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Price discovery with a richer market microstructure noise

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

Persistent link: https://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://ebvufind01.dmz1.zbw.eu/10015579738

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://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

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015605098

Show one more version 1

Makers and takers : the economics of the Kalshi prediction market

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

Book / Working Paper

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://ebvufind01.dmz1.zbw.eu/10015620968

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://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://ebvufind01.dmz1.zbw.eu/10015656182

FX Illiquidity networks and vehicle currencies

Pantalfini, Matteo - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015647638

Fee structure and order flow informativeness in the cryptocurrency market

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015651248

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://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://ebvufind01.dmz1.zbw.eu/10015652372

Adverse selection in prediction markets : evidence from Kalshi

Bartlett, Robert; O'Hara, Maureen - 2026

Persistent link: https://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://ebvufind01.dmz1.zbw.eu/10015633933

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://ebvufind01.dmz1.zbw.eu/10015666473

Assessing cross-currency predictability in forex markets : insights from limit order book data

Petrova, Yana; Vilhelmsson, Anders; Nordén, Lars L. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668675

Two-layer execution architecture for illiquid SME equity markets

Egloff, Pascal; Tharyan, Rajesh; Graf, Sabrina; … - 2026

Thin equity markets for small and medium-sized enterprises often have sparse order flow that cannot sustain continuous quoting. This study proposes a two-layer execution architecture with a modified constant product market maker (modCPMM) designed to provide baseline immediacy for ordinary...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668294

The Hormuz shock and Asian equity markets : volatility without liquidity withdrawal in 161 firms across six markets

Lim, Boon Chuan - 2026

When a major shock hits the real economy, can equity markets handle it, or do they absorb it? The classical pattern in liquidity crises-widening spreads, vanishing depth, price-impact spikes-points to intermediary stress. The shock due to the closure of the Strait of Hormuz in 2026 departs from...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668552

Gas fees as liquidity risk signals in blockchain token markets

Wang, Kai; Krištoufek, Ladislav - 2026

Platform-level gas fees serve as a public, real-time, predictive signal of cross-sectional liquidity risk in blockchain ecosystem tokens. Using a daily panel of 4,224 chain-specific tokens on Ethereum, BNB Chain, and Solana between 2017 and 2025 (2.04 million tokenday observations), gas fees are...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015669762

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

Fleming, Michael J.; Liu, Weiling; Nguyen, Giang H. - 2026 - Revised July 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://ebvufind01.dmz1.zbw.eu/10015618080

Spatiotemporal return decomposition and multi-strategy performance analysis in Dow Jones Industrial Average constituents : a 20-year empirical investigation

Pattnaik, Sarthak; Jain, Chhayank; Pinsky, Eugene - 2026

This paper presents a comprehensive spatiotemporal decomposition of equity returns for nine top-weighted constituents of the Dow Jones Industrial Average (DJIA) over a twenty-year period spanning January 2004 through December 2023, encompassing 5033 trading days and multiple market regimes,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016061230

Evidence on settlement-window price divergence in bitcoin prediction markets

Joshi, Sibin; Zhou, Zhaoxian - 2026

This paper investigates whether prediction market settlements create incentives for temporary price pressure in Bitcoin spot markets. Using high-frequency data from February 2025 to January 2026 and actual contract-level data from Polymarket and Kalshi to identify economically relevant contract...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016064358

The information content of delayed block trades in cryptocurrency markets

Galati, Luca; De Blasis, Riccardo - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016064395

Understanding the worst-kept secret of high-frequency trading

Pulido, Sergio; Rosenbaum, Mathieu; Sfendourakis, Emmanouil - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016081501

The value of information flows in the stock market

Taub, Bart - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016081697

Microstructure-based private information and institutional return predictability

Sun, Xuchu; Na, Jinling; Li, Tangrong - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015647468

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://ebvufind01.dmz1.zbw.eu/10015584383

Innovations in Finance : Proceedings of the World Finance Conference, Malta 2025

2026

Chapter 1. Bankruptcy Risk, Financial Flexibility and Investment -- Chapter 2. Volatility on the Crypto-Currency Market: A Copula-Garch Approach -- Chapter 3. Cross-Market Volatility Spillovers and Portfolio Diversification in South African Equity Markets: Evidence From an Index-Level Analysis...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015670659

Is liquidity provision informative? : evidence from agricultural futures markets

Ma, Richie R.; Serra, Teresa - 2025

Persistent link: https://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://ebvufind01.dmz1.zbw.eu/10015372156

Measuring daily systemic risk with intraday data : evidence from foreign exchange market

Zhou, Yi; Xia, Wenjing; Ye, Wuyi - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016069960

Bundling Trades In Over-The-Counter Markets

Allen, Jason; Wittwer, Milena - 2026

In the canonical view of over-the-counter markets, dealers intermediate single-asset trades one at a time. We study a complementary role: when investors trade several assets at once, dealers absorb the joint position into inventory, insuring against execution risk. Using data on the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016063246

Statistical predictions of trading strategies in electronic markets

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015339741

Algorithmic Trading via AI/Machine Learning with R

2026 - First edition

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676901

Large orders in small markets : execution with endogenous liquidity supply

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015357640

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

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

Persistent link: https://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://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://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://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://ebvufind01.dmz1.zbw.eu/10015464875

Foreign exchange order flow as a risk factor

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

Persistent link: https://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

Fragmentation in European equity markets since 2019

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

Persistent link: https://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://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://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://ebvufind01.dmz1.zbw.eu/10015432784

Empirical evaluation of competing high-frequency estimators of quadratic variation

Bowers, Colin; Heaton, Christopher - 2025

Persistent link: https://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://ebvufind01.dmz1.zbw.eu/10015562172

The effect of NYSE American's latency delay on informed trading

Morris, Jeremy; Xu, Ke - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015613620

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

Aielli, Gian Piero; Pirino, Davide - 2025

Persistent link: https://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

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

Pinto, Mateus Gonzalez de Freitas - 2025

We investigate the high-frequency dynamics of Bitcoin and Ethereum perpetual futures traded on Binance from January 2020 to December 2024. After a thorough discussion of the stylized facts and particularities of Bitcoin perpetual futures, based on previous research in futures markets, we...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015551385

Revisiting the trading activity of high-frequency trading firms around ultra-fast flash events

Desagre, Christophe; Laly, Floris; Petitjean, Mikael - 2025

We investigate high-frequency traders' behavior in the context of the fastest and most extreme price movements (EPMs) that can be observed in the market, specifically ultra-fast flash events, challenging the methodologies employed in the academic and practitioner literature for identifying...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015557968