the funds. The surge in new ETF creation has for consequence that groups of competing ETFs are increasingly crowded, and investors can choose from a multitude...
Persistent link: https://ebtypo.dmz1.zbw/10011962532
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Price discovery and the accuracy of consolidated data feeds in the U.S. equity markets
Tivnan, Brian F.; Slater, David; Thompson, James R.; … - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-17
Both the scientific community and the popular press have paid much attention to the speed of the Securities Information Processor-the data feed consolidating all trades and quotes across the US stock market. Rather than the speed of the Securities Information Processor (SIP), we focus here on...
Persistent link: https://ebtypo.dmz1.zbw/10011961261
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Three essays in financial economics
Jurkatis, Simon Willi - 2018
Persistent link: https://ebtypo.dmz1.zbw/10012169133
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Dealer behaviour in the Euro money market during times of crisis
Fecht, Falko; Reitz, Stefan - 2018
This article shows how the recent money market disruptions with elevated counterparty risks and uncertainty about the fundamental value of liquidity influenced the trading behaviour of a key dealer in the Euro money market. The complete trading record in the unsecured segment of the money market...
Persistent link: https://ebtypo.dmz1.zbw/10011978248
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OTC discount
de Roure, Calebe; Mönch, Emanuel; Pelizzon, Loriana; … - 2020
We document a sizable OTC discount in the interdealer market for German sovereign bonds where exchange and over-the-counter trading coexist: the vast majority of OTC prices are favorable with respect to exchange quotes. This is a challenge for theories of OTC markets centered around search...
Persistent link: https://ebtypo.dmz1.zbw/10012388447
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FX spot and swap market liquidity spillovers
Krohn, Ingomar; Sushko, Vladyslav - 2020 - This Version: October 2019
Persistent link: https://ebtypo.dmz1.zbw/10012168958
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Foreign exchange order flow as a risk factor
Burnside, Craig; Cerrato, Mario; Zhang, Zhekai - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012237840
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From zero to hero: realized partial (co)variances
Bollerslev, Tim; Medeiros, Marcelo C.; Patton, Andrew J.; … - 2020
This paper proposes a generalization of the class of realized semivariance and semicovariance measures introduced by Barndorff-Nielsen, Kinnebrock and Shephard (2010) and Bollerslev, Li, Patton and Quaedvlieg (2020a) to allow for a finer decomposition of realized (co)variances. The new "realized...
Persistent link: https://ebtypo.dmz1.zbw/10012249756
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Can heterogeneous agent models explain the alleged mispricing of the S&P 500?
Lux, Thomas - 2020
Tests of excessive volatility along the lines of Shiller (1981) and Leroy and Porter (1981) count among the most convincing pieces of evidence against the validity of the time-honored efficient market hypothesis. Recently, using Shiller s distinction between ex-ante rational (fundamental) price...
Persistent link: https://ebtypo.dmz1.zbw/10012214509
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Essays on market microstructure and return predictability of mutual funds
Serikova, Ekaterina - 2020
This thesis contains three papers. Each paper addresses a distinct research question and is implemented on a separate dataset. The first paper concludes that daytime auctions, together with market opening and closing intervals, contribute to the periodicity of the cross-section of stock returns....
Persistent link: https://ebtypo.dmz1.zbw/10012216436
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Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Wehrli, Alexander; Wheatley, Spencer; Sornette, Didier - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012219363
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Assessing commonality in liquidity with principal component analysis : the case of the Warsaw Stock Exchange
Olbryś, Joanna; Majewska, Elżbieta - In: Journal of risk and financial management : JRFM 13 (2020) 12/328, pp. 1-13
The studies concerning commonality in liquidity on emerging markets in Central and Eastern Europe are scarce and, in particular, they do not utilize the Principal Component Analysis (PCA) to identify latent factors in liquidity. Therefore, the main aim of this research is to assess commonality...
Persistent link: https://ebtypo.dmz1.zbw/10012403992
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Classification of flash crashes using the Hawkes(p,q) framework
Wehrli, Alexander; Sornette, Didier - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012419619
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Costs and information leakages on asset-borrowing markets
Pankratov, Andrey - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012271192
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Information leakages, distribution of profits from informed trading, and last mover advantage
Pankratov, Andrey - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012271223
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OTC discount
Roure, Calebe de; Mönch, Emanuel; Pelizzon, Loriana; … - 2020
We document a sizable OTC discount in the interdealer market for German sovereign bonds where exchange and over-the-counter trading coexist: the vast majority of OTC prices are favorable with respect to exchange quotes. This is a challenge for theories of OTC markets centered around search...
Persistent link: https://ebtypo.dmz1.zbw/10012387914
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Price discovery in the U.S. Treasury cash market : on principal trading firms and dealers
Harkrader, James Collin; Puglia, Michael - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012389832
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The impact of stock market manipulation on Nigeria's economic performance
Akinmade, Babatunde; Adedoyin, Festus Fatai; Bekun, … - In: Journal of economic structures : JES; the official … 9 (2020) 52, pp. 1-28
This study is the first attempt to empirically analyse stock market manipulation on the Nigerian Stock Exchange and its consequences on economic performance. The empirical investigation employs a broad data set of 186 actual manipulation cases indicted by the Nigerian Security and Exchange...
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Price manipulation, dynamic informed trading, and the uniqueness of equilibrium in sequential trading
Takayama, Shino - 2020
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Structural interdependence of price and demand in a model of the foreign exchange market with heterogeneous speculators : evidence from high-frequency data
Bargigli, Leonardo; Cifarelli, Giulio - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012211762
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Hedging costs and joint determinants of premiums and spreads in structured financial products
Entrop, Oliver; Fischer, Georg - In: Journal of Futures Markets 40 (2020) 7, pp. 1049-1071
Evaluating more than 317,000 discount certificates in the German secondary market, we find that premiums and spreads are endogenous and negatively related but depend on different key determinants. The fundamental determinants of the premiums are mainly profit‐related, that is, dividends of the...
Persistent link: https://ebtypo.dmz1.zbw/10012428811
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Informed trading, order flow shocks and the cross section of expected returns in Borsa Istanbul
Tiniç, Murat; Altay-Salih, Aslihan - In: Applied economics 52 (2020) 13, pp. 1446-1459
Persistent link: https://ebtypo.dmz1.zbw/10012197543
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Determinants of intraday market liquidity : an empirical analysis of Indian futures market using high frequency data
Shakeel, Moonis; Srivastava, Bhavana - In: International journal of management practice : IJMP 13 (2020) 2, pp. 178-199
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Trading imbalance, liquidity and stock returns : evidence from Brazil
Pereira, Gustavo Magno Lopes; Camilo-da-Silva, Eduardo; … - In: Latin American business review 21 (2020) 2, pp. 173-195
Persistent link: https://ebtypo.dmz1.zbw/10012258474
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Price improvement and execution risk in lit and dark markets
Brolley, Michael - In: Management science : journal of the Institute for … 66 (2020) 2, pp. 863-886
Persistent link: https://ebtypo.dmz1.zbw/10012213246
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Dark pools in European equity markets : emergence, competition and implications
Petrescu, Monica; Wedow, Michael - 2017
This paper considers the growth of dark pools: trading venues for equities without pre-trade transparency. It first documents the emergence and expansion of dark pools in European equity markets in the context of regulatory changes and increased high-frequency trading (HFT). It finds that the...
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Persistent link: https://ebtypo.dmz1.zbw/10011673614
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Single- and multiplayer trade execution strategies under transient price impact
Strehle, Elias - 2017
Persistent link: https://ebtypo.dmz1.zbw/10012197703
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Liquidity in the German stock market
Johann, Thomas; Scharnowski, Stefan; Theissen, Erik; … - 2019
This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We make use of a new publicly available dataset, the Market...
Persistent link: https://ebtypo.dmz1.zbw/10012026516
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OTC discount
de Roure, Calebe; Mönch, Emanuel; Pelizzon, Loriana; … - 2019
We study price dispersion and venue choice in the interdealer market for German sovereign bonds, where an exchange and over-the-counter segments coexist. We show that 85% of OTC traded prices are favorable with respect to exchange quotes, indicating the prevalence of an OTC discount. This...
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Preview
Persistent link: https://ebtypo.dmz1.zbw/10012140762
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Mapping bank securities across euro area sectors: Comparing funding and exposure networks
Hüser, Anne-Caroline; Kok Sørensen, Christoffer - 2019
We present new evidence on the structure of euro area securities markets using a multilayer network approach. Layers are broken down by key instruments and maturities as well as the secured nature of the transaction. This paper utilizes a unique dataset of banking sector crossholdings of...
Preview
Preview
Persistent link: https://ebtypo.dmz1.zbw/10012142117
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Financial transaction taxes and the informational efficiency of financial markets: A structural estimation
Cipriani, Marco; Guarino, Antonio; Uthemann, Andreas - 2019
We develop a new methodology to estimate the impact of a financial transaction tax (FTT) on informational efficiency, liquidity and volatility. In our sequential trading model there are price elastic noise traders and traders with private information of heterogeneous quality. We estimate the...
Persistent link: https://ebtypo.dmz1.zbw/10012146359
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Hedging costs and joint determinants of premiums and spreads in structured financial products
Entrop, Oliver; Fischer, Georg - 2019
This paper is the first to analyze the joint determinants of premiums and spreads in structured financial products, while also focusing on issuers' hedging costs. We evaluate more than 396,000 single stock discount certificates on an intraday basis in the German secondary market. We find that...
Persistent link: https://ebtypo.dmz1.zbw/10011961047
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How dynamic hedging affects stock price movements: Evidence from German option and certificate markets
Fischer, Georg - 2019
We examine the impact of dynamic hedging demand of German option and discount certificate markets on the autocorrelation of German stock price changes. We theoretically model the demand of liquidity providers in the discount certificate market, a structured financial product with a concave...
Persistent link: https://ebtypo.dmz1.zbw/10011961048
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Institutional environment and the microstructure of the interbank market
Bwire, Thomas; Brownbridge, Martin; Tinyinondi, Grace A.; … - 2019
Persistent link: https://ebtypo.dmz1.zbw/10012019470
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Abnormal returns or mismeasured risk? : network effects and risk spillover in stock returns
Bhattacharjee, Arnab; Roy, Sudipto - In: Journal of risk and financial management : JRFM 12 (2019) 2/50, pp. 1-13
Recent event study literature has highlighted abnormal stock returns, particularly in short event windows. A common explanation is the cross-correlation of stock returns that are often enhanced during periods of sharp market movements. This suggests the misspecification of the underlying factor...
Persistent link: https://ebtypo.dmz1.zbw/10012022242
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Testing stylized facts of Bitcoin limit order books
Schnaubelt, Matthias; Rende, Jonas; Krauss, Christopher - In: Journal of risk and financial management : JRFM 12 (2019) 1/25, pp. 1-30
The majority of electronic markets worldwide employ limit order books, and the recently emerging exchanges for cryptocurrencies pose no exception. With this work, we empirically analyze whether commonly observed empirical properties from established limit order exchanges transfer to the...
Persistent link: https://ebtypo.dmz1.zbw/10012022344
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Microstructure of foreign exchange markets
Evans, Martin D. D.; Rime, Dagfinn - 2019
This article presents an overview of research on the Microstructure of Foreign Exchange Markets. We begin by summarizing the institutional features of FX trading and describe how they have evolved since the 1980s. We then explain how these features are represented in microstructure models of FX...
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Persistent link: https://ebtypo.dmz1.zbw/10011992841
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Intraday volume-volatility nexus in the FX markets : evidence from an emerging market
Serdengeçti, Süleyman; Şensoya, Ahmet - Türkiye Cumhuriyet Merkez Bankası - 2019
Persistent link: https://ebtypo.dmz1.zbw/10012110236
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Microstructure of foreign exchange markets
Evans, Martin D. D.; Rime, Dagfinn - 2019
Persistent link: https://ebtypo.dmz1.zbw/10012027986
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Who sees the trades? : the effect of information on liquidity in inter-dealer markets
Garratt, Rod; Lee, Michael Junho; Martin, Antoine; … - 2019
Dealers, who strategically supply liquidity to traders, are subject to both liquidity and adverse selection costs. While liquidity costs can be mitigated through inter-dealer trading, individual dealers' private motives to acquire information compromise inter-dealer market liquidity. Post-trade...
Persistent link: https://ebtypo.dmz1.zbw/10012038817
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Hedging costs and joint determinants of premiums and spreads in structured financial products
Entrop, Oliver; Fischer, Georg - 2019
This paper is the first to analyze the joint determinants of premiums and spreads in structured financial products, while also focusing on issuers' hedging costs. We evaluate more than 396,000 single stock discount certificates on an intraday basis in the German secondary market. We find that...
Persistent link: https://ebtypo.dmz1.zbw/10011960799
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