Zobrazeno 1 - 10
of 19
pro vyhledávání: '"Filip Zikes"'
Autor:
Mohammad R. Jahan-Parvar, Filip Zikes
Publikováno v:
The Review of Financial Studies.
We present evidence that several popular low-frequency measures of effective spread suffer from a volatility-induced bias and that volatility is the primary driver of the variation of these liquidity proxies. Using data for U.S. equities and major fo
Publikováno v:
Finance and Economics Discussion Series. 2019:1-85
Banks use trading as a vehicle to take risk. Using unique high-frequency regulatory data, we estimate the sensitivity of weekly bank trading profits to aggregate equity, fixed-income, credit, currency and commodity risk factors. Our estimates imply t
Publikováno v:
SSRN Electronic Journal.
We study the capacity of the banking system to provide liquidity to the corporate sector in times of stress and how changes in this capacity affect corporate liquidity management. We show that the contractual arrangements among banks in loan syndicat
Publikováno v:
Finance and Economics Discussion Series. 2020
We study the evolution of the price discovery process in the euro-dollar and dollar-yen currency pairs over a ten-year period on the EBS platform, a global trading venue used by both manual and automated traders. We find that the importance of market
Autor:
Filip Zikes, Mohammad R. Jahan-Parvar
Publikováno v:
Finance and Economics Discussion Series. 2019
We compare popular measures of transaction costs based on daily data with their high-frequency data-based counterparts. We find that for U.S. equities and major foreign exchange rates, (i) the measures based on daily data are highly upward biased and
Autor:
Filip Zikes, George Kapetanios
Publikováno v:
Kapetanios, G & Zikes, F 2018, ' Time-varying Lasso ', ECONOMICS LETTERS . https://doi.org/10.1016/j.econlet.2018.04.029
This paper introduces a Lasso-type estimator for large linear models with time-varying parameters. The estimator is easy to implement in practice and standard algorithms developed for Lasso with fixed parameters can be readily used. We derive theoret
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e8c8db70168a9307dbd0aefaf7cbe335
https://kclpure.kcl.ac.uk/en/publications/09ae7a40-20cd-44c6-8804-4323e5058cd3
https://kclpure.kcl.ac.uk/en/publications/09ae7a40-20cd-44c6-8804-4323e5058cd3
Using unique transactions data for individual high-frequency trading (HFT) firms in the UK equity market, we examine if the trading activity of individual HFT firms is contemporaneously and dynamically correlated with each other, and what impact this
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5679750fa306d50e781956bd16dffa58
Autor:
Filip Zikes
Publikováno v:
Finance and Economics Discussion Series. 2017
This paper develops measures of transaction costs in the absence of transaction timestamps and information about who initiates transactions, which are data limitations that often arise in studies of over-the-counter markets. I propose new measures of
Publikováno v:
SSRN Electronic Journal.
We present the first micro-level evidence of the transmission of shocks through financial networks. Using the network of credit default swap (CDS) transactions between banks, we identify bank CDS returns attributable to counterparty losses. A bank's
Autor:
Marius Jurgilas, Filip Zikes
Publikováno v:
Journal of Financial Intermediation. 23:232-254
This paper estimates the intraday value of money implicit in the UK unsecured overnight money market. Using transactions data on overnight loans advanced through the UK large value payments system CHAPS in 2003–2009, we find a positive and economic