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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 During Flash Crashes: Walk of Fame or Hall of Shame?
(2020-03-01)
We show that High Frequency Traders (HFTs) are not beneficial to the stock market during flash crashes. They actually consume liquidity when it is most needed, even when they are rewarded by the exchange to provide immediacy. ...
CBOE
Cboe Global Markets, Inc. (Cboe) is one of the world's largest exchange holding companies, offering cutting-edge trading and investment solutions to investors
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, ...
Thomson Reuters
Thomson Reuters Corporation is a Canadian multinational media conglomerate.
CMA
Credit Market Analysis (CMA) is a data and information company specializing in OTC derivatives markets. In July 2012, the company became part of the S&P Capital IQ division of McGraw-Hill
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 ...
BEA NIPA
BEA's national economic accounts provide a comprehensive picture of the U.S. economy and feature many macroeconomic statistics.
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 ...