Anzeige der Dokumente 21-40 von 63

    • ESMA 

      Unbekannter Autor
    • FDS 

      Unbekannter Autor
    • Federal Reserve Bank of Chicago 

      Unbekannter Autor
      The Federal Reserve Bank of Chicago is one of 12 regional Reserve Banks across the United States that, together with the Board of Governors in Washington, D.C., serve as the central bank for the United States.
    • FRD 

      Unbekannter Autor
      FirstRate Data is a leading provider of high resolution intraday stock market, crypto, futures and FX data. We source our historical stock data directly from major exchanges and fully adjusted for both splits and dividends. ...
    • GorodnichenkoWeber_2015 

      Unbekannter Autor
      Research that was conducted with restricted access to the Bureau of Labor Statistics (BLS) data.
    • HFRX 

      Unbekannter Autor
      HFR is the established global leader in the indexation, analysis and research of the hedge fund industry. With over 150 indices ranging from broad composites down to specific, niche areas of sub-strategy and regional ...
    • High-Frequency Trading and Price Informativeness 

      Gider, Jasmin; Schmickler, Simon; Westheide, Christian (2019-03-09)
      We study how stock price informativeness changes with the presence of high-frequency trading (HFT). Our estimate is based on the staggered start of HFT participation in a panel of international exchanges. With HFT presence ...
    • High-Frequency Trading and Price Informativeness 

      Gider, Jasmin; Schmickler, Simon; Westheide, Christian (2019-03-01)
      We study how the informativeness of stock prices changes with the presence of high-frequency trading (HFT). Our estimate is based on the staggered start of HFT participation in a panel of international exchanges. With HFT ...
    • High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame? 

      Bellia, Mario; Christensen, Kim; Kolokolov, Aleksey; Pelizzon, Loriana; Renò, Roberto (2020-03-01)
      We show that High Frequency Traders (HFTs) are not beneficial to the stock market during flash crashes. They actually consume liquidity when it is most needed, even when they are rewarded by the exchange to provide immediacy. ...
    • Housing Habits and Their Implications for Life-Cycle Consumption and Investment 

      Kraft, Holger; Munk, Claus; Wagner, Sebastian (2017-01-26)
      We solve a rich life-cycle model of household decisions involving consumption of perishable goods and housing services, habit formation for housing consumption, stochastic labor income, stochastic house prices, home renting ...
    • Idiosyncratic Volatility Puzzle: The Role of Assets' Interconnections 

      Panzica, Roberto Calogero (2018-08-08)
      The paper investigates the determinants of the idiosyncratic volatility puzzle by allowing linkages across asset returns. The first contribution of the paper is to show that portfolios sorted by increasing indegree computed ...
    • Insurance Company Index 

      Unbekannter Autor
    • Investment Bank Index 

      Unbekannter Autor
    • Kibot 

      Unbekannter Autor
      We provide instant access to over 58 years of daily data, over 22 years of top-quality, minute-by-minute intraday data and over 11 years of tick-by-tick (including bid/ask) historical market data for Stocks, ETFs, Futures ...
    • Liquidity Provider Incentives in Fragmented Securities Markets 

      Clapham, Benjamin; Gomber, Peter; Lausen, Jens; Panz, Sven (2018-07-31)
      We study the introduction of single-market liquidity provider incentives in fragmented securities markets. Specifically, we analyze the introduction of the Xetra Liquidity Provider Program at Deutsche Boerse from two ...
    • Machine Learning Sentiment Analysis, Covid-19 News and Stock Market Reactions 

      Costola, Michele; Nofer, Michael; Hinz, Oliver; Pelizzon, Loriana (2020-09-15)
      The possibility to investigate the impact of news on stock prices has observed a strong evolution thanks to the recent use of natural language processing (NLP) in finance and economics. In this paper, we investigate COVID-19 ...
    • Market impact of government communication: The case of presidential tweets 

      Abdi, Farshid; Kormanyos, Emily; Pelizzon, Loriana; Getmansky, Mila; Simon, Zorka (2021-10-06)
      "We propose the ""President reacts to news"" channel of stock returns by studying the financial market impact of the Twitter account of the 45th president of the United States, Donald Trump. We use machine learning algorithms ...
    • Networks in Risk Spillovers: A Multivariate GARCH Perspective 

      Billio, Monica; Caporin, Massimiliano; Frattarolo, Lorenzo; Pelizzon, Loriana (2018-08-01)
      We propose a spatiotemporal approach for modeling risk spillovers using time-varying proximity matrices based on observable financial networks and introduce a new bilateral specification. We study covariance stationarity ...
    • NYSE 

      Unbekannter Autor
      NYSE TAQ products provide a comprehensive historical end of day record of all data that was published by the NYSE Group Exchanges' real-time data feeds, including: Depth of book: All bid and offer prices and sizes, Top of ...
    • OptionMetrics 

      Unbekannter Autor
      OptionMetrics is the financial industry's premier provider of quality historical option price data, tools, and analytics. Currently, over 300 institutional subscribers and universities rely on our products as their main ...