Auflistung nach JEL-Klassifizierung "G10"
Anzeige der Dokumente 41-60 von 63
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Quasi-Dark Trading: The Effects of Banning Dark Pools in a World of Many Alternatives
(2019-04-30)We show that “quasi-dark” trading venues, i.e., markets with somewhat non-transparent trading mechanisms, are important parts of modern equity market structure alongside lit markets and dark pools. Using the European MiFID ... -
Resiliency: Cross-Venue Dynamics with Hawkes Processes
(2020-10-16)Market fragmentation and technological advances increasing the speed of trading altered the functioning and stability of global equity limit order markets. Taking market resiliency as an indicator of market quality, we ... -
Robert Shiller
The data collection effort about investor attitudes that I have been conducting since 1989 has now resulted in a group of Stock Market Confidence Indexes produced by the Yale School of Management. These data are collected ... -
RPNA
RavenPack News Analytics (RPNA) provides real-time structured sentiment, relevance and novelty data for entities and events detected in the unstructured text published by reputable content sources. Publishers include Dow ... -
S&P500
The Standard and Poor's 500, or simply the S&P 500, is a free-float weighted measurement stock market index of 500 of the largest companies listed on stock exchanges in the United States. -
Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk Approach
(2012-09-01)In this paper, we develop a state-dependent sensitivity value-at-risk (SDSVaR) approach that enables us to quantify the direction, size, and duration of risk spillovers among financial institutions as a function of the ... -
Spoilt for Choice: Order Routing Decisions in Fragmented Equity Markets
(2016-08-01)The equity trading landscape all over the world has changed dramatically in recent years. We have witnessed the advent of new trading venues and significant changes in the market shares of existing ones. We use an extensive ... -
Survey_CNHP_2020
Overall, we have collected 203,886 online articles that were published on three platforms between January 23, 2020 and June 22, 2020. Reuters.com and nytimes.com are the websites of the respective international news companies ... -
TAQ
NYSE Trade and Quote (TAQ) database contains intraday transactions data (trades and quotes) for all securities listed on the New York Stock Exchange (NYSE) and American Stock Exchange (AMEX), as well as Nasdaq National ... -
The FOMC Risk Shift
(2021-01-27)We identify a component of monetary policy news that is extracted from high-frequency changes in risky asset prices. These surprises, which we call “risk shifts”, are uncorrelated, and therefore complementary, to risk-free ... -
The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification
(2016-10-01)We show that property damages from weather-related natural disasters significantly weaken the stability of banks with business activities in affected regions, as reflected in lower z-scores, higher probabilities of default, ... -
TickData
For over 30 years, the world’s largest investment banks, asset managers, proprietary traders and universities have relied upon our historical intraday stock, futures, options and forex data to back-test trading strategies, ... -
Trimtabs
Trimtabs conduct their own survey to obtain fund flows and returns for approximately 15% of the market. -
TRTH
Tick History is a historical market data service, offering global intra-day Time and Sales, Quotes, and Market Depth content dating back to January 1996 for an extensive range of equities, indices, foreign exchange, money, ... -
TTA
The Trump Twitter Archive is a comprehensive collection of Donald Trump’s tweets maintained by Brendan Brown. -
Twitter API
The Twitter API lets you read and write Twitter data. Thus, you can use it to compose tweets, read profiles, and access your followers' data and a high volume of tweets on particular subjects in specific locations. API stands ... -
VIX
VIX is the ticker symbol and the popular name for the Chicago Board Options Exchange's CBOE Volatility Index, a popular measure of the stock market's expectation of volatility based on S&P 500 index options. It is calculated ... -
Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment
(2021-03-24)We define a sentiment indicator that exploits two contrasting views of return predictability, and study its properties. The indicator, which is based on option prices, valuation ratios and interest rates, was unusually ... -
World Bank
The World Bank DataBank is an analysis and visualisation tool that contains collections of time series data on a variety of topics. You can create your own queries; generate tables, charts, and maps; and easily save, embed, ...