Limit order books and trade informativeness

Autor: Joachim Grammig, Albert J. Menkveld, Helena M. Beltran-Lopez

Publikováno v: Beltran-Lopez, H, Grammig, J & Menkveld, A J 2012, ' Limit order books and trade informativeness ', European Journal of Finance, vol. 18, no. 9, pp. 737-759 . https://doi.org/10.1080/1351847X.2011.601651
European Journal of Finance, 18(9), 737-759. Routledge

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=doi_dedup___::c8e3f3e3080a65bd01c591245575a5e0
https://doi.org/10.1080/1351847x.2011.601651

Volatility Regimes and the Provision of Liquidity in Order Book Markets

Autor: Helena M. Beltran-Lopez, Alain Durré, Pierre Giot

Publikováno v: SSRN Electronic Journal.

We analyze whether the liquidity provision in a pure order book market during normal market conditions (low volatility regime) differs from what is observed when the market is under stress (high volatility regime). We show that the static relationshi

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::53201812b4c37534760abae9e133652a
https://doi.org/10.2139/ssrn.880433

Expected and Unexpected Cost of Trading in the Xetra Automated Auction Market

Autor: Pierre Giot, Joachim Grammig, Helena M. Beltran-Lopez

Publikováno v: SSRN Electronic Journal.

In this paper, we propose measures for characterizing the expected and unexpected cost of trading that can be applied to analyze automated electronic auction markets. Using a unique database which contains the full state of the order book for three s

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::18003e3192bea2c27ce6ec59f50a0433
https://doi.org/10.2139/ssrn.299619