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Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk Approach
(2012-09-01)
In this paper, we develop a state-dependent sensitivity value-at-risk (SDSVaR) approach that enables us to quantify the direction, size, and duration of risk spillovers among financial institutions as a function of the ...
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
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Thomson Reuters
Thomson Reuters Corporation is a Canadian multinational media conglomerate.
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.
HFRX
HFR is the established global leader in the indexation, analysis and research of the hedge fund industry. With over 150 indices ranging from broad composites down to specific, niche areas of sub-strategy and regional ...