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High-Frequency Trading and Price Informativeness
(2019-03-09)
We study how stock price informativeness changes with the presence of high-frequency trading (HFT). Our estimate is based on the staggered start of HFT participation in a panel of international exchanges. With HFT presence ...
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. ...
Exposure to the COVID-19 Stock Market Crash and its Effect on Household Expectations
(2020-05-21)
We survey a representative sample of US households to study how exposure to the COVID-19 stock market crash affects expectations and planned behavior. Wealth shocks are associated with upward adjustments of expectations ...
OTC Discount
(2020-12-08)
We document a sizable OTC discount in the interdealer market for German sovereign bonds where exchange and over-the-counter trading coexist: the vast majority of OTC prices are favorable with respect to exchange quotes. ...
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 ...
Ambiguity and Investor Behavior
(2020-11-24)
We relate time-varying aggregate ambiguity (V-VSTOXX) to individual investor trading. We use the trading records of more than 100,000 individual investors from a large German online brokerage from March 2010 to December ...
A Modern Take on Market Efficiency: The Impact of Trump’s Tweets on Financial Markets
(2021-05-06)
We focus on the role of social media as a high-frequency, unfiltered mass information transmission channel and how its use for government communication affects the aggregate stock markets. To measure this effect, we ...
VIX
VIX is the ticker symbol and the popular name for the Chicago Board Options Exchange's CBOE Volatility Index, a popular measure of the stock market's expectation of volatility based on S&P 500 index options. It is calculated ...
Compustat
Compustat (from Standard & Poor's) provides annual and quarterly income statements, balance sheets, statements and supplemental data on North American public companies.
Xetra
Xetra (ETR, Marktidentifikationscode XETR) ist ein börslicher Handelsplatz der Frankfurter Wertpapierbörse (FWB). Mit einem Marktanteil von über 90 Prozent im Aktienhandel und bei börsengehandelten Fonds (ETF) ist er der ...