Auflistung Working Papers nach Schlagwort "liquidity provision"

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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. ...

    • Liquidity provision: Normal times vs Crashes 

      Jagannathan, Ravi; Pelizzon, Loriana; Schaumburg, Ernst; Getmansky Sherman, Mila; Yuferova, Darya (2019-10-29)
      We study the role of various trader types in providing liquidity in spot and futures markets based on data from the National Stock Exchange of India for a single large stock. During normal times, short-term traders who ...

    • 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 ...

    • Stock Price Crashes: Role of Slow-Moving Capital 

      Jagannathan, Ravi; Pelizzon, Loriana; Schaumburg, Ernst; Getmansky Sherman, Mila; Yuferova, Darya (2018-07-16)
      We study the role of various trader types in providing liquidity in spot and futures markets based on complete order-book and transactions data as well as cross-market trader identifiers from the National Stock Exchange ...