Auflistung LIF-SAFE Working Papers nach Autor "Bellia, Mario"

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    • Coming Early to the Party 

      Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti; Uno, Jun; Yuferova, Darya (2017-09-15)
      "We examine the strategic behavior of High Frequency Traders (HFTs) during the pre-opening phase and the opening auction of the NYSE-Euronext Paris exchange. HFTs actively participate, and profitably extract information ...

    • Designated Market Makers: Competition and Incentives 

      Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; Yuferova, Darya (2020-03-30)
      Do competition and incentives offered to designated market makers (DMMs) improve market liquidity? Using data from NYSE Euronext Paris, we show that an exogenous increase in competition among DMMs leads to a significant ...

    • High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame? 

      Bellia, Mario; Christensen, Kim; Kolokolov, Aleksey; Pelizzon, Loriana; Renò, Roberto (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. ...

    • Low-Latency Trading and Price Discovery: Evidence from the Tokyo Stock Exchange in the Pre-Opening and Opening Periods 

      Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; Uno, Jun; Yuferova, Darya (2015-03-01)
      We study whether the presence of low-latency traders (including high-frequency traders (HFTs)) in the pre-opening period contributes to market quality, defined by price discovery and liquidity provision, in the opening ...

    • Paying for Market Liquidity: Competition and Incentives 

      Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; Yuferova, Darya (2019-02-01)
      Do competition and incentives offered to designated market makers (DMMs) improve market liquidity? Using data from NYSE Euronext Paris, we show that an exogenous increase in competition among DMMs leads to a significant ...

    • The Demand for Central Clearing: To Clear or Not to Clear, That is the Question 

      Bellia, Mario; Girardi, Giulio; Panzica, Roberto; Pelizzon, Loriana; Peltonen, Tuomas (2018-06-15)
      This paper is a first attempt at empirically analyzing whether post-crisis regulatory reforms developed by global-standard-setting bodies have created appropriate incentives to centrally clear Over-The-Counter (OTC) ...