Zobrazeno 1 - 10
of 14
pro vyhledávání: '"Tugkan Tuzun"'
Publikováno v:
FEDS Notes.
Structural vulnerabilities associated with open-end funds have received increasing attention among academics and regulators over the past few years. Despite the effort by policymakers to enhance the liquidity risk management practices at these funds,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::57c92131ebbeddfeaf9f0c859f1b0bd3
https://doi.org/10.17016/2380-7172.3226
https://doi.org/10.17016/2380-7172.3226
Publikováno v:
The Journal of Economic Asymmetries. 27:e00288
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c4fcfd6d8488ab565605023550fbf978
https://doi.org/10.1016/j.jeca.2022.e00288
https://doi.org/10.1016/j.jeca.2022.e00288
Publikováno v:
The Journal of Finance. 72:967-998
We study intraday market intermediation in an electronic market before and during a period of large and temporary selling pressure. On May 6, 2010, U.S. financial markets experienced a systemic intraday event—the Flash Crash—where a large automat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::88e4c94b293e9a8158205d6b97f981ca
https://doi.org/10.1111/jofi.12498
https://doi.org/10.1111/jofi.12498
Publikováno v:
Journal of Financial Markets. 49:100513
This paper studies invariance relationships in tick-by-tick transaction data in the U.S. stock market. Over the 1993–2001 period, the estimated monthly regression coefficients of the log of trade arrival rate on the log of trading activity have an
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ba921392fe730c21aaf5b97ff1302982
https://doi.org/10.1016/j.finmar.2019.100513
https://doi.org/10.1016/j.finmar.2019.100513
Autor:
Scott Mixon, Tugkan Tuzun
Publikováno v:
Finance and Economics Discussion Series. 2018
We study the price pressure and price discovery effects in the U.S. Treasury market by using a term structure model. Our model decomposes yield curve shifts into two components: a virtually permanent change related to order flow and a transitory, pri
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::20e057a8fe556faef35be9928e3944b9
https://doi.org/10.17016/feds.2018.065
https://doi.org/10.17016/feds.2018.065
Publikováno v:
SSRN Electronic Journal.
This paper investigates the impact of exchange-traded funds (ETFs) on the liquidity of their underlying stockholdings. Using a difference-in-differences methodology for large changes in the index weights of stocks in the S&P 500 and NASDAQ 100 indexe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::16c8797b7e52bd5f208e68804e415f89
https://doi.org/10.2139/ssrn.3142081
https://doi.org/10.2139/ssrn.3142081
Publikováno v:
SSRN Electronic Journal.
The Flash Crash of May 6, 2010, shook the confidence of market participants and raised questions about the market structure of electronic markets. In these markets, intraday intermediation has been increasingly provided by market participants without
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2dbc103bb97c5e16c440308485d27c8d
https://doi.org/10.2139/ssrn.3119363
https://doi.org/10.2139/ssrn.3119363
Autor:
David Elias Rappoport, Tugkan Tuzun
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5a601a6909434010cbe0276f1c022ead
https://doi.org/10.2139/ssrn.3281384
https://doi.org/10.2139/ssrn.3281384
Publikováno v:
Finance and Economics Discussion Series. 2017
In electronic, liquid markets, traders frequently change their positions. The distribution of these trader position changes carries important information about liquidity demand in the market. From this distribution of trader position-changes, we cons
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9e43828c38a08c6dd854b858f39b7dba
https://doi.org/10.17016/feds.2017.103
https://doi.org/10.17016/feds.2017.103
Publikováno v:
FEDS Notes. 2017
Exchange traded funds (ETFs) achieve their investment objectives by either owning a portfolio of securities (physical ETFs) or entering into swap agreements that deliver the returns of pre-specified indexes (synthetic ETFs). In this note, we provide
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d15dee9575601df3f812b9a0738daccb
https://doi.org/10.17016/2380-7172.2028
https://doi.org/10.17016/2380-7172.2028