Zobrazeno 1 - 10
of 20
pro vyhledávání: '"Iryna Veryzhenko"'
Publikováno v:
Financial Innovation, Vol 8, Iss 1, Pp 1-30 (2022)
Abstract The promotion of both market fairness and efficiency has long been a goal of securities market regulators worldwide. Accelerated digital disruption and abusive trading behaviors, such as the GameStop mania, prompt regulatory changes. It is u
Externí odkaz:
https://doaj.org/article/b973f365b59d4650806634ff53f5d03d
Autor:
Iryna Veryzhenko
Publikováno v:
Intelligent Systems in Accounting, Finance and Management. 28:143-155
This paper uses an agent‐based multi‐asset model to examine the effect of risk preferences and optimal rebalancing frequency on performance measures while tracking profit and risk‐adjusted return. We focus on the evolution of portfolios managed
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::100a28134c6535cd3bc41871b54aacc6
https://doi.org/10.1002/isaf.1493
https://doi.org/10.1002/isaf.1493
Publikováno v:
Systèmes d'information & management. 23:81-106
En quoi les strategies de trading algorithmique peuvent-elles expliquer la propagation de flash crashes sur le marche financier ? L’originalite de traiter cette question reside dans le besoin de croiser deux champs disciplinaires : la finance de ma
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fe57a2f366da3b29efd1e2187a0561c9
https://doi.org/10.3917/sim.182.0081
https://doi.org/10.3917/sim.182.0081
Publikováno v:
Journal of International Financial Markets, Institutions and Money. 75:101437
In 2007, the European Markets in Financial Instruments Directive ended the national concentration rule. As a result, market fragmentation has accelerated across multiple trading venues. Spatial fragmentation might create opportunities and incentives
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0b15a3dc71ab92d644dc3ea0cfb84062
https://doi.org/10.1016/j.intfin.2021.101437
https://doi.org/10.1016/j.intfin.2021.101437
Autor:
Nathalie Oriol, Iryna Veryzhenko
Publikováno v:
Quantitative Finance
Quantitative Finance, Taylor & Francis (Routledge), 2019, pp.1-18. ⟨10.1080/14697688.2018.1548771⟩
Quantitative Finance, Taylor & Francis (Routledge), 2019, pp.1-18. ⟨10.1080/14697688.2018.1548771⟩
Analyzing the market reaction to a flash crash caused by an operational shock with different market participants
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f13288efc90d929250aba29a0863b126
https://halshs.archives-ouvertes.fr/halshs-01984442
https://halshs.archives-ouvertes.fr/halshs-01984442
Publikováno v:
Intelligent Systems in Accounting, Finance and Management
Intelligent Systems in Accounting, Finance and Management, Wiley, 2017, 24 (2-3), pp.73-79. ⟨10.1002/isaf.1407⟩
Intelligent Systems in Accounting, Finance and Management, 2017, 24 (2-3), pp.73-79. ⟨10.1002/isaf.1407⟩
Intelligent Systems in Accounting, Finance and Management, Wiley, 2017, 24 (2-3), pp.73-79. ⟨10.1002/isaf.1407⟩
Intelligent Systems in Accounting, Finance and Management, 2017, 24 (2-3), pp.73-79. ⟨10.1002/isaf.1407⟩
Summary In this paper, we focus on the French cancel order tax implemented on 1 August 2012. We question the effectiveness of the modified tax with no exemptions and we analyze its impact on market quality, measured by liquidity, volatility and effic
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3e2b8d649cf0722e8e58a404b3870b06
https://halshs.archives-ouvertes.fr/halshs-01632353
https://halshs.archives-ouvertes.fr/halshs-01632353
Publikováno v:
Economic Modelling
Economic Modelling, Elsevier, 2017, 67, pp.307-315. ⟨10.1016/j.econmod.2017.01.021⟩
Economic Modelling, Elsevier, 2017, 67, pp.307-315. ⟨10.1016/j.econmod.2017.01.021⟩
International audience; Based on the first results, the French government estimates that the tax on cancelled orders, considered as tax on High Frequency Trading (HFT), generated no revenue in 2012. Our paper question the effectiveness of a modified
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2d239fd1783025cd222d028889e4816a
https://halshs.archives-ouvertes.fr/halshs-01561124
https://halshs.archives-ouvertes.fr/halshs-01561124
Autor:
Nathalie Oriol, Iryna Veryzhenko
Publikováno v:
ICAART (1)
8th International Conference on Agents and Artificial Intelligence-ICAART 2016
8th International Conference on Agents and Artificial Intelligence-ICAART 2016, Feb 2016, Rome, Italy. ⟨10.5220/0005707401900197⟩
8th International Conference on Agents and Artificial Intelligence-ICAART 2016
8th International Conference on Agents and Artificial Intelligence-ICAART 2016, Feb 2016, Rome, Italy. ⟨10.5220/0005707401900197⟩
International audience; In this paper we focus on the traders that purely rely on algorithms in their decision making and their impact on market quality during moments of instability. We describe an agent-based framework that successfully reproduces
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bca963a62a9e8e9722ac6778a26abaa7
https://doi.org/10.5220/0005707401900197
https://doi.org/10.5220/0005707401900197
Publikováno v:
SSRN Electronic Journal.
The purpose of this document is to review a variety of liquidity measures actively used by academics and practitioners, and to stress their advantages and limits. We focus on bond market that is an Over-The-Counter (OTC) dealer market. In a typical O
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c9681cbd2811400ab6f1f21807c3a09f
https://doi.org/10.2139/ssrn.3577145
https://doi.org/10.2139/ssrn.3577145