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Coordination of Circuit Breakers? Volume Migration and Volatility Spillover in Fragmented Markets
(2017-01-27)
We study circuit breakers in a fragmented, multi-market environment and investigate whether a coordination of circuit breakers is necessary to ensure their effectiveness. In doing so, we analyze 2,337 volatility interruptions ...
Managing Excess Volatility: Design and Effectiveness of Circuit Breakers
(2017-02-02)
We investigate different designs of circuit breakers implemented on European trading venues and examine their effectiveness to manage excess volatility and to preserve liquidity. Specifically, we empirically analyze ...
FRED
Federal Reserve Economic Data (FRED) is a database maintained by the Research division of the Federal Reserve Bank of St. Louisthat has more than 500,000 economic time series from 87 sources. The data can be viewed in ...
Thomson Reuters
Thomson Reuters Corporation is a Canadian multinational media conglomerate.
OptionMetrics
OptionMetrics is the financial industry's premier provider of quality historical option price data, tools, and analytics. Currently, over 300 institutional subscribers and universities rely on our products as their main ...
FRB
The Federal Reserve System is the central bank of the United States. It performs five general functions to promote the effective operation of the U.S. economy and, more generally, the public interest.
CRSP
Our portfolio of stock, indexes, mutual fund, treasury, and REIT market databases is relied on by academicians whose research and publications must withstand rigorous analysis for accuracy. Quantitative analysts in the ...
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 ...
TARP
The Troubled Asset Relief Program (TARP) is a program of the United States government to purchase toxic assets and equity from financial institutions to strengthen its financial sector that was passed by Congress and signed ...
Bundesbank
The monetary, financial and foreign trade statistics compiled within the framework of the Bundesbank's statutory mandate as well as the comprehensive indicator sets and seasonally adjusted economic data comprise a broad ...