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Do competition and incentives offered to designated market makers (DMMs) improve market liquidity? Using data from NYSE Euronext Paris, we show that an exogenous increase in competition among DMMs leads to a significant decrease in quoted and effecti

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=od_______603::17221a5bdf2db44b0296713677cd37ed
http://publikationen.ub.uni-frankfurt.de/files/49242/SSRN-id3354400.pdf

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Central bank-driven mispricing

Autor: Pelizzon, Loriana, Subrahmanyan, Marti G, Tomio, Davide, Uno, Jun

We show that bond purchases undertaken in the context of quantitative easing efforts by the European Central Bank created a large mispricing between the market for German and Italian government bonds and their respective futures contracts. On top of

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::99f5b622a28120ba5f3c262482f6d24a
https://hdl.handle.net/10419/203319

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Low-latency trading and price discovery: Evidence from the Tokyo Stock Exchange in the pre-opening and opening periods

Autor: Bellia, Mario, Pelizzon, Loriana, Subrahmanyam, Marti G., Uno, Jun, Yuferova, Darya

We study whether the presence of low-latency traders (including high-frequency traders (HFTs)) in the pre-opening period contributes to market quality, defined by price discovery and liquidity provision, in the opening auction. We use a unique datase

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::8f23b6a2f722765ed55336d47cc32f18
https://hdl.handle.net/10419/203301

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Internet appendix for 'coming early to the party'

Autor: Bellia, Mario, Pelizzon, Loriana, Subrahmanyam, Marti G., Uno, Jun, Yuferova, Darya

This supplemental appendix presents further institutional details about the NYSE Euronext Paris market as well as additional analyses on the order flow and the behavior of the market participants.

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=od_______603::038251becbd9d31995a80815de82bb44
http://publikationen.ub.uni-frankfurt.de/files/43750/Internet_Appendix_Euronext_12Sept2017.pdf

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Coming early to the party

Autor: Bellia, Mario, Pelizzon, Loriana, Subrahmanyam, Marti, Uno, Jun, Yuferova, Darya

We examine the strategic behavior of High Frequency Traders (HFTs) during the pre-opening phase and the opening auction of the NYSE-Euronext Paris exchange. HFTs actively participate, and profitably extract information from the order flow. They also

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::68664ec28e1bb30dc02234d3be9395a0
http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/43874

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