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Statistical Inferences for Price Staleness
(2018-11-06)
Asset transaction prices sampled at high frequency are much staler than one might expect in the sense that they frequently lack new updates showing zero returns. In this paper, we propose a theoretical framework for ...
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 ...
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 ...
BaFin
Die Bundesanstalt für Finanzdienstleistungsaufsicht (kurz: BaFin) ist eine rechtsfähige deutsche Anstalt des öffentlichen Rechts des Bundes mit Sitz in Frankfurt am Main und Bonn.
Fidessa
Fidessa group Holdings Ltd formerly Fidessa Group Plc, is a British-headquartered company which provides software and services, such as trading and investment management systems, analytics and market data, to buy side and ...
MTS Group
The MTS Group is an internationally active branded goods manufacturer with around 700 employees at 9 locations worldwide
Finanzagentur GmbH
Debt management from a single source: We ensure that the Federal Government, as the benchmark issuer in the eurozone, has at its disposal the most cost-efficient and low-risk financing as possible. We were established ...
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, ...
NYSE
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 ...