Zobrazeno 1 - 10 of 14 pro vyhledávání: '"Khaladdin Rzayev"'
3
Volatility and dark trading: Evidence from the Covid-19 pandemic
Autor: Gbenga Ibikunle, Khaladdin Rzayev
Publikováno v: Ibikunle, G & Rzayev, K 2022, ' Volatility and dark trading : Evidence from the Covid-19 pandemic ', The British Accounting Review . https://doi.org/10.1016/j.bar.2022.101171
We study the effect(s) of volatility on the share of trading in dark pools by exploiting the exogenous shock of the Covid-19 pandemic on financial markets and regulatory restrictions on dark trading. We find that high levels of volatility in lit exch
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::10a2405f512ecaa1d9acf4d6c730788e
https://doi.org/10.1016/j.bar.2022.101171
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5
Order aggressiveness and flash crashes
Autor: Khaladdin Rzayev, Gbenga Ibikunle
Publikováno v: Rzayev, K & Ibikunle, G 2020, ' Order aggressiveness and flash crashes ', International Journal of Finance and Economics . https://doi.org/10.1002/ijfe.1926
We present a novel framework illustrating the links between order aggressiveness and flash crashes. Our framework involves a trading sequence beginning with significant increases in aggressive sell orders relative to aggressive buy orders until instr
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::975858a2dafedcba14bfa44239a18c0e
https://www.pure.ed.ac.uk/ws/files/158667820/Rzayev_and_Ibikunle_2020.pdf
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6
More heat than light: investor attention and bitcoin price discovery
Autor: Khaladdin Rzayev, Frank McGroarty, Gbenga Ibikunle
Publikováno v: Ibikunle, G, McGroarty, F & Rzayev, K 2020, ' More heat than light : Investor attention and bitcoin price discovery ', International Review of Financial Analysis, vol. 69, 101459 . https://doi.org/10.1016/j.irfa.2020.101459
We investigate how increased attention affects bitcoin's price discovery process. We first decompose bitcoin price into efficient and noise components and then show that the noise element of bitcoin pricing is driven by high levels of attention. This
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::80a65c5ed1986b1564c5844ba17dd4e6
https://eprints.soton.ac.uk/437656/
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7
High-Frequency Trading in the Stock Market and the Costs of Option Market Making
Autor: Mahendrarajah Nimalendran, Khaladdin Rzayev, Satchit Sagade
Publikováno v: SSRN Electronic Journal.
Using a comprehensive panel of 2,969,829 stock-day data provided by the Securities and Exchange Commission (MIDAS), we find that HFT activity in the stock market increases market-making costs in the options markets. We consider two potential channels
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::0a0915748b718cbfdba216587660f7c8
https://doi.org/10.2139/ssrn.3776590
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8
Volatility, Dark Trading and Market Quality: Evidence from the 2020 COVID-19 Pandemic-Driven Market Volatility
Autor: Khaladdin Rzayev, Gbenga Ibikunle
Publikováno v: SSRN Electronic Journal.
We investigate the effects of the COVID-19-induced shock in financial markets on aggregate venue selection/market share and market quality. We find that the shock is linked with an economically significant loss of market share by dark pools to lit ex
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::691c22734ecb34fc8a2045a3bee2ded9
https://doi.org/10.2139/ssrn.3586410
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