Search Results - subject_exact:"Securities trading"

Market transparency and dealer behavior : lessons from MiFID II/MiFIR transparency requirements

Lindner, Vincent; Lucke, Konrad; Pelizzon, Loriana - 2026

This policy paper examines the effects of the introduction of the MiFID II / MiFIR framework on the transparency regime for sovereign bonds. The main purpose of the framework is to provide markets with real-time information and lower market asymmetries, thereby increasing liquidity in the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015617983

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

A review of the global and local securities markets in ... ; 2025

2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015618838

Can misinformation be tolerated? : analyzing the influence of disinformation on financial market fluctuations

Herzing, Tobias J.; Muck, Matthias - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015640826

Will central clearing change the market structure of U.S. Treasury repo to become more standardized and trade on an all-to-all basis?

Patel, Ketan - 2026

This paper examines whether the SEC's mandate for central clearing of U.S. Treasury repo transactions could enable all-to-all trading and support the development of a standardized term repo market. By mitigating counterparty risk through central clearing, cash lenders may become more willing to...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015611478

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

The impact of dark pools on the market and market quality

Wakamatsu, Hiroaki - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015613485

How to sell debt (but not money)

Daripa, Arupratan - 2026

Multi-unit common value auctions in which bidders submit demand functions are used for a variety of purposes, including selling government debt (Treasury auctions) and allocating liquidity (repo auctions). Typically, either a discriminatory or a uniform-price format is used. In this paper, we...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015636907

Greener but thinner? : assessing green bond market liquidity

Dulak, Thomas; Wolff, Guntram B. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015614426

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

Extrapolators and contrarians : forecast bias and individual investor stock trading

Andersen, Steffen; Dimmock, Stephen G.; Nielsen, Kasper M. - 2026

We test whether forecast bias affects individual investors' stock trading by combining bias measures from laboratory experiments with administrative trade data. Forecast bias is positively associated with past excess returns of purchased stocks: Compared to contrarians, extrapolators purchase...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015588367

Multi-market trading and overnight price discovery : evidence from American Depository Receipts

Hoang Lai Trung; Duc Hong Vo - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015667491

Effectiveness of trading pauses : evidence from the Tokyo stock exchange

Kasahara, Akitada; Yamada, Masahiro - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015624512

Warning signal and broker’s misconduct in financial markets

Tedde, Mariachiara - 2026 - Prima edizione

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015641816

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

Dealers as record keepers

Kuong, John Chi-Fong; Maurin, Vincent - 2026 - This version: February 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015643393

Implementing simplified short-term pairs trading strategy in equity market : understanding the risks of retail investor

Mosina, Julija; Ševčenko-Kozlovska, Galina - 2026

This study examines the profitability of a simplified short-term pairs trading strategy for retail investors in real-time equity markets, comparing the performance of individual stock pairs versus clusters of stocks. The research employs a simplified strategy implemented using accessible tools...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015667901

Adverse selection in prediction markets : evidence from Kalshi

Bartlett, Robert; O'Hara, Maureen - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015652604

A natural copula

Lerner, Peter B. - 2026

Copulas are widely used in financial economics, as well as in other areas of applied mathematics. Yet, there is much arbitrariness in their choice. The author proposes a "natural copula" concept that minimizes the Wasserstein distance between distributions in a space in which both distributions...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016059558

Central clearing in repo markets : do the benefits extend to non-dealers?

Auger, Danny; Walton, Adrian - 2026 - Last updated: June 29, 2026

This note examines whether central clearing of repurchase agreements (repos) provides benefits not only to bank-owned dealers but also to non-dealer market participants in Canadian fixed-income markets. While prior research has largely emphasized the dealer perspective-showing that central...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668286

The information content of delayed block trades in cryptocurrency markets

Galati, Luca; De Blasis, Riccardo - 2026

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

Market efficiency when machines access information

Barbopoulos, Leonidas G.; Dai, Rui; Putnins, Talis J.; … - 2026 - This version: June 17, 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015675307

Do hedge funds still manipulate stock prices?

Cui, Xinyu; Kolokolova, Olga - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015440917

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Do Hedge Funds Still Manipulate Stock Prices?

Cui, Xinyu; Kolokolova, Olga - 2023

Book / Working Paper

Cointegration-based pairs trading : identifying and exploiting similar exchange-traded funds

Chen, Kezhong; Alexiou, Constantinos - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015485829

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

Dealers, information and liquidity provision in safe assets

Czech, Robert; Monroe, Win - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016062682

Is liquidity provision informative? : evidence from agricultural futures markets

Ma, Richie R.; Serra, Teresa - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015166730

A law and economic analysis of trading through dark pools

Ntourou, Artemisa; Mallios, Aineas - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015202586

Understanding and mitigating the risks of off-shore virtual asset service providers : FATF report

2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016064031

Investors' quantitative disclosure: target prices by short sellers

Madelaine, Alexandre; Paugam, Luc; Stolowy, Hervé; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015618158

Fractional trading

Da, Zhi; Fang, Vivian W.; Lin, Wenwei - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015371029

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

15th T2S harmonisation progress report : harmonisation of European securities settlement

2025

This is the 15th progress report on the harmonisation of European securities settlement published by the Eurosystem's Advisory Group on Market Infrastructures for Securities and Collateral (AMI-SeCo). With the aim of further integrating European financial markets and in line with its mandate,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015323878

Statistical predictions of trading strategies in electronic markets

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

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

Strategic trading with uncertain market depth

Lou, Youcheng; Park, Junghum - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015339322

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

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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

Deep reinforcement learning in non-Markov market-making

Lalor, Luca; Sviščuk, Anatolij - 2025

We develop a deep reinforcement learning (RL) framework for an optimal market-making (MM) trading problem, specifically focusing on price processes with semi-Markov and Hawkes Jump-Diffusion dynamics. We begin by discussing the basics of RL and the deep RL framework used; we deployed the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015358963