Zobrazeno 1 - 10
of 51
pro vyhledávání: '"Börsenumsatz"'
Autor:
Hautsch, Nikolaus, Huang, Ruihong
Trading under limited pre-trade transparency becomes increasingly popular on financial markets. We provide first evidence on traders' use of (completely) hidden orders which might be placed even inside of the (displayed) bid-ask spread. Employing Tot
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::6ae0a2962e1ba091ef6457ed4f893c16
https://hdl.handle.net/10419/57374
https://hdl.handle.net/10419/57374
Autor:
Cebiroğlu, Gökhan, Horst, Ulrich
We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock's hidden dimension, both in terms of traded and posted l
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::a1264267a05715b95bce96f1a2af5e74
https://hdl.handle.net/10419/56686
https://hdl.handle.net/10419/56686
In the microstructure literature, information asymmetry is an important determinant of market liquidity. The classic setting is that uninformed dedicated liquidity suppliers charge price concessions when incoming market orders are likely to be inform
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::5819e76f2915f7382da2982e19aa4485
https://hdl.handle.net/10419/57358
https://hdl.handle.net/10419/57358
Autor:
Cebiroğlu, Gökhan, Horst, Ulrich
We develop a sequential trade model of Iceberg order execution in a limit order book. The Iceberg-trader has the freedom to expose his trading intentions or (partially) shield the true order size against other market participants. Order exposure can
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::545b92cd584ddcd95019f273168ce9aa
https://hdl.handle.net/10419/56641
https://hdl.handle.net/10419/56641
We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed on high frequencies, such as cumulated trading v
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::2ede47b5d1a2f7f2aeed7337df8e2aac
http://publikationen.ub.uni-frankfurt.de/files/22873/11_25.pdf
http://publikationen.ub.uni-frankfurt.de/files/22873/11_25.pdf
We revisit the role of time in measuring the price impact of trades using a new empirical method that combines spread decomposition and dynamic duration modeling. Previous studies which have addressed the issue in a vector-autoregressive framework co
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::8af726d3d8e90b51b6d55941be507934
http://publikationen.ub.uni-frankfurt.de/files/21083/11_08.pdf
http://publikationen.ub.uni-frankfurt.de/files/21083/11_08.pdf
Autor:
Stöckl, Thomas, Kirchler, Michael
We study the use of trading strategies and their profitability in experimental asset markets with asymmetrically informed traders. We find that insiders make most of their profits from trades which are initiated by their limit orders especially at th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::dd81e9b0e27ff242ff004ed0a286910a
https://hdl.handle.net/10419/73554
https://hdl.handle.net/10419/73554
Autor:
Draus, Sarah
This paper presents a model to analyze the consequences of competition in order-flow between a profit maximizing stock exchange and an alternative trading platform on the decisions concerning trading fees and listing requirements. Listing requirement
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::33c8509d0d3ae97c09533054a8f381c7
https://hdl.handle.net/10419/43222
https://hdl.handle.net/10419/43222
Autor:
Frey, Stefan, Sandås, Patrik
We examine the impact of iceberg orders on the price and order flow dynamics in limit order books. Iceberg orders allow traders to simultaneously hide a large portion of their order size and signal their interest in trading to the market. We show tha
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::3971a31c9f49a3ed5d964c02dac577c7
https://hdl.handle.net/10419/41392
https://hdl.handle.net/10419/41392
Publikováno v:
Bruun, C & Heyn-Johnsen, C 2009 ' The paradox of monetary profits : an obstacle to understanding financial and economic crisis? ' http://www.economics-ejournal.org . < http://www.economics-ejournal.org/economics/discussionpapers/2009-52 >
The paradox of monetary profits has been a recurrent theme in macroeconomics since the problem was first formulated by Marx. Capitalists as a whole can at most get from workers, what they already paid out in wages. Marx did not solve this problem, an
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::25807423ee8744ed072ade2864f18b9e
https://vbn.aau.dk/da/publications/2d4fbf30-fc39-11de-9a61-000ea68e967b
https://vbn.aau.dk/da/publications/2d4fbf30-fc39-11de-9a61-000ea68e967b