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,...

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...

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...

Members of Congress (politicians) are allowed to trade stocks. There is evidence in the literature showing that politicians made informed trades until at least the passage of the Stop Trading on Congressional Knowledge (STOCK) Act of 2012. In this paper, we examine the drivers of congressional...

Using microdata on stock-level lending positions from German mutual funds, we show that active funds use the equity lending market to obtain information about short sale demand. Funds reduce long positions in response to these demand signals, which allows fund managers to front-run public...

In this research, we attempted to fit a trading system based on polynomial moving regression bands (MRB) to Nasdaq100 stocks from 2017 till the end of March 2024. Since stocks movement does not follow a linear behavior, we used multiple degree polynomial regression models to identify the stocks'...

This study examines the predictability of the last 30 min of intraday stock price movements within the US financial market. The analysis encompasses several potential explanatory variables, including returns from each 30 min intraday trading session, overnight returns, the federal reserve fund...

This is the 13th edition of the TARGET2-Securities Annual Report, which now covers a sixth full year since the end of the T2S migration period. The first edition was published in 2011, a pivotal year for the finalisation of the legal and technical documentation of T2S and for the CSDs'...

This is the 13th edition of the TARGET2-Securities Annual Report, which now covers a sixth full year since the end of the T2S migration period. The first edition was published in 2011, a pivotal year for the finalisation of the legal and technical documentation of T2S and for the CSDs'...

AMI-SeCo considers the harmonisation of post-trade processes, including collateral management, to be critically important in the pursuit of financial market integration in Europe. In the area of securities settlement harmonisation, T2S has contributed significantly to the integration of...

Recent macroeconomic shifts, such as elevated inflation and rapidly rising interest rates, coupled with global growth deceleration, have put real estate markets under particular stress. We explore the current exposures in EU securities markets and the asset management sector to the rising risks...

This paper proposes a simple bounded stochastic motion to model equity price dynamics under shocks. The stochastic process has a quasi-bounded boundary which can be breached if the probability leakage condition is met. The quasi-boundedness of the process at the boundary can thus provide an...

This study investigates the effect of short sales on firms' use of trade credit. Using a sample of 3262 Chinese listed firms from 2007 to 2019, the analysis results show that both the deregulation and the magnitude of short sales negatively affect trade credit. The transmission mechanism...

The authors test the weak-form efficiency in cryptocurrency markets using the most recent and comprehensive data as of 2021. The authors apply various technical indicators to take a long or short position on 99 cryptocurrencies and compare the 10-day returns based on the technical trading...

The transaction-level analysis of security price changes by Madhavan, Richardson, and Roomans (1997, hereafter MRR) is a useful framework for financial analysis. The first-order Markov property of trading indicator variables is a critical assumption in the MRR model, which contradicts the...