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Year of publication
Subject
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Wertpapierhandel 7,858 Securities trading 7,606 Theorie 2,078 Theory 2,076 Börsenkurs 1,901 Share price 1,897 Anlageverhalten 1,183 Behavioural finance 1,177 USA 1,078 Aktienmarkt 1,076 Stock market 1,050 United States 1,038 Financial market 814 Finanzmarkt 814 Market microstructure 805 Marktmikrostruktur 805 Elektronisches Handelssystem 766 Electronic trading 765 Capital income 727 Kapitaleinkommen 727 Börse 718 Bourse 698 Portfolio selection 620 Portfolio-Management 620 Liquidity 617 Estimation 608 Schätzung 608 Liquidität 567 Volatilität 513 Volatility 512 Deutschland 502 Handelsvolumen der Börse 483 Trading volume 483 Germany 482 Asymmetrische Information 477 Asymmetric information 476 Welt 473 World 473 Bid-ask spread 439 Geld-Brief-Spanne 439
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Online availability
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Free 2,370 Undetermined 1,282
Type of publication
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Book / Working Paper 4,189 Article 3,669 Journal 31
Type of publication (narrower categories)
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Article in journal 3,217 Aufsatz in Zeitschrift 3,217 Graue Literatur 1,654 Non-commercial literature 1,654 Working Paper 1,303 Arbeitspapier 1,302 Aufsatz im Buch 442 Book section 442 Hochschulschrift 347 Thesis 287 Collection of articles of several authors 138 Sammelwerk 138 Collection of articles written by one author 78 Sammlung 78 Ratgeber 68 Lehrbuch 58 Amtsdruckschrift 56 Government document 56 Textbook 55 Konferenzschrift 53 Guidebook 52 Aufsatzsammlung 49 Conference proceedings 42 Handbook 31 Handbuch 31 Bibliografie enthalten 26 Bibliography included 26 Dissertation u.a. Prüfungsschriften 26 Glossar enthalten 20 Glossary included 20 Commentary 15 Kommentar 15 Case study 12 Conference paper 12 Fallstudie 12 Konferenzbeitrag 12 Mehrbändiges Werk 10 Multi-volume publication 10 Nachschlagewerk 10 Reference book 10
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Language
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English 6,913 German 633 Russian 157 Undetermined 57 Polish 30 French 27 Spanish 26 Ukrainian 26 Italian 10 Swedish 7 Norwegian 4 Hungarian 3 Macedonian 3 Danish 2 Dutch 2 Bulgarian 1
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Author
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Theissen, Erik 39 Menkveld, Albert J. 34 Gomber, Peter 33 Werner, Ingrid M. 33 Hautsch, Nikolaus 32 O'Hara, Maureen 31 Foucault, Thierry 29 Weill, Pierre-Olivier 29 Frino, Alex 28 Van Ness, Robert A. 26 Sarkar, Asani 25 Schwartz, Robert A. 25 Kalev, Petko S. 23 Pedersen, Lasse Heje 23 Cartea, Álvaro 22 Rindi, Barbara 22 Cumming, Douglas J. 20 Chung, Kee H. 19 Duffie, Darrell 19 Grammig, Joachim 19 Hendershott, Terrence 19 Van Ness, Bonnie F. 19 Aitken, Michael J. 18 Chakravarty, Sugato 18 Fabozzi, Frank J. 18 Marshall, Ben R. 18 Garvey, Ryan 17 Jaimungal, Sebastian 17 Lepone, Andrew 17 Stulz, René M. 17 Subrahmanyam, Avanidhar 17 Chiarella, Carl 16 Horst, Ulrich 16 Park, Andreas 16 Caporale, Guglielmo Maria 15 Easley, David 15 Gregoriou, Andros 15 Ibikunle, Gbenga 15 McInish, Thomas H. 15 Saar, Gideon 15
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Institution
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National Bureau of Economic Research 107 International Monetary Fund (IMF) 24 International Monetary Fund 20 Europäische Zentralbank 14 Internationaler Währungsfonds / Monetary and Capital Markets Department 13 Basel Committee on Banking Supervision 12 FinanzBuch Verlag 12 Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio> 10 World Bank 10 New York Stock Exchange 9 The Wharton Financial Institutions Center 7 Rodney L. White Center for Financial Research 6 Europäische Zentralbank / Advisory Group on Market Infrastructures for Securities and Collateral 5 Institute for Research in the Behavioral, Economic, and Management Sciences 5 Krannert Graduate School of Management 5 Deutsche Bundesbank 4 Europäische Kommission 4 Sankt-Peterburgskij Gosudarstvennyj Universitet Ėkonomiki i Finansov 4 USA / Congress / Senate / Committee on Banking, Housing and Urban Affairs 4 USA / Subcommittee on Securities 4 Wiley-VCH 4 Börsen-Buchverlag 3 Center for Economic Research <Tilburg> 3 Centre for Analytical Finance <Århus> 3 Deutsche Börse AG 3 Federal Reserve Bank of New York 3 International Securities Market Association 3 International Securities Services Association 3 Internationaler Währungsfonds 3 Springer Fachmedien Wiesbaden 3 USA / General Accounting Office 3 USA / Government Accountability Office 3 United States / Congress / Senate / Committee on Banking, Housing, and Urban Affairs / Subcommittee on Securities 3 Universität Mannheim 3 Vysšaja Škola Ėkonomiki 3 Axel Springer AG 2 Books on Demand GmbH <Norderstedt> 2 Chambre de commerce et d'industrie de Paris 2 Comisión Nacional del Mercado de Valores 2 ESMA 2
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Published in...
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Working paper / National Bureau of Economic Research, Inc. 134 Journal of banking & finance 119 Journal of financial markets 108 NBER working paper series 104 Journal of financial economics 84 Discussion paper / Centre for Economic Policy Research 81 The review of financial studies 79 Journal of securities operations & custody 71 Pacific-Basin finance journal 68 The journal of finance : the journal of the American Finance Association 67 International review of financial analysis 59 NBER Working Paper 58 Journal of empirical finance 55 Journal of financial and quantitative analysis : JFQA 54 The journal of trading 51 Finance research letters 50 The journal of futures markets 43 Journal of international financial markets, institutions & money 40 Review of quantitative finance and accounting 39 Research paper series / Swiss Finance Institute 36 The European journal of finance 36 The financial review : the official publication of the Eastern Finance Association 36 Wiley trading series 36 CFS working paper series 33 Quantitative finance 33 Applied economics letters 32 International journal of theoretical and applied finance 31 Market microstructure and liquidity 30 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 30 Fisher College of Business working paper series 29 International review of economics & finance : IREF 28 Journal of economic dynamics & control 28 Applied economics 27 Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets 27 SAFE working paper 26 Journal of financial intermediation 25 Working paper / Centre for Financial Research 25 Management science : journal of the Institute for Operations Research and the Management Sciences 24 Applied financial economics 23 The North American journal of economics and finance : a journal of financial economics studies 22
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Source
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ECONIS (ZBW) 7,686 USB Cologne (EcoSocSci) 173 RePEc 28 BASE 1 EconStor 1
Showing 1 - 50 of 7,889
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How online discussion board activity affects stock trading : the case of GameStop
Betzer, André; Harries, Jan Philipp - In: Financial markets and portfolio management 36 (2022) 4, pp. 443-472
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Where the Winner Saw Barriers : Market Liquidity after Banning Aggressive Proprietary Trading
Qu, Chengcheng - 2022
There is an increasing concern that fast trading firms magnify adverse selection costs and illiquidity by picking off stale quotes. This article investigates the effects of banning proprietary traders from liquidity taking on the banned and the market overall. The fast arbitrageur exited the...
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An Empirical Model of Daily Highs and Lows
Cheung, Yin-Wong - 2022
This working paper was written by Yin-wong Cheung (University of California, Santa Cruz).We construct an empirical model for daily highs and daily lows of US stock indexes based on the intuition that highs and lows do not drift apart over time. Our empirical results show that daily highs and...
Persistent link: https://ebtypo.dmz1.zbw/10013405958
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Estimation of the Probability of Informed Trading Models Via an Expectation-Conditional Maximization Algorithm
Ghachem, Montasser; Ersan, Oguz - 2022
The PIN model and its extensions have proven challenging in their estimation, as they suffer from several computational problems. We set in this paper to address these computational issues by proposing the use of the expectation-conditional maximization (ECM) algorithm to estimate the various...
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AI Driven Liquidity Provision in OTC Financial Markets
Cartea, Álvaro; Chang, Patrick; Mroczka, Mateusz; … - 2022
Providing liquidity in over-the-counter markets is a challenging under-taking, in large part because a market maker does not observe where their competitors quote, nor do they typically know how many rivals they compete with or what the trader's overall liquidity demand is. Optimal pricing...
Persistent link: https://ebtypo.dmz1.zbw/10013406043
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Competitive Quote Flipping and Trade Clusters
Fishe, Raymond P.H; Roberts, John S. - 2022
We model the decision to exhaust depth, which either flips the best quote to the opposite side or widens the spread. Such events often revert to the previous best quote. The model implies that quote flipping results in trade clusters at the competitive equilibrium. Using the S&P E-mini futures...
Persistent link: https://ebtypo.dmz1.zbw/10013406126
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Identifying information types in probability of informed trading (PIN) models : An improved algorithm
Ersan, Oguz; Ghachem, Montasser - 2022
The multilayer probability of informed trading (MPIN) model, developed by Ersan (2016), releases the assumption of single type of information events in the original PIN model of Easley et al. (1996). Identification of the number of layers in a dataset is applied through a layer detection...
Persistent link: https://ebtypo.dmz1.zbw/10013406178
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Judgment Day : Algorithmic Trading Around the Swiss Franc Cap Removal
Breedon, Francis; Chen, Louisa; Ranaldo, Angelo; Vause, … - 2022
A key issue for decentralised markets like FX is how the market responds to extreme situations. Using data on FX transactions with a precise identification of Algorithmic trading (AT), we find that AT, broadly defined, appears to have contributed to the deterioration of market quality following...
Persistent link: https://ebtypo.dmz1.zbw/10013406475
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Are Foreign Investors Informed? Trading Experiences of Foreign Investors in China
Lundblad, Christian T.; Shi, Donghui; Zhang, Xiaoyan; … - 2022
Using a proprietary dataset from 2016 to 2019, we find that order flows from foreign investors, facilitated by regulatory liberalization through several channels, present strong predictive power for future stock returns in the Chinese market. Most surprisingly, foreign investors possess the...
Persistent link: https://ebtypo.dmz1.zbw/10013406487
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Behavioral Biases and the Trading of Individual Investors in the Korean Stock Markets
Kim, Minki; Kim, Joon-Seok - 2022
Previous literature has shown that individual investors in the stock markets trade excessively and underperform the market index. Since the COVID-19 outbreak in 2020, the annual trading turnover of individual investors in the Korean stock markets is estimated as above 1,600% and their investment...
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Surprise in Short Interest
Hanauer, Matthias X.; Lesnevski, Pavel; Smajlbegovic, Esad - 2022
We extract the news component of short-selling activity by accounting for important cross-sectional, distributional differences in short interest data. The resulting measure of surprise in short interest negatively predicts the cross section of both U.S. and international equity returns. Our...
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The profitability of lead-lag arbitrage at high-frequency
Poutré, Cédric; Dionne, Georges; Yergeau, Gabriel - 2022
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Market quality and short-selling ban during the COVID-19 pandemic : a high-frequency data approach
Ferreruela, Sandra; Martín, Daniel - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-29
The recent emergence of COVID-19 and the subsequent short-selling restriction (SSR) imposed on some equity markets provide us with a unique framework to analyze the effects of this kind of measure on market quality in the context of increasingly automated equity markets. We contribute to the...
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Does Momentum Profit Exist in Australia—A Systematic Analysis of Price and Alpha Momentum Strategies
Deng, Yijie - 2022
This paper examines the momentum strategy in Australia under the debate on whether momentum strategy is profitable in Australia. It studies both the price and alpha momentum strategy performance under several lookback periods, and applies short position adjustment and volatility scaling. I...
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Broker colocation and the execution costs of customer and proprietary orders
Sagade, Satchit; Scharnowski, Stefan; Westheide, Christian - 2022 - This version: October 14, 2022
Colocation services offered by stock exchanges enable market participants to achieve execution costs for large orders that are substantially lower and less sensitive to transacting against high-frequency traders. However, these benefits manifest only for orders executed on the colocated brokers'...
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Drivers and effects of stock market fragmentation - insights on SME stocks
Lausen, Jens; Clapham, Benjamin; Gomber, Peter; Bender, … - 2022
We analyze how market fragmentation affects market quality of SME and other less actively traded stocks. Compared to large stocks, they are less likely to be traded on multiple venues and show, if at all, low levels of fragmentation. Concerning the impact of fragmentation on market quality, we...
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Reporting delays and the information content of off-market trades
Frino, Alex; Galati, Luca; Gerace, Dionigi - In: The journal of futures markets 42 (2022) 11, pp. 2053-2067
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Developing a framework for real-time trading in a laboratory financial market
Marner-Hausen, Mark - 2022 - This version: January 31, 2022
One of the challenges that economic experiments that use artificial financial markets to explore high-frequency trading face, is the development of a sufficiently sophisticated software. Moreover, it is not trivial to adequately communicate the complex financial market rules to non-experts. The...
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The search for time-series predictability-based anomalies
Ospina-Holguín, Javier Humberto; Padilla-Ospina, Ana Milena - In: Journal of business economics and management 23 (2022) 1, pp. 1-19
This paper introduces a new algorithm for exploiting time-series predictability-based patterns to obtain an abnormal return, or alpha, with respect to a given benchmark asset pricing model. The algorithm proposes a deterministic daily market timing strategy that decides between being fully...
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Stock liquidity and corporate trade credit strategies : evidence from China
Shahzad, Umeair; Liu, Jing; Luo, Fukai - In: Journal of business economics and management 23 (2022) 1, pp. 40-59
This study investigates the nexus of stock liquidity and trade-credit policies in China from 2002 to 2017. The estimates are robust to alternative proxies, various fixed-effects, and the exogenous impact of Chinese split share structure reforms (SSSR) 2005-06 is investigated through the...
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Size discount and size penalty : trading costs in bond markets
Pintér, Gábor; Wang, Chaojun; Zou, Junyuan - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013186000
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Estimating the effect of transaction costs using the tick size as a proxy
Sirnes, Espen - In: Review of economics 73 (2022) 1, pp. 57-77
Persistent link: https://ebtypo.dmz1.zbw/10013188342
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On the quality of cryptocurrency markets : centralized versus decentralized exchanges
Barbon, Andrea; Ranaldo, Angelo - 2022 - This draft: April 2022
Persistent link: https://ebtypo.dmz1.zbw/10013192214
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Dynamic asset-backed security design
Ozdenoren, Emre; Yuan, Kathy; Zhang, Shengxing - 2022
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Profitability of technical trading strategies under market manipulation
Ma, Alfred - In: Financial innovation : FIN 8 (2022), pp. 1-9
Most technical trading strategies use the official closing price for analysis. But what is the effect when the official closing price is subject to market manipulation? This paper answers this question by testing the difference of profitabilities between using the official closing price and the...
Persistent link: https://ebtypo.dmz1.zbw/10012798853
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An overview of corporate fraud and its prevention approach
Rashid, Md. Abdur; Al-Mamun, Abdullah; Roudaki, Hajar; … - In: Australasian accounting business and finance journal : AABF 16 (2022) 1, pp. 101-118
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Intraday patterns of liquidity on the Warsaw stock exchange before and after the outbreak of the COVID-19 pandemic
Kubiczek, Jakub; Tuszkiewicz, Marcin - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-16
A highly significant feature of the stock market is its efficiency, which is associated with information efficiency. However, the liquidity of stock on the market is its essential characteristic. The inflow of information in highly liquid markets allows for the maintenance of high information...
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Does the annual income earned influence the decision-making in the Indian Secondary equity market?
Isidore, R. Renu; Arun, Chockalingam Joe - In: The journal of business and economic studies 26 (2022) 1, pp. 63-90
The annual income earned plays a very important role in stock investing as it influences several dimensions of the investment process. The main goal of this research was to examine the role of the annual income earned by the secondary equity investors in the decision- making process. The...
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Trading behavior in Bitcoin futures : following the "smart money"
Baur, Dirk G.; Smales, Lee A. - In: The journal of futures markets 42 (2022) 7, pp. 1304-1323
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The price impacts of trade agreements
Crowley, Meredith A.; Han, Lu; Prayer, Thomas - In: The economics of Brexit: what have we learned?, (pp. 47-54). 2022
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Does communication increase investors' trading frequency? : evidence from a Chinese social trading platform
Jin, Xuejun; Yu, Jiawei - In: Financial innovation : FIN 8 (2022), pp. 1-32
This study examines the impact of communication on investors' trading frequency based on a unique dataset drawn from a Chinese social trading platform. We find robust evidence that real-account portfolio owners on the platform trade more frequently under the influence of the comments posted by...
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A theory of very short-time price change : security price drivers in times of high-frequency trading
Virgilio, Gianluca P. M. - In: Financial innovation : FIN 8 (2022), pp. 1-34
Academic research has identified several factors that affect price movements; however, the scenario changes abruptly in the case of very short time price changes (VSTPC). This topic is not specifically examined in the existing literature; nonetheless, the behavior of the market microstructure is...
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Frequent batch auctions and informed trading
Eibelshäuser, Steffen; Smetak, Fabian - 2022
We study liquidity provision by competitive high-frequency trading firms (HFTs) in a dynamic trading model with private information. Liquidity providers face adverse selection risk from trading with privately informed investors and from trading with other HFTs that engage in latency arbitrage...
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State-dependent Hawkes processes and their application to limit order book modelling
Morariu-Patrichi, Maxime; Pakkanen, Mikko S. - In: Quantitative finance 22 (2022) 3, pp. 563-583
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Optimal trade execution for Gaussian signals with power-law resilience
Forde, Martin; Sánchez-Betancourt, Leandro; Smith, Benjamin - In: Quantitative finance 22 (2022) 3, pp. 585-596
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Asset pricing with costly short sales
Evgeniou, Theodoros; Hugonnier, Julien; Prieto, Rodolfo - 2022
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Diving into dark pools
Buti, Sabrina; Rindi, Barbara; Werner, Ingrid M. - 2022
Persistent link: https://ebtypo.dmz1.zbw/10012816610
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The profitability of pairs trading strategies on Hong-Kong stock market : distance, cointegration, and correlation methods
Ma, Baiquan; Ślepaczuk, Robert - 2022
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Order imbalance and commonality : evidence from the options market
Omole, John; Sensoy, Ahmet; Gulay, Guzhan - In: Borsa Istanbul Review 22 (2022) 1, pp. 1-11
Using a market model and principal component analysis, we investigate the existence of common effects in order imbalance in the Borsa Istanbul's option market. Accordingly, we find the presence of commonality in order imbalance for call options and an even more dominant presence in put options....
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High-Frequency Trading (HFT) and market quality research : an evaluation of the alternative HFT proxies
Hossain, Shahadat - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-31
We examine the soundness of high-frequency trading (HFT) proxies that are widely defined on the limit order book (LOB) information. We use a unique TRTH (Thomson Reuters Tick History) millisecond time-stamped intraday trades and quotes dataset enriched with 10 levels of LOB depth messages for...
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Hybrid data decomposition-based deep learning for Bitcoin prediction and algorithm trading
Li, Yuze; Jiang, Shangrong; Li, Xuerong; Wang, Shouyang - In: Financial innovation : FIN 8 (2022), pp. 1-24
In recent years, Bitcoin has received substantial attention as potentially high-earning investment. However, its volatile price movement exhibits great financial risks. Therefore, how to accurately predict and capture changing trends in the Bitcoin market is of substantial importance to...
Persistent link: https://ebtypo.dmz1.zbw/10013170254
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Frequent batch auctions and informed trading
Eibelshäuser, Steffen; Smetak, Fabian - 2022
We study liquidity provision by competitive high-frequency trading firms (HFTs) in a dynamic trading model with private information. Liquidity providers face adverse selection risk from trading with privately informed investors and from trading with other HFTs that engage in latency arbitrage...
Persistent link: https://ebtypo.dmz1.zbw/10013288780
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Uninformed but Predictable : Corporate Trading and Price Discovery in Over-the-counter FX Markets
Khetan, Umang; Sinagl, Petra - 2022
We characterize the demand function of multi-national corporations in foreign exchange (FX) markets and assess its impact on equilibrium asset prices. Our empirical findings suggest that corporate order flow does not consistently predict future returns, it is highly auto-correlated and, in...
Persistent link: https://ebtypo.dmz1.zbw/10013289959
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Price Discovery of Limit Orders in the FX Market
Kitamura, Yoshihiro - 2022
I consider limit order book events that are likely to contribute to price discovery in the foreign exchange market, specifically, limit orders and transactions (market orders). The variance decomposition shows that improving orders and worsening cancels, both limit order events, substantially...
Persistent link: https://ebtypo.dmz1.zbw/10013290083
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Does trade clustering reduce trading costs? : evidence from periodicity in algorithmic trading
Muravyev, Dmitriy; Picard, Joerg - In: Financial management : FM 51 (2022) 4, pp. 1201-1229
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Differential taxation and security market lines : a clarification
Krause, Marko; Lahmann, Alexander - In: Review of quantitative finance and accounting 59 (2022) 1, pp. 171-203
Persistent link: https://ebtypo.dmz1.zbw/10013459270
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Essays on the dynamics of order books
Müller, Louis - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013461410
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Stochastic conditional duration model with intraday seasonality and limit order book information
Toyabe, Tomoki; Nakatsuma, Teruo - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-25
It is a widely known fact that the intraday seasonality of trading intervals for financial transactions such as stocks is short at the beginning of business hours and long in the middle of the day. In this paper, we extend the stochastic conditional duration (SCD) model to capture the pattern of...
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Call auctions with contingent orders
Hafalir, Isa; Imisiker, Serkan - In: Games 13 (2022) 5, pp. 1-8
We introduce a new mechanism for call auctions which are widely used in stock exchanges. Our unique design incorporates contingent claims (buy stock A, if selling stock B) into the price discovery process. With our proposed mechanism, we show that higher liquidity during the call auctions is...
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Optimal liquidation, acquisition and market making problems in HFT under Hawkes models for LOB
Contreras, Ana Roldan; Sviščuk, Anatolij - In: Risks : open access journal 10 (2022) 8, pp. 1-32
The present paper is focused on the solution of optimal control problems such as optimal acquisition, optimal liquidation, and market making in relation to the high-frequency trading market. We have modeled optimal control problems with the price approximated by the diffusion process for the...
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