Auflistung LIF-SAFE Working Papers nach Schlagwort "price efficiency"

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    • A Tale of One Exchange and Two Order Books: Effects of Fragmentation in the Absence of Competition 

      Bernales, Alejandro; Garrido, Nicolás; Sagade, Satchit; Valenzuela, Marcela; Westheide, Christian (2018-10-01)
      Exchanges nowadays routinely operate multiple, almost identically structured limit order markets for the same security. We study the effects of such fragmentation on market performance using a dynamic model where agents ...

    • 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 ...

    • Quasi-Dark Trading: The Effects of Banning Dark Pools in a World of Many Alternatives 

      Johann, Thomas; Putnins, Talis; Sagade, Satchit; Westheide, Christian (2019-04-30)
      We show that “quasi-dark” trading venues, i.e., markets with somewhat non-transparent trading mechanisms, are important parts of modern equity market structure alongside lit markets and dark pools. Using the European MiFID ...