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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 ...
Systemic Co-Jumps
(2016-10-10)
The simultaneous occurrence of jumps in several stocks can be associated with major financial news, triggers short-term predictability in stock returns, is correlated with sudden spikes of the variance risk premium, and ...
Coming Early to the Party
(2017-09-15)
"We examine the strategic behavior of High Frequency Traders (HFTs) during the pre-opening phase and the opening auction of the NYSE-Euronext Paris exchange. HFTs actively participate, and profitably extract information ...
Stock Price Crashes: Role of Slow-Moving Capital
(2018-07-16)
We study the role of various trader types in providing liquidity in spot and futures markets based on complete order-book and transactions data as well as cross-market trader identifiers from the National Stock Exchange ...
Liquidity provision: Normal times vs Crashes
(2019-10-29)
We study the role of various trader types in providing liquidity in spot and futures markets based on data from the National Stock Exchange of India for a single large stock. During normal times, short-term traders who ...
Designated Market Makers: Competition and Incentives
(2020-03-30)
Do competition and incentives offered to designated market makers (DMMs) improve market liquidity? Using data from NYSE Euronext Paris, we show that an exogenous increase in competition among DMMs leads to a significant ...
Compustat
Compustat (from Standard & Poor's) provides annual and quarterly income statements, balance sheets, statements and supplemental data on North American public companies.
NSE
National Stock Exchange of India Limited (NSE) is the leading stock exchange of India, located in Mumbai, Maharashtra.
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, ...
BEDOFIH
The BEDOFIH database includes trades and orders with the highest frequency. BEDOFIH covers the most important European stock markets.