1,720,992 research outputs found
Essays on empirical market microstructure and high frequency data
No full textThe first paper examines the role of High Frequency Traders (HFTs) as Designated Market Makers. I examine the liquidity provision, the trading behavior and the risk of being picked-off by other traders. I find that HFT Designated Market Makers (HFT-DMMs) are the most prominent liquidity providers among the other designated market makers in gross terms. However, they also consume a significant part of the liquidity, so that the final net liquidity provision is close to zero. The second paper examines the influence of the bond supply, during the primary auction days, to the price pressure and liquidity in the secondary market. Using quote data from the Mercato Telematico dei titoli di Stato (MTS) we find evidence of a pronounced inverted V-Shape on the yield difference, that goes up with maximum at the auction time, and the recovers two hours after. The third paper, co-authored with L. Pelizzon, M.G. Subrahmanyam, J. Uno and D. Yuferova, examine the strategic behavior of High Frequency Traders (HFTs) during the pre-opening phase and the opening auction of the NYSE-Euronext Paris exchange. We find that HFT “come early to the party”, and enjoy it (make profits); however, they also help others enjoy (improve market quality) and do not have privileges (their speed advantage is not crucial)
Market Liquidity and Competition Among Designated Market Makers
No full textDo competition and incentives offered to designated market makers (DMMs) improve market liquidity? We employ data from NYSE Euronext Paris to show that exogenous changes in contract design lead to significant decreases in quoted and effective spreads. In particular, market liquidity increases the most for stocks with the largest increase in competition among DMMs. Our analysis shows that competition among DMMs is an important aspect of contract design, along with elements such as rebates and requirements
High-frequency trading during flash crashes: Walk of fame or hall of shame?
No full textWe show that High Frequency Traders (HFTs) are not beneficial to the stock market during flash crashes. They actually consume liquidity when it is most needed, even when they are rewarded by the exchange to provide immediacy. The behavior of HFTs exacerbate the transient price impact, unrelated to fundamentals, typically observed during a flash crash. Slow traders provide liquidity instead of HFTs, taking advantage of the discounted price. We thus uncover a trade-o↵ between the greater liquidity and efficiency provided by HFTs in normal times, and the disruptive consequences of their trading activity during distressed times
Low-latency trading and price discovery: evidence from the Tokyo stock exchange in the pre-opening and opening periods
No full textWe 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 dataset from the Tokyo Stock Exchange (TSE) based on server-IDs and find that HFTs dynamically alter their presence in different stocks and on different days. In spite of the lack of immediate execution, about one quarter of HFTs participate in the pre-opening period, and contribute significantly to market quality in the pre-opening period, the opening auction that ensues and the continuous trading period. Their contribution is largely different from that of the other HFTs during the continuous period
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Low-Latency Trading and Price Discovery without Trading: Evidence from the Tokyo Stock Exchange in the Pre-Opening Period and the Opening Batch Auction
No full textWe study whether the presence of low-latency traders (including high-frequency traders (HFTs)) in the pre-opening period contributes to price discovery in the subsequent opening call auction and the continuous trading session. Our analysis evokes shades of the debate on the switch from the current continuous auction in many markets to a periodic auction, affecting the speed advantage of low-latency traders. We empirically investigate these questions using a unique dataset based on server IDs provided by the Tokyo Stock Exchange (TSE), one of the largest stock markets in the world. Our data allow us to develop a more comprehensive classification of traders than in the prior literature,
and to investigate the behavior of the different categories of traders, based on their capability for low-latency trading. We find that, perhaps due to the lack of immediate execution, about three quarters of the low-latency traders do not participate in the pre-opening period, but do participate in and dominate the continuous trading session. Furthermore, we find that the larger presence of
low-latency traders in the trading of a stock in the pre-opening period as well as in the continuous session improves the price discovery process. Our results suggest that HFTs may not participate in trading in the periodic batch auction because of a lack of immediate execution, and that this large reduction in HFT participation may impede the quality of price discovery
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
COVID-19: the stabilising impact of EU bond issuance on sovereigns and banks.
Full text linkThis section explores the effects of the large-scale EU bond issuance and the ECB asset purchases in the
context of a hypothetical financial crisis that would have been induced by the COVID-19 downturn.
Stylised simulations show that the crisis response policies of the EU have strongly mitigated the risks
associated with sovereign-bank loops in euro area countries. In particular, monetary policy action
together with the introduction of a common debt instrument can more than halve potential losses to
public finances from a hypothetical banking crisis. Moreover, these positive effects accrue to all Member
States, even after accounting for costs linked to the extension of joint guarantees. The results also
suggest that a recovery package offering a mix of both loans and grants to affected countries can be
optimal for the euro area as a whole from the perspective of attenuating sovereign-bank loops
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