Zobrazeno 1 - 10
of 14
pro vyhledávání: '"Paul Besson"'
Publikováno v:
The Journal of Investing. 28:91-108
Initially designed as a better alternative than dark trading, the success of periodic auctions has spread across all European stocks. On capped stocks, the market share of periodic auctions rose from 1 to 4.5 percent between early March and September
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::36c086228e797af76215824b5e43fa8d
https://doi.org/10.3905/joi.2019.1.096
https://doi.org/10.3905/joi.2019.1.096
Autor:
Paul Besson, Matthieu Lasnier
Publikováno v:
SSRN Electronic Journal.
In this paper, we want to address the question of market impact of consecutive orders over the same day and across two consecutive days. This question is key for traders who need to determine the best way to schedule their executions. This question i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3e36a26cfea3fcbe1ffe6e38fde4a0e1
https://doi.org/10.2139/ssrn.3529311
https://doi.org/10.2139/ssrn.3529311
Publikováno v:
SSRN Electronic Journal.
In this paper, we show that synchronised market data across different venues can be of great help to better understand orderbook dynamics. We introduce a new measure for main European trading destinations: the “limit evasiveness”. It characterise
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::61fe1904208c6ebcce75488e32120435
https://doi.org/10.2139/ssrn.3529307
https://doi.org/10.2139/ssrn.3529307
Publikováno v:
SSRN Electronic Journal.
In this paper we first want to understand what the main drivers of European market fragmentation are, based on the relative characteristics of the different orderbooks across venues. We show that with just two variables – “first limit prices” a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::722898f7713e9951f1868f395990db86
https://doi.org/10.2139/ssrn.3529304
https://doi.org/10.2139/ssrn.3529304
Publikováno v:
The Journal of Trading. 11:77-91
Traders have always empirically estimated the short-term dynamic of the market. Contrary to popular belief, building a quantitative estimate of the next trade is not some sort of “Holy Grail” only accessible to the darkest high-frequency traders.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1b052efcdca6dc0904ded460f0503eb9
https://doi.org/10.3905/jot.2016.11.4.077
https://doi.org/10.3905/jot.2016.11.4.077
Autor:
Eduardo Cepeda, Paul Besson
Publikováno v:
SSRN Electronic Journal.
In this paper we want to trace back the origin of what has been called the low volatility anomaly. In particular we are in line with the work of [11, Hsu, Kudoh and Yamada (2013)] which demonstrated the fact the analysts were too optimistic on future
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a96e3ca0b1ad47d9c4ba96421cafa518
https://doi.org/10.2139/ssrn.3029254
https://doi.org/10.2139/ssrn.3029254
Autor:
Paul Besson, Matthieu Lasnier
Publikováno v:
SSRN Electronic Journal.
Standard Volume algos induce predictable aggressive trades. Large aggressive orders in the market often trigger, in turn, aggressive trades from Standard Volume algos. This phenomenon leads to late aggressive trading, which is particularly predictabl
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::53b4b3a720882ef79d87a22cc4ca95e0
https://doi.org/10.2139/ssrn.2947867
https://doi.org/10.2139/ssrn.2947867
Publikováno v:
The Journal of Trading.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::95ef7de86d9d0283203116edbbdaffd4
https://doi.org/10.3905/jot.2016.2016.1.049
https://doi.org/10.3905/jot.2016.2016.1.049
Autor:
Paul Besson, Matthieu Lasnier
Publikováno v:
Market Microstructure and Liquidity. :1750007
We leverage Kepler Cheuvreux client order database over the period October 2014 — October 2016 (349,442 trades corresponding to a EUR92.3bn turnover) to estimate new models of market impact. We find a multiplicative relationship between the market
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d7bfac3e6467858a5b822d6aa47d9599
https://doi.org/10.1142/s2382626617500071
https://doi.org/10.1142/s2382626617500071
Autor:
Paul Besson, Charles-Albert Lehalle
Publikováno v:
SSRN Electronic Journal.
In this paper we propose a method to breakdown any price change at any scale time into a book-driven component and a deal driven component.Following recent empirical researches on orderbook dynamics, we build an estimate of the most probable next tra
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b7d9ca0461f82e4becf005eb48ff4d36
https://doi.org/10.2139/ssrn.2377965
https://doi.org/10.2139/ssrn.2377965