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OTC Discount
(2020-12-08)
We document a sizable OTC discount in the interdealer market for German sovereign bonds where exchange and over-the-counter trading coexist: the vast majority of OTC prices are favorable with respect to exchange quotes. ...
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 ...
A Modern Take on Market Efficiency: The Impact of Trump’s Tweets on Financial Markets
(2021-05-06)
We focus on the role of social media as a high-frequency, unfiltered mass information transmission channel and how its use for government communication affects the aggregate stock markets. To measure this effect, we ...
Impact of public news sentiment on stock market index return and volatility
(2021-10-11)
Recent advances in natural language processing have contributed to the development of market sentiment measures through text content analysis in news providers and social media. The effectiveness of these sentiment variables ...
OTC Discount
(2021-10-08)
We document a sizable OTC discount in the interdealer market for German sovereign bonds where exchange and over-the-counter trading coexist: the vast majority of OTC prices are favorable compared to exchange quotes. This ...
Market impact of government communication: The case of presidential tweets
(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 ...