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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 ...
Central Bank-Driven Mispricing
(2018-10-01)
We show that bond purchases undertaken in the context of quantitative easing efforts by the European Central Bank created a large mispricing between the market for German and Italian government bonds and their respective ...
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 ...
Paying for Market Liquidity: Competition and Incentives
(2019-02-01)
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 ...
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 ...
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.
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.
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, ...
NSE
National Stock Exchange of India Limited (NSE) is the leading stock exchange of India, located in Mumbai, Maharashtra.