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Stock Price Crashes: Role of Slow-Moving Capital
(2018-07-16)
We study the role of various trader types in providing liquidity in spot and futures markets based on complete order-book and transactions data as well as cross-market trader identifiers from the National Stock Exchange ...
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 ...
NSE
National Stock Exchange of India Limited (NSE) is the leading stock exchange of India, located in Mumbai, Maharashtra.
MTS
MTS is one of Europe’s leading electronic fixed income trading markets, with over 500 unique counterparties and average daily volumes exceeding EUR 100 billion.