Auflistung LIF-SAFE Working Papers nach Schlagwort "high-frequency trading"

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    • Coordination of Circuit Breakers? Volume Migration and Volatility Spillover in Fragmented Markets 

      Clapham, Benjamin; Gomber, Peter; Panz, Sven (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 ...

    • High-Frequency Trading and Price Informativeness 

      Gider, Jasmin; Schmickler, Simon; Westheide, Christian (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 and Price Informativeness 

      Gider, Jasmin; Schmickler, Simon; Westheide, Christian (2019-03-01)
      We study how the informativeness of stock prices 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 ...

    • 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 ...