Zobrazeno 1 - 10
of 11
pro vyhledávání: '"Elektronisches Handelssystem"'
Autor:
Scholtus, Martin, van Dijk, Dick
This paper investigates the importance of speed for technical trading rule performance for three highly liquid ETFs listed on NASDAQ over the period January 6, 2009 up to September 30, 2009. In addition we examine the characteristics of market activi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::6547d4d3a6f484866867503fa49188a0
https://pure.eur.nl/en/publications/3a907a1b-aa55-4791-ba52-dadbfeb5c55b
https://pure.eur.nl/en/publications/3a907a1b-aa55-4791-ba52-dadbfeb5c55b
Autor:
Grammig, Joachim G., Theissen, Erik
This paper studies the market quality of an internalization system which is designed as part of an open limit order book (the Xetra system operated by Deutsche Börse AG). The internalization sys-tem (Xetra BEST) guarantees a price improvement over t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::5465d8d8fce60f5e317855f055bbba34
http://publikationen.ub.uni-frankfurt.de/files/20887/11_03.pdf
http://publikationen.ub.uni-frankfurt.de/files/20887/11_03.pdf
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
Autor:
Maurer, Kai-Oliver, Schäfer, Carsten
This paper proposes the Shannon entropy as an appropriate one-dimensional measure of behavioural trading patterns in financial markets. The concept is applied to the illustrative example of algorithmic vs. non-algorithmic trading and empirical data f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::7fff5aa2cd2439ed81f96c5a01ec0b5f
http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/7905
http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/7905
Autor:
Gomber, Peter, Gsell, Markus
After exchanges and alternative trading venues have introduced electronic execution mechanisms worldwide, the focus of the securities trading industry shifted to the use of fully electronic trading engines by banks, brokers and their institutional cu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::2bf7addd20f538d299bdf12bb2296b4b
http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/6629
http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/6629
Autor:
Theissen, Erik
We reconsider the issue of price discovery in spot and futures markets. We use a threshold error correction model to allow for arbitrage operations to have an impact on the return dynamics. We estimate the model using quote midpoints, and we modify t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::cd4573978bc15182de86b66bb6193a9c
https://hdl.handle.net/10419/43243
https://hdl.handle.net/10419/43243
Autor:
Gsell, Markus
Innovative automated execution strategies like Algorithmic Trading gain significant market share on electronic market venues worldwide, although their impact on market outcome has not been investigated in depth yet. In order to assess the impact of s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::2a23f9030e11646dfb2639706745b241
https://hdl.handle.net/10419/43250
https://hdl.handle.net/10419/43250
We present a dynamic microstructure model where a dealer market (DM) and a crossing network (CN) interact. Sequentially arriving agents with different valuations for an asset maximize their profits either by trading at a DM or by submitting an order
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::4c15910e1f58d5f8fccf9acd85e07d03
https://research.tilburguniversity.edu/en/publications/a63f4ee1-35ab-4fe3-a4ba-22949e7e29d2
https://research.tilburguniversity.edu/en/publications/a63f4ee1-35ab-4fe3-a4ba-22949e7e29d2
Autor:
Khan, Natasha
This study examines the impact of increased transparency, brought about by the introduction of three electronic trading systems, on the brokered interdealer market for Government of Canada benchmark securities. Using the CanPX dataset for the 2-, 5-,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1299eb1ddc5a40d8c4359789e4ebed12