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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 ...
Liquidity Provider Incentives in Fragmented Securities Markets
(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 ...
A Tale of One Exchange and Two Order Books: Effects of Fragmentation in the Absence of Competition
(2018-10-01)
Exchanges nowadays routinely operate multiple, almost identically structured limit order markets for the same security. We study the effects of such fragmentation on market performance using a dynamic model where agents ...
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 ...
High-Frequency Trading and Price Informativeness
(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 and Price Informativeness
(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 ...
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 ...
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 ...
Compustat
Compustat (from Standard & Poor's) provides annual and quarterly income statements, balance sheets, statements and supplemental data on North American public companies.
Xetra
Xetra (ETR, Marktidentifikationscode XETR) ist ein börslicher Handelsplatz der Frankfurter Wertpapierbörse (FWB). Mit einem Marktanteil von über 90 Prozent im Aktienhandel und bei börsengehandelten Fonds (ETF) ist er der ...