Auflistung LIF-SAFE Working Papers nach Autor "Kolokolov, Aleksey"

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    • 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. ...

    • Statistical Inferences for Price Staleness 

      Kolokolov, Aleksey; Livieri, Giulia; Pirino, Davide (2018-11-06)
      Asset transaction prices sampled at high frequency are much staler than one might expect in the sense that they frequently lack new updates showing zero returns. In this paper, we propose a theoretical framework for ...